Kon S. Lai
 Department of Economics & Statistics
California State University
Los Angeles, CA 90032 



Sample of Research Work

 

    "Nonlinear Trend Stationarity in Global and Hemispheric Temperatures," 

Applied Economics Letters, forthcoming.  [ PDF ]

[coauthor: M. Yoon]

    "Structural Change and Long-Run Reversion in the Ex Ante Real Interest Rate,"

Applied Economics Letters, 22 (December 2015), 1281-1286.  [ PDF ]

    "Trade Openness, Market Competition, and Inflation: Some Sectoral Evidence from OECD Countries,"

International Journal of Finance and Economics, 17 (October 2012), 321-336.  [ PDF ]

[coauthors: M. Binici and Y.W. Cheung]

    "The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations,"

Applied Economics, 43 (January 2011), 1-18.  [ PDF ]

[coauthors: M. Bergman and Y.W. Cheung]

    "A Multiple-Horizon Search for the Role of Trade and Financial Factors in Bilateral Real Exchange Rate Volatility,"

Journal of Economics and Management, 5 (July 2009),187-218.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: New Evidence from Dual

Exchange Rates in Developing Countries," Japan and the World Economy, 20 (August 2008), 415-434.  [ PDF ]

[coauthor: Y.W. Cheung]

    "The Puzzling Unit Root in the Real Interest Rate and Its Inconsistency with Intertemporal Consumption Behavior,"

Journal of International Money and Finance, 27 (February 2008), 140-155.  [ PDF ]

    "A Reappraisal of the Border Effect on Relative Price Volatility,"

International Economic Journal, 20 (December 2006), 495-513.  [ PDF ]

[coauthor: Y.W. Cheung]

    "A Threshold Cointegration Analysis of Asymmetric Price Transmission From Crude Oil to Gasoline Prices,"

Economics Letters, 89 (November 2005), 233-239.

[coauthors: L.H. Chen and M. Finney]

    "Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments,"

Journal of International Economics, 64 (October 2004), 135-150.  [ PDF ]

[coauthors: Y.W. Cheung and M. Bergman]

    "On Structural Shifts and Stationarity of the Ex Ante Real Interest Rate,"

International Review of Economics and Finance, 13 (April 2004), 217-228.  [ PDF ]

    "Long Memory and Nonlinear Mean Reversion in Japanese Yen-based Real Exchange Rates,"

Journal of International Money and Finance, 20 (February 2001), 115-132.  [ PDF ]

[coauthor: Y.W. Cheung]

    "On the Purchasing Power Parity Puzzle,"

Journal of International Economics, 52 (December 2000), 321-330.  [ PDF ]

[coauthor: Y.W. Cheung]

    "On Cross-country Differences in the Persistence of Real Exchange Rates,"

Journal of International Economics, 50 (April 2000), 375-397.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Macroeconomic Determinants of Long-term Stock Market Comovements Among Major EMS Countries,"

Applied Financial Economics, 9 (June 1999), 73-85.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Parity Reversion in Real Exchange Rates During the Post-Bretton Woods Periods,"

Journal of International Money and Finance, 17 (August 1998), 597-614.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Economic Growth and Stationarity of Real Exchange Rates:  Evidence from Some Fast Growing Asian Countries,"

Pacific-Basin Finance Journal, 6 (May 1998), 61-76.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Power of the Augmented Dickey-Fuller Test with Information-Based Lag Selection"

Journal of Statistical Computation and Simulation, 60 (January 1998), 57-65.

[coauthor: Y.W. Cheung]

    "Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test,"

Econometric Theory, 13 (October 1997), 679-691.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Long-term Persistence in the Real Interest Rate: Some Evidence of a Fractional Unit Root?"

