This paper investigates the extent to which financial markets in the Pacific Basin Region have become more integrated, by analyzing the comovements of real interest rates. The paper uses cointegration and error correction models and draws inferences on the degree of capital market integration by...

This paper discusses five indicators of competitiveness: real exchange rates based on consumer price indices, export unit values of manufacturing goods, the relative price of traded to nontraded goods, normalized unit labor costs in manufacturing, and the ratio of normalized unit labor costs to...

We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of...

This paper summarises the results of a survey of UK based foreign exchange dealers conducted in 1998. It addresses topics in three main areas: The microeconomic operation of the foreign exchange market; the beliefs of dealers regarding the importance, or otherwise, of macroeconomic fundamental...

Although innovative credit risk transfer techniques help to allocate risk more optimally, policy-makers worry that they may detrimentally affect the effort spent by financial intermediaries in screening and monitoring credit exposures.This paper examines the equity market's response to loan...

One of the most important recent innovations in financial markets has been the development of credit derivative products that allow banks to more actively manage their credit portfolios than ever before.We analyse the effect that access to these markets has had on the lending behaviour of a...

We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of...