Economics - Research Publications

Permanent URI for this collection

Search Results

Now showing 1 - 10 of 12
  • Item
    Thumbnail Image
    Equity return and short-term interest rate volatility: level effects and asymmetric dynamics
    Henry, Olan T. ; OLEKALNS, NILSS ; Suardi, Sandy ( 2005-07)
    Evidence suggests that short-term interest rate volatility peakswith the level of short rates, while equity volatility responds asymmetricallyto positive and negative shocks. We present an LM basedtest that distinguishes between level effects and asymmetry in volatilitywhich is robust to the presence of unidentified nuisance parametersunder the null. There is strong evidence of a level effect and asymmetricresponse in the relationship between S&P 500 Index returns and3-month US Treasury Bills. The conditional covariance depends onthe level of the short rate which has implications for hedging equityreturns against short term interest rate movements.
  • Item
    Thumbnail Image
    Testing for rate-dependence and asymmetry in inflation uncertainty: evidence from the G7 economies
    Henry, Olan ; OLEKALNS, NILSS ; Suardi, Sandy ( 2006-02)
    The Friedman-Ball hypothesis implies a link between the inflation rate and inflationuncertainty. In this paper we employ a new test for the joint null hypothesis of no dependenceeffects and no asymmetry in the G7 inflation volatility. The results show that higher inflationrates operate additively via the conditional variance of inflation to induce greater inflationuncertainty in the U.S., U.K. and Canada. In addition, positive inflationary shocks are found togenerate greater inflation uncertainty than negative shocks of a similar magnitude in the U.K. andCanada.
  • Item
    Thumbnail Image
    Time Variation and Asymmetry in the World Price of Covariance Risk: The Implications for International Diversification
    Henry, Olan T. ; OLEKALNS, NILSS ; Shields, Kalvinder ( 2004-06)
    The International Capital Asset Pricing Model measures countryrisk in terms of the conditional covariance of national returns withthe world return. Using impulse responses from a multivariate nonlinearmodel we provide evidence of time variation and asymmetry inthe measure of country risk. and the implied benefit to internationaldiversification. The evidence implies that the price of risk and the benefitsfrom diversification may differ in a statistically and economicallymeaningful fashion across bull and bear markets.
  • Item
    Thumbnail Image
    The Displacement Hypothesis and Government Spending in the United Kingdom: Some New Long-Run Evidence
    Henry, Olan ; OLEKALNS, NILSS ( 2000-06)
    This paper presents new evidence on the ability of Peacock and Wiseman'sdisplacement hypothesis to explain temporal increases in the ratio ofgovernment expenditure to GDP in the United Kingdom. Using univariatemodelling techniques that are robust to structural changes in the underlyingdata generating process and a data set extending back to 1836, we find fourinstances where displacement may be said to have occurred.
  • Item
    Thumbnail Image
    Enriching the learning experience: a CALM approach
    JOHNSTON, CAROL ; OLEKALNS, NILSS ( 2000-12)
    This paper outlines and evaluates a new learning strategy implemented in the Faculty of Economics and Commerce at the University of Melbourne. The strategy is an Internet based assignment delivery and assessment system designed to (i) equip students to make the link between macroeconomic theory and important real-world issues, (ii) develop positive attitudes to the subject iii) develop deep approaches to learning (iv) develop a facility for critical analysis and problem solving and v) develop effective study habits. Using a multi-dimensional evaluation strategy, the indications are that the new approach has succeeded in its aim.
  • Item
  • Item
    Thumbnail Image
    The teaching of first year economics in Australian universities
    OLEKALNS, N (Department of Economics, The University of Melbourne, 2002)
  • Item
    Thumbnail Image
    Sign and phase asymmetry: News, economic activity and the stock market
    Henry, O ; Olekalns, N ; Shields, K (ELSEVIER SCIENCE BV, 2010-12)
  • Item
    Thumbnail Image
    Peacock and Wiseman's displacement hypothesis: some new long-run evidence for the UK
    Henry, O ; Olekalns, N (ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2010)
  • Item
    Thumbnail Image
    Deviations from uncovered interest parity in Malaysia
    Goh, SK ; Lim, GC ; Olekalns, N (Informa UK Limited, 2006-06-15)