https://www.um.edu.mt/library/oar/handle/123456789/28480 2026-03-11T09:30:28Z 2026-03-11T09:30:28Z Deadman, Derek F. Mealli, Fabrizia Pyle, David J. https://www.um.edu.mt/library/oar/handle/123456789/30343 2018-05-25T01:29:41Z 1998-01-01T00:00:00Z

Title: Cash limits and the control of public expenditure in the United Kingdom Authors: Deadman, Derek F.; Mealli, Fabrizia; Pyle, David J. Abstract: This paper uses a generalisation of intervention analysis to examine quarterly data on UK public expenditure from 1963:1 to 1992:4. The aim is to test whether government policy, and particularly the introduction of cash limits, had any significant effect upon the level of real public expenditure. Four series are examined. These are for (i) central government consumption, (ii) local authority consumption, (iii) general government capital formation and (iv) transfer payments. No evidence is found of intervention effects that can be attributed to cash limits.

1998-01-01T00:00:00Z Donatos, George S. Meintanis, Simos G. https://www.um.edu.mt/library/oar/handle/123456789/30334 2018-05-25T01:29:32Z 1998-01-01T00:00:00Z

Title: Robust estimators of ar-models : a comparison Authors: Donatos, George S.; Meintanis, Simos G. Abstract: Many regression-estimation techniques have been extended to cover the case of dependent observations. The majority of such techniques are developed from the classical least squares, M and GM approaches and their properties have been investigated both on theoretical and empirical grounds. However, the behavior of some alternative methods- with satisfactory performance in the regression case- has not received equal attention in the context of time series. A simulation study of four robust estimators for autoregressive models containing innovation or additive outliers is presented. The robustness and efficiency properties of the methods are exhibited, some finite-sample results are discussed in combination with theoretical properties and the relative merits of the estimators are viewed in connection with the outlier-generating scheme.

1998-01-01T00:00:00Z Karfakis, Costas Phipps, Anthony https://www.um.edu.mt/library/oar/handle/123456789/30333 2018-05-25T01:29:31Z 1998-01-01T00:00:00Z

Title: Modelling the US$/A$ exchange rate using cointegration techniques Authors: Karfakis, Costas; Phipps, Anthony Abstract: Recent evidence indicates that Australia's real effective exchange rate, its terms of trade and a long-term real interest rate differential form a cointegrating relationship. This paper uses this evidence to analyse the nominal US$/A$ exchange rate. The US$/A$ rate is found to be cointegrated with the terms of trade and relative price levels. However, interest rate differentials appear to add nothing to this long-run relationship. Estimated error correction models suggest that there is a substantial two-way relationship between nominal exchange rate changes and changes in the terms of trade. This evidence indicates that the small, open-economy assumption of exogenously given terms of trade may be inappropriate when modelling movements in the US$/A$ exchange rate. Changes in a long-run interest rate differential, possibly reflecting differences in expected inflation rates, contribute significantly to an explanation of short-run changes in the nominal exchange rate.

1998-01-01T00:00:00Z Piotrowska, Maria https://www.um.edu.mt/library/oar/handle/123456789/30328 2018-05-25T01:29:30Z 1998-01-01T00:00:00Z

Title: Factors influencing the money market Authors: Piotrowska, Maria Abstract: The paper presents the results of testing the expectations hypothesis and the market segmentation hypothesis in respect to the T-bill market in Poland. The impacts of interbank money rates and exchange rate on the T-bill yield curve is also examined. Methodology is based on a cointegration analysis.

1998-01-01T00:00:00Z