Kon S. Lai Professor  Office:  Simpson Tower F906  Email:  klai@calstatela.edu

Sample of Research Work

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

        from OECD Countries" (coauthors: M. Binici and Y.W. Cheung),

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

    "The Common-Trend and Transitory Dynamics in Real Exchange

        Rate Fluctuations" (coauthors: M. Bergman and Y.W. Cheung),

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

    "A Multiple-Horizon Search for the Role of Trade and Financial Factors in

       Bilateral Real Exchange Rate Volatility" (coauthor: Y.W. Cheung),

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

    "Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: New

       Evidence from Dual Exchange Rates in Developing Countries" (coauthor: Y.W. Cheung),

       Japan and the World Economy, 20 (August 2008), 415-434.  [ PDF ]

    "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" (coauthor: Y.W. Cheung),

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

    "A Threshold Cointegration Analysis of Asymmetric Price Transmission From

       Crude Oil to Gasoline Prices" (coauthors: L.H. Chen and M. Finney),

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

    "Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange

       Rate and Price Adjustments" (coauthors: Y.W. Cheung and M. Bergman),

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

    "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" (coauthor: Y.W. Cheung),

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

    "On the Purchasing Power Parity Puzzle" (coauthor: Y.W. Cheung),

       Journal of International Economics, 52 (December 2000), 321-330.  [ PDF ]
    "On Cross-country Differences in the Persistence of Real Exchange Rates" (coauthor: Y.W. Cheung),

       Journal of International Economics, 50 (April 2000), 375-397.  [ PDF ]
    "Macroeconomic Determinants of Long-term Stock Market Comovements

       Among Major EMS Countries" (coauthor: Y.W. Cheung),

       Applied Financial Economics, 9 (June 1999), 73-85.  [ PDF ]
    "Parity Reversion in Real Exchange Rates During the

        Post-Bretton Woods Periods" (coauthor: Y.W. Cheung),

       Journal of International Money and Finance, 17 (August 1998), 597-614.  [ PDF ]
    "Economic Growth and Stationarity of Real Exchange Rates:  Evidence

       from Some Fast Growing Asian Countries" (coauthor: Y.W. Cheung),

       Pacific-Basin Finance Journal, 6 (May 1998), 61-76.  [ PDF ]
    "Power of the Augmented Dickey-Fuller Test with

        Information-Based Lag Selection" (coauthor: Y.W. Cheung),

       Journal of Statistical Computation and Simulation, 60 (January 1998), 57-65.
    "Bandwidth Selection, Prewhitening, and the Power

        of the Phillips-Perron Test" (coauthor: Y.W. Cheung),

       Econometric Theory, 13 (October 1997), 679-691.  [ PDF ]
    "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" (coauthor: Y.W. Cheung),

       Journal of Time Series Analysis, 16 (September 1995), 493-498.
    "Lag Order and Critical Values of a Modified Dickey-Fuller Test" (coauthor: Y.W. Cheung),
       Oxford Bulletin of Economics and Statistics, 57 (August 1995), 411-419.  [ PDF ]
    "A Search for Long Memory in International Stock Returns" (coauthor: Y.W. Cheung),
       Journal of International Money and Finance, 14 (August 1995), 597-615.  [ PDF ]
    "Lag Order and Critical Values of the Augmented Dickey-Fuller Test" (coauthor: Y.W. Cheung),

       Journal of Business and Economic Statistics, 13 (July 1995), 277-280.  [ PDF ]
    "Purchasing Power Parity under the European Monetary System"

       (coauthors: Y.W. Cheung, H.G. Fung, and W.C. Lo),

       Journal of International Money and Finance, 14 (April 1995), 179-189.  [ PDF ]
    "Mean Reversion in Real Exchange Rates" (coauthor: Y.W. Cheung),

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

    "Government Spending and Economic Growth: The G7 Experience" (coauthor: E. Hsieh),

       Applied Economics, 26 (May 1994), 535-542.  [ PDF ]
    "Fracture Structure in Currency Futures Price Dynamics" (coauthors: H. Fang and M. Lai),
       Journal of Futures Markets, 14 (April 1994), 169-181.  [ PDF ]
    "Dynamic Linkages Between the New York and Tokyo Stock Markets:

       A Vector Error Correction Analysis" (coauthors: M. Lai and H. Fang),

       Journal of International Financial Markets, Institutions and Money, 3 (Fall 1993), 73-96.
    "Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration" (coauthor: Y.W. Cheung),

       Oxford Bulletin of Economics and Statistics, 55 (August 1993), 313-328.  [ PDF ]
    "Do Gold Market Returns Have Long Memory?" (coauthor: Y.W. Cheung),

       Financial Review, 28 (May 1993), 181-202.
    "Are There Long Cycles in Foreign Stock Returns?" (coauthors: Y.W. Cheung and M. Lai),

       Journal of International Financial Markets, Institutions and Money, 3 (Winter 1993), 33-47.
    "Long-Run Purchasing Power Parity During the Recent Float" (coauthor: Y.W. Cheung),
       Journal of International Economics, 33 (February 1993), 181-195.  [ PDF ]
    "A Fractional Cointegration Analysis of Purchasing Power Parity" (coauthor: Y.W. Cheung),
       Journal of Business and Economic Statistics, 11 (January 1993), 103-112.  [ PDF ]
    "Random Walk or Bandwagon: Some Evidence from

        Foreign Exchanges in the 1980s" (coauthor: P. Pauly),

       Applied Economics, 24 (July 1992), 639-700.  [ PDF ]
    "International Evidence on Output Persistence from Postwar Data" (coauthor: Y.W. Cheung),

       Economics Letters, 24 (April 1992), 435-441.
    "Production Lags and Price Behavior" (coauthor: P. Pauly),

       Economica, 59 (February 1992), 53-62.  [ PDF ]
    "A Cointegration Test for Market Efficiency" (coauthor: M. Lai),

       Journal of Futures Markets, 11 (October, 1991), 567-575.
    "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" (coauthors: G. Canarella and S.K. Pollard),

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