Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering, we propose measures of both the total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across US stock,...

Summary We analyze the export decision of Turkish manufacturing plants from 1990 to 2001. In addition to the presence of high sunk costs of entry in export markets, we find support for the hypothesis that the full history of exporting matters for the current export decision. However, the effect...

Richard T. Baillie and Tim Bollerslev (1989) have recently argued that nominal dollar spot exchange rates are cointegrated. Here the authors examine an immediate implication of their finding, namely, that cointegration implies an error-correction representation yielding forecasts superior to...