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The US stock market and the international value of the dollar

Article Abstract:

The spillover effect of the US equity market on the dollar and also on the return and volatility of US equity investments for the international investor is investigated using data from daily observations of the S & P 500 and the US dollar in terms of seven foreign currencies for the period 1971-2002. Using Geweke measures of feedback, the analysis shows a high contemporaneous association between the two indices. A consistently positive relationship in the period 1992-2002 creates a compounding effect for foreign investors in US equities.

Foreign exchange, Foreign exchange rates, Capital market, Capital markets, Dollar (United States)

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Is the US fiscal deficit sustainable? a fractionally integrated approach

Article Abstract:

Fractional integration techniques are used to study the sustainability of the US fiscal deficit. The results show that US real revenues and government expenditures are both integrated of order 1 variables, which means that the fiscal deficit is mean reverting, and sustainable though the adjustment process toward equilibrium will take a very long time. The public deficit in the US is a 1(d) process with the fractional integration parameter d being slightly less than unity.

Economic aspects, Budget deficits, Sustainable growth (Business)

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Real convergence in Africa in the second-half of the 20th century

Article Abstract:

Time series methods, which are used to examine economic integration in Africa in later part of 20th century, are presented.

Africa, Analysis, Usage, 20th century AD, International economic integration, Economic integration, Time-series analysis, Time series analysis

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