This paper studies the asymptotic behaviour of least squares estimates in a stock adjustment model when the variables are nonstationary. The paper first considers the cas[...]

Based on historical accounts of "manias and panics," we explore a model of speculative behaviour in which apparent overvaluation increases the probability of a stock mark[...]

In this paper, we report results of a Monte Carlo study designed to examine the power of direct tests for non-linearity. The example we use is the Phillips curve. We spec[...]

In this paper, we provide econometric evidence that suggests that the Canadian Phillips curve is non-linear. The non-linearity has two important characteristics. First, t[...]

The consumer price index (CPI) may be an imperfect measure of changes in the cost of living owing to measurement biases known as commodity substitution bias, new goods bi[...]

This report presents different tests of market efficiency in the when- issued market for Government of Canada treasury bills and examines the effectiveness, in this marke[...]

This paper develops a new test for speculative bubbles which is applied to data for the exchange rate of the Japanese yen, the Deutsche mark and the Canadian dollar again[...]