have trading rule profits in the currency markets declined over time abstract previous studies have reported mixed results regarding the success of technical trading rules in currency markets abnormal returns were observed in many studies using data up to the mid 1980s while more recent studies generally report less success for technical trading rules this paper tests whether moving average trading rule profits have declined over the period from 1971 to 2000 if so previous profits may represent a temporary inefficiency that has since been eliminated in the currency markets the hypothesis is tested using 18 exchange rate series over a longer time period than in previous studies rules are optimized for successive 5 year in sample periods from 1971 to 1995 and tested over subsequent 5 year out of sample periods results show that risk adjusted trading rule profits have declined over time from an average of over 3 in the late 1970s and early 1980s to about zero in the 1990s thus market inefficiencies reported in previous studies may have been only temporary inefficiencies

comparison of forecast performance for homogeneous heterogeneous and shrinkage estimators some empirical evidence from us electricity and natural gas consumption abstract maddala et al journal of business and economic statistics 15 1997 90 obtained short run and long run elasticities of energy demand for each of 49 us states over the period 1970 1990 they showed that heterogeneous time series estimates for each state yield inaccurate signs for the coefficients while panel data estimates are not valid because the hypothesis of homogeneity of the coefficients was rejected their preferred estimates are those obtained using the shrinkage estimator this paper contrasts the out of sample forecast performance of heterogeneous panel and shrinkage estimators using the maddala et al journal of business and economic statistics 15 1997 90 electricity and natural gas data sets our results show that the homogeneous panel data estimates give the best out of sample forecasts

interpreting an error correction model partial adjustment forward looking behaviour and dynamic international money demand an error correction model is derived from a stochastic dynamic programming problem incorporating rational expectations a parametric restriction is derived that allows a test for the theoretical proposition that the optimal strategy behind the error correction from entails the failure to asymptotically close the gap between the choice variable and the growing target this is accomplished by nesting a partial adjustment model with forward looking expectations within the error correction paradigm the counterintuitive behaviour embodied in the error correction model is not supported by the data in the context of a cross country comparison of cash balances relationships

determinants of foreign direct investment in spain this study utilizes panel data as a means of examining the determinants of foreign direct investment fdi in spain data that are taken in the period 1993 2002 are used in order to estimate the determinants of fdi at the sectoral level by differentiating the manufacturing sectors and at the regional level the analysis investigates the sectoral regional and macroeconomic variables that have successfully attracted fdi inflows from those that have not empirical results suggest that the differential between labour productivity and the cost of labour has been an important determinant of fdi in spain during the period 1993 2002 factors related to demand the evolution of human capital the export potential of the sectors and certain macroeconomic determinants that measure the differential between spain and the european union average also play a very important role in attracting flows of fdi certain policy issues that are relevant to the results are also discussed

estimating short and long run relationships a guide for the applied economist many applied economists face problems in selecting an appropriate technique to estimate short and long run relationships with the time series methods this article reviews three alternative approaches viz general to specific vector autoregressions and the vector error correction models as in other methodological controversies definite answers are difficult it is suggested that if these techniques are seen as tools to summarize data as in smith 2000 often there maybe only minor differences in their estimates therefore a computationally attractive technique is likely to be popular

an error correction model of induced innovation in uk agriculture cointegration techniques are applied to a model of induced innovation based on the two stage constant elasticity of substitution ces production function this approach results in direct tests of the inducement hypothesis which are applied to agricultural data for the united kingdom from 1953 to 2000 the time series properties of the variables are checked cointegration is established and an error correction model ecm constructed which attempts to separate factor substitution from technological change finally the ecm formulation is subjected to causality tests which show that the factor price ratio for chemicals and land is granger prior to the factor saving bias of technological change however long run relative prices are not causally prior to the machinery labour ratio this results from perturbations in the user cost of machinery caused by oil price shocks thus the induced innovation hypothesis iih may explain long run transformations like the mechanical and fertilizer revolutions that

technical trading rules in the european monetary system abstract using genetic programming we find trading rules that generate significant excess returns for three of four ems exchange rates over the out of sample period 1986 1996 permitting the rules to use information about the interest rate differential proved to be important the reduction in volatility resulting from the imposition of a narrower band may reduce trading rule profitability our results cannot be duplicated by commonly used moving average rules filter rules or by two rules designed to exploit known features of target zone rates there is no evidence that the excess returns are compensation for bearing systematic risk

