State-space estimation of

Download 58.5 Kb.
Size58.5 Kb.
1   2   3   4   5   6   7   8   9


Ahmed, Ehsan, Roger Koppl, J. Barkley Rosser, Jr., and Mark V. White (1997). Complex Bubble Persistence in Closed-End Country Funds. Journal of Economic Behavior and Organization 32:19-37.
Blanchard, Olivier J. and Mark W. Watson (1982). Bubbles, Rational Expectations, and Financial Markets. In Paul Wachtel (ed.), Crises in the Economic and Financial Structure. pp. 295-315, Lexington: D.C. Heath.
Brock, William A. (1974). Money and Growth: The Case of Long-Run Perfect Foresight. International Economic Review 15:750-777.
Burmeiser, Edwin and Kent D. Wall (1982). Kalman Filtering Estimation of Unobserved Rational Expectations with an Application to the German Hyperinflation. Journal of Econometrics 20:255-284.
DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldman (1990). Positive Feedback Investment Strategies and Destabilizing Rational Speculation. Journal of Finance 45:379-395
Evans, George W. (1986). A Test for Speculative Bubbles in the Sterling-Dollar Exchange Rate. American Economic Review 76:621-636.
Flood, Robert A. and Peter M. Garber (1980). Market Fundamentals versus Price-level Bubbles: The First Tests. Journal of Political Economy 88:745-770.
Frankel, Jeffrey A. and Richard A. Meese (1987). Are Exchange Rates Excessively Volatile? NBER Macroeconomics Annual 2:117-153.
___________________ and Andrew K. Rose (1995). Empirical Research on Nominal Exchange Rates. In Gene Grossman and Kenneth Rogoff (eds.), The Handbook of International Economics, vol. 3. pp. 1689-1729, Amsterdam: Elsevier Science Publishers.
Froot, Kenneth A. and Jeffrey A. Frankel (1989). Forward Discount Bias: Is It an Exchange Risk Premium? Quarterly Journal of Economics 104:139-161.
Harvey, A.C. (1989). Forecasting Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press.
IMF, (1980-1996). International Financial Statistics, International Monetary Fund, Washington.
Ito, Takatoshi (1990). Foreign Exchange Rate Expectations: Micro Survey Data. American Economic Review 80:434-449.
____________ and Tokuo Iwaisako (1995). Explaining Asset Bubbles in Japan. NBER working paper No. 5358.
Liu, Peter and G.S. Maddala (1992). Rationality of Survey Data and Tests for Market Efficiency in the Foreign Exchange Markets. Journal of International Money and Finance 11:366-381.
McDonald, Ronald (1990). Are Exchange Market Forecasters ‘Rational’: Some Survey-Based Tests. The Manchester School of Economic and Social Studies 58:229-241.
Meese, Richard A. (1986). Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates? Journal of Political Economy 94:345-373.
Rogoff, Kenneth (1996). The Purchasing Power Parity Puzzle. Journal of Economic Literature 34:647-668.
Rosser, J. Barkley, Jr. (1991). From Catastrophe to Chaos: A General Theory of Economic Discontinuities. Boston/Dordrecht: Kluwer Academic Publishers.
________________ and Marina V. Rosser (1996). Comparative Economics in a Transforming World Economy. Chicago: Richard D. Irwin.
Tirole, Jean (1982). On the Possibility of Speculation under Rational Expectations. Econometrica 50:1163-1181.
Wallace, Neil (1990). Why Markets in Foreign Exchange are Different from Other Markets. Federal Reserve Bank of Minneapolis Quarterly Review 14, Winter, 12-18.
Woo, Wing Thye (1987). Some Evidence of Speculative Bubbles in the Foreign Exchange Markets. Journal of Money, Credit and Banking 19:499-514.
Wu, Yangru (1995). Are There Rational Bubbles in Foreign Exchange Markets? Evidence from an Alternative Test. Journal of International Money and Finance 14:27-46.
Zweig, Martin E. (1973). An Investor Expectations Stock Price Predictive Model Using Closed-End Fund Premiums. Journal of Finance 28:67-87.

Share with your friends:
1   2   3   4   5   6   7   8   9

The database is protected by copyright © 2020
send message

    Main page