We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...

Researchers have documented extensive empirical evidence on both risk sharing across countries and the uncovered interest rate parity (UIP) condition. This paper involves investigating the empirical implications of imperfectly integrated financial markets resulting from the two phenomena. Under...

This paper attempts to provide a comprehensive depiction of the dynamics of the correlation structure of international equity returns. In this pursuit, we employ a powerful yet parsimonious dynamic latent factor model with time-varying loadings and stochastic volatility. Such a specification...