the statistical properties of daily foreign exchange rates 1974 1983 abstract this paper examines the statistical properties of daily rates of change of five foreign currencies from 1974 to 1983 the main purpose is to discriminate between two competing explanations for the observed heavy tails of the distribution that the data are independently drawn from a heavy tail distribution which remains fixed over time and that the data come from distributions which vary over time evidence point to the rejection of the first hypothesis further investigations show that the rejection can be attributed to changing means and variances in the data which can be described by a simple statistical model

market efficiency of brazilian exchange rate evidence from variance ratio statistics and technical trading rules abstract this study utilizes the variance ratio test to examine the behavior of brazilian exchange rate we show that adjustments for multiple tests and a bootstrap methodology must be employed in order to avoid size distortions we propose a block bootstrap scheme and show that it has much nicer properties than the traditional chow denning chow k v denning k c 1993 a simple multiple variance ratio test journal of econometrics 58 3 385 401 multiple variance ratio tests overall the method proposed in the paper provides evidence refuting the random walk behavior for the brazilian exchange rate for long investment horizon but consistent with the random walk hypothesis for short run horizon additionally we also test for the predictive power of variable moving average vma and trading range break trb technical rules and find evidence of forecasting ability for these rules nonetheless the excess return that can be obtained from such rules is not significant suggesting that such predictability is not economically significant

causality testing and its implications for dynamic econometric models in recent years considerable interest has been shown in economics in statistically testing whether one series causes another in the sense of granger 1969 most of this literature is concerned with bivariate relationships in a time series model free setting and little attempt has been made to consider the general usefulness of the granger causality concept for economic modelling in this paper causality testing is examined in the context of a dynamic linear simultaneous equation econometric model possibly with vector ma errors both the implications of granger unidirectional causality and the procedure for testing are considered the general multivariate autoregressive moving average arma system

performance of technical analysis in growth and small cap segments of the us equity market abstract a large universe of technical trading rules applied to a set of technology industry and small cap sector portfolios over the 1995 2010 period yields superior predictability after adjusting for data snooping bias in the first half of the sample period and delivers statistically significant profits for a number of portfolios when the transaction cost is assumed to be of small to moderate size technical analysis is not able to outperform the buy and hold approach for any portfolio in the set in the second half of the sample period the finding that the short term return predictability becomes much weaker in the more recent period suggests that the underlying segments of the equity market have become more efficient over time the fact that mechanical trading strategies have been futile after adjusting for data snooping bias for two samples of portfolios where technical analysis is most anticipated to succeed suggests that it is unlikely to have delivered abnormal returns in any other segment of the domestic equity market in the last decade

error correction mechanisms the interface between economic theory and applied econometrics is often one of uneasy compromise with the pragmatic justification for many accepted procedures resting on a theoretical base this paper examines the surprisingly strong arguments that exist in terms of economic theory for the use of error correction mechanisms in the specification of short run dynamic adjustment a common heresy exists that while economic theory provides a detailed analysis of comparative static equilibria it can offer no guidance as to the appropriate specification of dynamic adjustment towards an equilibrium perhaps in consequence it is not uncommon to find examples where the necessary dynamic specification is achieved by tacking onto an existing equilibrium specification some relatively ad hoc short run adjustment scheme the intercession of stochastic arguments in this process is confused and critical implications are frequently ignored in practice but perhaps more importantly there will typically be no guarantee that the dynamic specification is consistent with the prescribed equilibrium consistency in this sense requires that the short run dynamic adjustment be directed by the perceived disequilibrium and that eventual convergence to the equilibrium position be ensured that two separate theoretical arguments co exist within the final specification is the root cause of many difficulties both theoretical and empirical this abstract was borrowed from another version of this item

cointegration tests of the monetary exchange rate model for three high inflation economies tests of cointegration are applied to the monetary model of the exchange rate to determine if the model represents a long run equilibrium relation for three high inflation countries the countries tested are argentina chile and israel each paired with the united states as the base country evidence favorable to cointegration among the variables of the monetary model is found using johansen s maximum likelihood procedure copyright 1994 by ohio state university press

the significance of technical trading rule profits in the foreign exchange market a bootstrap approach abstract in this paper we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market we utilize a new data base currency futures contracts for the period 1976 1990 and we implement a new testing procedure based on bootstrap methodology our results suggest that simple technical trading rules have very often led to profits that are highly unusual splitting the entire sample period into three 5 year periods reveals that on average the profitability of some trading rules declined in the latest period although profits remained positive on average and significant in many cases jel f31 f47 g15