International Journal of Finance and Economics, 2 (July 1997), 225-235.  [ PDF ]

    "Is the Real Interest Rate Unstable? Some New Evidence,"

Applied Economics, 29 (March 1997), 359-364.  [ PDF ]

    "Estimating Finite Sample Critical Values for Unit Root Tests Using Pure Random Walk Processes,"

Journal of Time Series Analysis, 16 (September 1995), 493-498.

[coauthor: Y.W. Cheung]

    "Lag Order and Critical Values of a Modified Dickey-Fuller Test,"

Oxford Bulletin of Economics and Statistics, 57 (August 1995), 411-419.  [ PDF ]

[coauthor: Y.W. Cheung]

    "A Search for Long Memory in International Stock Returns,"

Journal of International Money and Finance, 14 (August 1995), 597-615.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Lag Order and Critical Values of the Augmented Dickey-Fuller Test,"

Journal of Business and Economic Statistics, 13 (July 1995), 277-280.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Purchasing Power Parity under the European Monetary System,"

Journal of International Money and Finance, 14 (April 1995), 179-189.  [ PDF ]

[coauthors: Y.W. Cheung, H.G. Fung, and W.C. Lo]

    "Mean Reversion in Real Exchange Rates,"

Economics Letters, 46 (November 1994), 251-256.  [ PDF ] 

[coauthor: Y.W. Cheung]

    "Government Spending and Economic Growth: The G7 Experience,"

Applied Economics, 26 (May 1994), 535-542.  [ PDF ]

[coauthor: E. Hsieh]

    "Fracture Structure in Currency Futures Price Dynamics,"

Journal of Futures Markets, 14 (April 1994), 169-181.  [ PDF ]

[coauthors: H. Fang and M. Lai]

    "Dynamic Linkages Between the New York and Tokyo Stock Markets: A Vector Error Correction Analysis,"   

Journal of International Financial Markets, Institutions and Money, 3 (Fall 1993), 73-96.

[coauthors: M. Lai and H. Fang]

    "Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration,"

Oxford Bulletin of Economics and Statistics, 55 (August 1993), 313-328.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Do Gold Market Returns Have Long Memory?"

Financial Review, 28 (May 1993), 181-202.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Are There Long Cycles in Foreign Stock Returns?"

Journal of International Financial Markets, Institutions and Money, 3 (Winter 1993), 33-47.

[coauthors: Y.W. Cheung and M. Lai]

    "Long-Run Purchasing Power Parity During the Recent Float,"

Journal of International Economics, 33 (February 1993), 181-195.  [ PDF ]

[coauthor: Y.W. Cheung]

    "A Fractional Cointegration Analysis of Purchasing Power Parity,"

Journal of Business and Economic Statistics, 11 (January 1993), 103-112.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Random Walk or Bandwagon: Some Evidence from Foreign Exchanges in the 1980s,"

Applied Economics, 24 (July 1992), 639-700.  [ PDF ]

[coauthor: P. Pauly]

    "International Evidence on Output Persistence from Postwar Data,"

Economics Letters, 24 (April 1992), 435-441.  [ PDF ]

[coauthor: Y.W. Cheung]

    "Production Lags and Price Behavior,"

Economica, 59 (February 1992), 53-62.  [ PDF ]

[coauthor: P. Pauly]

    "A Cointegration Test for Market Efficiency,"

Journal of Futures Markets, 11 (October, 1991), 567-575.

[coauthor: M. Lai]

    "Aggregation and Testing of the Production Smoothing Hypothesis,"

International Economic Review, 32 (May 1991), 391-403.  [ PDF ]

    "Cointegration Between Exchange Rates and Relative Prices: Another View,"

European Economic Review, 34 (November 1990), 1303-1322.

[coauthors: G. Canarella and S.K. Pollard]

    "Price Smoothing Under Capacity Constraints,"

Southern Economic Journal, 57 (July 1990), 50-159.  [ PDF ]

    "An Evaluation of Survey Exchange Rate Forecasts,"

Economics Letters, 32 (January 1990), 61-65.