We present a jump-diffusion international asset pricing model with stochastic exchange rates and inflation rates when investors consume both traded and nontraded goods. We argue that in general, the Adler-Duma inflation rate differential may not capture PPP deviation risks, unless all volatilities, drift rates and jumps rates for price levels, exchange rates and asset returns are constant, and ...

The purpose of this study is to analyze the relationship between inflation, BI interest rates, and exchange rates on Mudharabah Murabahah financing at Sharia Commercial Banks. This research a quantitative that applies Johansen Integration Test Vector Error Correction Model see long-term impact shock response certain variables. Research findings show rate has significant negative in short term i...

We investigate whether the perception of economy-wide inflation is affected by the frequency with which various goods' prices are observed. We provide novel experimental evidence that consumers' perceptions of aggregate inflation are systematically biased toward the perceived inflation rates of the frequently purchased items. This ‘frequency bias’ may affect consumers’ consumption and investmen...

We propose a simple modification to the general-to-specific lag-length selection method typically employed in a standard augmented Dickey-Fuller (ADF) test and apply it to examine the stationarity of OECD countries’ inflation rates. Instead of using the entire set of lags selected by the general-to-specific method, we suggest using only the lags that are statistically significant. Our Monte Car...

This paper attempts to examine the linkages among inflation, unemployment and crime rates in Malaysia. The sample period covered annual data from 1970 to 2006. The Bartlett corrected trace test proposed by Johansen (2002) was employed as being appropriate for small sample study. The corrected trace test affirmed the existence of long run equilibrium relationship between crime rate and its deter...

This paper studies the relationship between inflation, output, money and interest rates in the euro area, using data spanning 1980–2000. The P model is shown to have considerable empirical support. Thus, the “price gap” or, equivalently, the “real money gap” (the gap between current real balances and long-run equilibrium real balances), has substantial predictive power for future inflation. The...

We examine investor behavior under interest and inflation risk in different scenarios. To that end, we analyze the relation between stock returns and unexpected changes in nominal and real interest rates and inflation for the US stock market. This relation is examined in detail by breaking the results down from the US stock market level to sector, sub-sector, and to individual industries as the...