on long run solutions to dynamic econometric equations under rational expectations models of this type abound in the re literature and include inter alia the permanent income model of consumption hall i 978 sargent i 978 a models of factor demand sargent i978 b portfolio balance during hyperinflations sargent i977 foreign exchange rate determination mussa i976 i982 the term structure of interest rates shiller i972 modigliani and shiller i973 and the demand for money cuthbertson and taylor i987 the general formulation and estimation of such models is discussed in hansen and sargent i 980 in particular this type of equation arises naturally in models displaying the familiar re saddle path properties where the unstable root is solved forward sargent i979 if we define x zt i a e ai xt i o 3 may be written yt kytt1 te t et

estimation of short run and long run elasticities of energy demand from panel data using shrinkage estimators this article discusses the problem of obtaining short run and long run elasticities of energy demand for each of 49 states in the united states using data for 21 years estimation using the time series data by each state gave several wrong signs for the coefficients estimation using pooled data was not valid because the hypothesis of homogeneity of the coefficients was rejected shrinkage estimators gave more reasonable results the article presents in a unified framework the classical empirical bayes and bayes approaches for deriving these estimators

book review cointegration analysis in econometric modelling r i d harris harvester wheatsheaf london 1995 isbn 0 13 35582 4 pp ix 176 15 95

lessons from the evolution of foreign exchange trading strategies abstract the adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances this paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from foreign exchange forex technical rules in major and emerging markets the carry trade and us equities the results show that a backtesting procedure to choose optimal portfolios improves upon the performance of nonadaptive rules we also find that forex trading alone dramatically outperforms the s p 500 with much larger sharpe ratios over the whole sample but there is little gain to coordinating forex and equity strategies which explains why practitioners consider these tools separately forex trading returns dip significantly in the 1990s but recover by the end of the decade and have been markedly superior to an equity position since 1998 overall trading rule returns still exist in forex markets with substantial stability in the types of rules though they have migrated to emerging markets to a considerable degree

atheoretical macroeconometrics a critique abstract the spurious nature of the restrictions used to identify many macroeconometric models has led some researchers to advocate a style of econometric inquiry that is less dependent on prior theoretical restrictions of the sort that were central to the approach of the cowles commission this development which we call atheoretical macroeconometrics is summarized and evaluated in the current paper it is contrasted with an updated version of the cowles commission approach we conclude that while some of the exercises of atheoretical macroeconometrics are valid those that have attracted the most attention and appear the most innovative exogeneity testing impulse response analysis and policy analysis using estimated vector autoregressions are based on incorrect analysis

do euro exchange rates follow a martingale some out of sample evidence abstract traditional autocorrelation and variance ratio tests are based on serial uncorrelatedness rather than martingale difference as such they do not capture potential nonlinearity in mean which could lead to misleading inferences in favor of the martingale hypothesis this paper employs various parametric and nonparametric nonlinear models as well as several model comparison criteria to examine the potential martingale behavior of euro exchange rates in the context of out of sample forecasts the overall evidence indicates that while martingale behavior cannot be rejected for euro exchange rates with major currencies such as the japanese yen british pound and us dollar there is nonlinear predictability in terms of economic criteria with respect to several smaller currencies

on error correction models specification interpretation estimation abstract error correction models ecms have proved a popular organising principle in applied econometrics despite the lack of consensus as to exactly what constitutes their defining characteristic and the rather limited role that has been given to economic theory by their proponents this paper uses a historical survey of the evolution of ecms to explain the alternative specifications and interpretations and proceeds to examine their implications for estimation the various approaches are illustrated for wage equations by application to uk labour market data 1855 1987 we demonstrate that error correction models impose strong and testable non linear restrictions on dynamic econometric equations and that they do not obviate the need for modelling the process of expectations formation with the exception of a few special cases both the non linear restrictions and the modelling of expectations have been ignored by those who have treated ecms as merely reparameterisations of dynamic linear regression models or vector autoregressions

