Lori Leachman

Journal article Economic Inquiry · September 12, 2005 Using multicointegration methodology, we develop criteria for testing sustainability of fiscal budgeting processes across all states of nature. Criteria are derived from the optimal control literature where levels and rates of change of a system of variabl ... Full text Open Access Cite

Twin deficits: Apparition or reality?

Journal article Applied Economics · January 1, 2002 This paper uses cointegration and multicointegration analysis to explore the issue of twin deficits for the USA in the post-World War II period. The results suggest that prior to 1974 the systems of fiscal and foreign sector variables exhibit multicointegr ... Full text Cite

Multicointegration analysis of the sustainability of foreign debt

Journal article Journal of Macroeconomics · January 1, 2000 Using the multicointegration framework suggested by Granger and Lee (1989, 1990) and developed in Engsted, Gonzalo and Haldrup (1997) and Haldrup (1997) this study explores the long-run relationship between components of the U.S. current account during two ... Full text Cite

Superexogeneity and the dynamic linkages among international equity markets

Journal article Journal of International Money and Finance · June 1, 1998 In this article, we combine the Johansen procedure for cointegration testing with tests of weak exogeneity and invariance in order to ascertain whether a system of equity markets is characterized by superexogeneity. Superexogeneity is rejected for the syst ... Full text Open Access Cite

Intertemporal solvency in the small open economy of Australia

Journal article Economic Record · January 1, 1998 This paper employs cointegration and multicointegration analysis to explore the issue of external solvency in the small open economy of Australia. Results indicate that in the fixed exchange-rate era exports and imports are multicointegrated while in the m ... Full text Cite

New evidence on the Ricardian equivalence theorem: A multicointegration approach

Journal article Applied Economics · January 1, 1996 This paper derives major theoretical constructs which underlie Richardian equivalence, and using multicointegration methodology, empirically tests whether they bear out. Results indicate that government spending and revenues are cointegrated. However, the ... Full text Cite

The volatility and transmission of equity returns among the G-7 countries: The post-Bretton Woods experience

Journal article International Review of Applied Economics · January 1, 1996 This paper models the volatility of national stock market returns of the G-7 countries using ARCH and GARCH modeling techniques. Then, via the use of vector autoregression analysis, the international transmission of volatility among the countries is explor ... Full text Cite

Equity market return volatility: Dynamics and transmission among the G-7 countries

Journal article Global Finance Journal · January 1, 1996 Full text Cite

Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords

Journal article Journal of Macroeconomics · January 1, 1995 This paper examines the long-run relation between two systems of equity markets in the post Bretton Woods era. In particular, we examine whether central bank intervention as prescribed by the Plaza and Louvre Accords impacted the long-run relationships cha ... Full text Cite

Saving, investment, and capital mobility: A comment on Leachman-A reply

Journal article Open Economies Review · March 1, 1994 Full text Cite

Saving, investment, and capital mobility among OECD countries

Journal article Open Economies Review · June 1, 1991 Historically investigations of the international mobility of capital have studied rates of return on similar assets denominated in different currencies. Recently, however, efforts directed at ascertaining the degree of international capital mobility have e ... Full text Cite

"Causality Between Investment and Savings Rates: Inferences for the International Mobility of Capital Among OECD Countries"

Journal article International Economic Journal · 1990 Cite

"Predicting Residential Investment"

Journal article Studies in Economic Analysis · 1981 Cite