the first review of european union antidumping reviews the literature on antidumping ad has documented various aspects of this protectionist tool however a peculiar feature of ad has not received much attention these measures are endogenous to the behaviour of the exporting firms which can adjust the dumping margin by changing their export price and ask the authority to amend the ad measures accordingly the objective of this paper is to fill part of this gap in the literature by analysing the ad reviews conducted by the european union for affirmative petitions initiated in 1980 2009 to this end a novel data set of all such reviews has been assembled summary statistics reveal that more than a third of all petitions concluded with the imposition of ad measures are reviewed at least once before their expiration and most reviews lead to lower ad duties although almost 20 per cent of the firms investigated through interim reviews see their duties increase there are significant differences in the outcome of the reviews depending on the party requesting them i e reviews lodged by european producers are less likely to lead to lower duties these conclusions are confirmed by the econometric analysis which also shows that chinese firms see their duties reduced significantly less than those of firms from other countries

testing for market timing ability abstract in this paper we examine the henriksson merton test of market timing and its potential usefulness in evaluating investment advice the paper proposes a natural extension of the test that is valid under more general assumptions about the distribution of asset returns we show that the henriksson merton test and its more general counterpart are special cases of standard tests of market rationality and efficiency both tests are applied to a group of foreign exchange advisory services

the demand for tourism in north east england with special reference to northumbria an empirical analysis abstract this paper examines the trends of tourism in north east england in particular we focus on the area of northumbria to show the potential of tourism for economic development in the region within this analysis we concentrate on the demand for tourism in the region and in particular we are concerned with tourism by uk residents in northumbria domestic tourism the long run relationship between domestic tourism demand and a number of economic factors effecting this demand is considered using the johansen and juselius 1990 1992 multivariate cointegration analysis an error correction model is then proposed for short run forecasting of domestic demand for tourism in northumbria

commodity prices and growth an empirical investigation whereas empirical evidence on the effect of higher commodity prices on the long run growth of commodity exporters is ambiguous time series analyses using vector autoregressive var models have found that commodity booms raise income in the short run in this paper we adopt panel error correction methodology to analyze global data for 1963 to 2008 to disentangle the short and long run effects of international commodity prices on output per capita our results show that commodity booms have unconditional positive short term effects on output but non agricultural booms in countries with poor governance have adverse long term effects which dominate the short run gains our findings have important implications for non agricultural commodity exporters with poor governance especially in light of the recent wave of resource discoveries in low income countries

beating the foreign exchange market filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods as shown by statistical tests developed and implemented here the test is consistent with but independent of a wide variety of asset pricing models the profits found cannot be explained by risk if risk premia are constant over time inclusion of the home foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy and hold in the early years of the generalized managed floating that began in march 1973 filter rule profits in excess of buy and hold were found for many countries logue sweeney and willett 18 dooley and shafer 6 cornell and dietrich 5 it was unclear however whether such profits indicated inefficiencies first it was not clear that risk was adequately handled in such tests and often risk was ignored second there was no evidence such profits would be available postsample and third there was no statistical test of the significance of these profits this paper uses the logic of risk return tradeoffs to analyze the role of risk in such tests and illustrates the logic in a discussion using the sharpe lintner capital asset pricing model capm although a breeden consumption based capm a merton intertemporal capm or an arbitrage pricing model apm could easily be used the paper develops a test of statistical significance appropriate to foreign exchange markets section i analyzing the rate of return on foreign exchange speculation less the foreign domestic interest rate differential the test explicitly assumes that risk premia are constant over the sample the excess rates of return observable in using filters in going from a risk free dollar asset to a risk free deutsche mark dm asset persist into the 1980 s section ii and this is true even when taking account of transactions costs it turns out that these results for the dm case do not depend very much on the interestrate differential but primarily on exchange rate behavior this is useful to know because it is often quite difficult to find matching interest rate data of high quality for a sample of nine other currencies using only exchange rates section iii shows that the excess returns made in the first 610 days of the float persist in the next 1 220 days into the 1980 s dooley and shafer 7 find similar persistence in experiments that do not use buy and hold and have no significance tests when filter rule profits have been found in spot exchange markets it has often been argued that the profits are due to risk this paper uses the capm to analyze rates of return both to buy and hold and to filter strategies it turns out that the claremont mckenna college and claremont graduate school arthur d warga douglas joines and thomas d willett offered helpful comments and ning ning koo provided research assistance

purchasing power parity in the long run a test of the dollar pound exchange rate 1890 1978 this paper tests the purchasing power parity ppp hypothesis by analyzing t he long run tendency of the dollar pound exchange rate using data sin ce 1890 two different models are considered 1 a na ive model and 2 a modified monetary model the conditions of propor tionality and symmetry cannot be rejected when using the naive model the final results using the monetary model however indicate that t he existence of permanent deviations from ppp cannot be ruled out copyright 1987 by ohio state university press

reinterpreting the dhsy 1978 consumption function with hindsight the justification for davidson hendry srba and yeo s dhsy s selection of their favoured equation is shown to be based upon contradicting assumptions about inflation the empirically supported model is argued not to have a theoretically justified error correction interpretation the exclusion of the intercept biases the error correction term such that it becomes significant and negative but undermines the theoretical plausibility of the long run target more generally the statistical need to include an intercept in any regression to avoid parameter bias is demonstrated the rise in inflation in the 1970s is not considered to be a credible explanation of the fall in the average propensity to consume apc from the 1950s and is shown to have questionable empirical support when a below unit income elasticity is allowed for the recent articles which have found support for dhsy s favoured formulation augmented by time varying parameters using the most contemporary uk data should be viewed with caution new interpretations for the dhsy model s persistent success are called for if it is not to be considered that dubious regressions have been resurrected

tax and spend or spend and tax an inquiry into the turkish budgetary process for resolving the budget deficit problem some economists have advocated spending cuts while others support either tax increases or tax cuts this paper investigates the interrelationship between the two fiscal variables for turkey using bivariate and multivariate cointegrating models the engle granger and johansen tests consistently support the existence of one nonzero cointegrating vector representing a stable long run relationship between government spending and revenues in turkey furthermore the multivariate error correction model suggests that taxes unidirectionally granger cause negative changes in spending in accordance with the buchananwagner hypothesis thus from the perspective of policy making and the deficit solution debate raising taxes in turkey is perhaps the optimal solution to the current budget deficit predicament contemporary economies perhaps without exception have been plagued with huge and escalating government budget deficits these deficits are expected to have adverse economic consequences including high real interest rates slow capital formation and high unemployment rates moreover to the extent that the deficit is financed through the issuance of government bonds the recurrent large deficits have further worsened the public debt problem which threatens the well being of numerous countries both developed and developing therefore researchers and policymakers have expended enormous efforts attempting to analyze the deficit problem and to suggest ways to resolve it some for example advocate cuts in government spending rather than tax increases as the optimal solution to the deficit dilemma they reason that governments often spend all that they receive in taxes and perhaps much more under this line of reasoning raising taxes would simply induce more spending leaving the deficit unchanged or even higher others however deny this implied tax and spend nexus and argue that it is taxes that adjust gradually to spending under this latter scenario tax increases will not lead to higher spending and thus could be used as an effective deficit cutting measure along with spending cuts still other researchers posit that changes in spending and taxes could occur simultaneously therefore focusing on one component of the government budget while ignoring the interdependence with the other component would have an ambiguous overall effect on the deficit

sargan s wage equation a theoretical and empirical reconstruction sargan s 1964 wage equation is respecified within the feedback control framework to which it belongs and confronted with quaterly british data the amended version clearly out performs the original and a version estimated over 1967 i 1974 iv yields acceptable predictions through 1975 i 1977 iv

time varying parameter error correction models the demand for money in venezuela 1983 i 1994 iv the possibility of using time varying parameter models in the context of error correction models is studied empirically as an application a money demand relationship m1 for venezuela is estimated from 1983 to 1994 within a cointegrated var framework first the stochastic properties of the series are analysed studying each corresponding order of integration second the existence of a long run stable relation between the variables involved has been investigated and then the cointegration relation and the short run adjustment mechanism estimated as both relations are identified in the context of constant parameters a stability analysis is performed finally the technique of kalman filtering is used to estimate a model that permits the short run parameters to vary while the parameters of the long run relation are kept constant

on the short term predictability of exchange rates a bvar time varying parameters approach abstract in this paper we propose a bayesian vector autoregressive model with time varying parameters bvar tvp to examine the short term predictability of exchange rates an important contribution of the paper is the application of the bvar tvp model for the first time to daily data using information from financial markets another contribution is the production of forecasts in real time at the very short horizon of one trading day ahead typically used by traders and investors in financial markets we employ financial criteria and recently developed statistical tests to assess the exchange rate predictability we find that the bvar tvp model outperforms the random walk for all exchange rates these forecast gains are due primarily to the time variation of coefficients and secondly to information from other financial markets it is shown that international investors could have made statistically significant excess profits if they had followed an inter day trading strategy based on the buy sell signals generated by the model s one day ahead exchange rate forecasts even after allowing for transaction costs and risk factors

trading rule profits in european currency spot cross rates abstract the moving average ma trading rule is applied to six european spot cross rates jy bp dm bp jy dm sf dm sf bp and jy sf to see if opportunities for profitable trading exist the results suggest that ma trading rules are marginally profitable only for the jy dm and the jy sf cross rates while trading rules are not profitable for the other four cross rates bootstrapping and out of sample tests provide similar results examination of subsamples characterized by central bank intervention do not produce different results computation of box pierce statistics adjusted for heteroscedasticity show that daily returns for all six cross rates are serially uncorrelated overall the results suggests that cross rates are sufficiently transparent to eliminate ma trading rule profit

new models for new labour the political economy of labour party support january 1992 april 1997 this article uses newly available british time series data to analyze dynamic interrelationships among labour vote intentions perceptions that the labour leader would make the best prime minister and labour party identification error correction models reveal that best prime minister perceptions and party identification have important short and long run influences on vote intentions tests of rival models indicate that personal economic expectations outperform other economic evaluations in the vote intention and party identification analyses national retrospective judgments perform well in analyses of best prime minister perceptions and emotional reactions to economic conditions significantly influence these perceptions as well as party identification

a cautionary note on the interpretation of long run equilibrium solutions in conventional macro models in recent years the modelling methodology associated with hendry and mizon i978 and davidson et al i978 has become standard practice in the econometric estimation of many key relationships in uk macro models this note takes issue with one aspect of this methodology namely the recommendation that the static equilibrium solution of final estimated forms should conform with static steady state economic theory the main contention is that dynamic estimated forms that make no explicit acknowledgement of expectational processes will often prove incapable on their own of yielding estimates of true steady state equilibrium or long run parameters particularly under rational expectations it is stressed that the long run solutions of conventional distributed lag equations cannot be interpreted in isolation from the parameters of the sample period datageneration processes for the rationally expected variables the point applies equally well to the interpretation of either staticor dynamic equilibrium solutions after developing the reasoning in a static equilibrium framework the natural extension to the context of dynamic equilibrium as characterised by currie i98i is presented the basic principles on which the argument is based are in no way new they were originally developed by sargent i97i and lucas i972 and have gained widespread application in the rational expectations literature for example in lucas s i976 critique of econometric policy evaluation recently mccallum i984 has applied them to discredit the general validity of using the lowfrequency or long periodicity components of economic time series to test the long run propositions of economic theory this note merely attempts a reexposition with particular reference to the evaluation of equation properties in models that purport to represent intertemporal behaviour without explicitly characterising expectational processes were it not a prevalent practice to identify the long run solutions particularly the static versions of such equations with the parameters of static steady state economic theory this note would not be necessary however the evidence suggests otherwise and seems to justify the need for a restatement that exposes the potential for this procedure to give rise to seriously misleading conclusions when expectational processes are important in the case of rational expectations it is shown that if proper thought is given to the dependence of expectations formation on sample period time series behaviour then the problems are by no means insurmountable

central bank intervention and trading rule profits in foreign exchange markets abstract moving average trading rules are utilized in both futures and spot foreign currency markets to show that significant positive profits can be earned in four of five currencies examined the results are consistent for both in sample and forward simulation tests regression results demonstrate that central bank intervention is strongly associated with the profitability of trading returns for the three major currencies dm yen and pound and partially explains returns for the sf and cd consistent with conjectures in previous studies that news concerning intervention tends to be revealed over weekends we find that moving average trading rule returns are significantly positive on fridays and mondays and not significantly different from zero in the middle of the week

asymmetric stationarity in national stock market indices an mtar analysis a procedure is developed using a momentum threshold autoregressive model and asymmetric stationarity tests designed to identify periods of asymmetric stationary divergences from nonstationary paths in time series and is applied to major national stock indices the results reveal the existence of asymmetric stationary periods in each of these indices these results suggest an explanation for the counterintuitive positive forecasting results of technical traders for various time periods we explore this possibility further by using a representative moving average technical trading strategy and find significantly different results higher returns when information from the procedure is incorporated into a trading rule

do central banks lose on foreign exchange intervention a review article abstract estimates of central bank intervention losses or profits vary widely some estimates find substantial losses others profits in most cases estimated profits are not risk adjusted and risk adjustment can have large effects furthermore profit estimates involve variables integrated of order one and because of this test statistics may have nonstandard distributions few studies take this into account estimates of risk adjusted profits for the us fed and the swedish riksbank with allowances for possible nonstandard distributions suggest that neither made losses and might have made significant profits

fuel demand on uk roads and dieselisation of fuel economy abstract because of high oil prices and climate change policy governments are now seeking ways to improve new car fuel economy thus contributing to air quality and energy security one strategy is to increase dieselisation rates of the vehicle fleet recent trends in fuel economy show improvement since 1995 however efforts need to go further if the eu voluntary agreement targets on co 2 a greenhouse gas emission standard are to be achieved trends show diesel car sales have accelerated rapidly and that the advantage of new car fuel economy of diesel cars over gasoline ones is narrowing posing a new challenge we estimate the demand for new car fuel economy in the uk in the long run consumers buy fuel economy but not in the short run we found that long term income and price changes were the main drivers to achieve improvements particularly for diesel cars and that there is no break in the trend of fuel economy induced by the agreement adopted in the 1990s policy should target more closely both consumer choice of and use of diesel cars

temporal causality and the dynamics of different categories of crime and their socioeconomic determinants evidence from australia hale and sabbagh 1991 failed to find cointegration i e a long term equilibrium relationship between crime and unemployment in the case of england and wales the present study basedon multiple cointegrationtests preceded by various unit root or non stationarity tests is the first attempt at putting the analysis of crime in a temporal granger causal framework in the australian case 1963 90 by binding the relationship between different categories of crime and their socioeconomic determinants within a multivariate cointegrated system the results based on the most recent methodology broadly indicate that although the relative importance of the determinants of crime varied by type of crime of all the determinants it is dwelling commencements a proxy for wealth that appears to impact more or less on all the categories of crime significantly followed by urbanization

interpreting long run equilibrium solutions in conventional macro models a comment c m kelly 1985 claims that long run solutions from econometric models may be seriously misleading when expectations variables are erroneou sly replaced by observed outcomes it is shown that his results deriv e uniquely from an invalid exogeneity assumption all inferences are therefore potentially invalid illustrated by a case where the long r un is correct while the short run is biased using an encompassing fr amework error variance rankings and related tests distinguishing exp ectational from conditional models are derived for stationary cases for nonstationary integrated series the long run will be correctly e stimated when the data are cointegrated whereas the short run remain s biased copyright 1988 by royal economic society

model free evaluation of directional predictability in foreign exchange markets we examine directional predictability in foreign exchange markets using a model free statistical evaluation procedure based on a sample of foreign exchange spot rates and futures prices in six major currencies we document strong evidence that the directions of foreign exchange returns are predictable not only by the past history of foreign exchange returns but also the past history of interest rate differentials suggesting that the latter can be a useful predictor of the directions of future foreign exchange rates this evidence becomes stronger when the direction of larger changes is considered we further document that despite the weak conditional mean dynamics of foreign exchange returns directional predictability can be explained by strong dependence derived from higher order conditional moments such as the volatility skewness and kurtosis of past foreign exchange returns moreover the conditional mean dynamics of interest rate differentials contributes significantly to directional predictability we also examine the co movements between two foreign exchange rates particularly the co movements of joint large changes there exists strong evidence that the directions of joint changes are predictable using past foreign exchange returns and interest rate differentials furthermore both individual currency returns and interest rate differentials are also useful in predicting the directions of joint changes several sources can explain this directional predictability of joint changes including the level and volatility of underlying currency returns copyright 2007 john wiley sons ltd

naive trading rules in financial markets and wiener kolmogorov prediction theory a study of technical analysis this article attempts a formal study of technical analysis which is a class of informal prediction rules often preferred to wiener kolmogorov prediction theory by participants of financial markets yet wiener kolmogorov prediction theory provides optimal linear forecasts this article investigates two issues that may explain this contradiction first the article attempts to devise formal algorithms to represent various forms of technical analysis in order to see if these rules are well defined second the article discusses under which conditions if any technical analysis might capture those properties of stock prices left unexploited by linear models of wiener kolmogorov theory copyright 1991 by university of chicago press