The application of a threshold error correction model to the exchange rates of the Spanish Ducado and the Dutch Groat in Seville and Medina del Campo in the 16th century indicates that the band of arbitrage inactivity was 6%.

In this paper we investigate the relationship between risk premium and a time-varying conditional variance of spot rate using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness hypothesis of the forward rate with a volatility...

We analyze the heterogeneity in asset allocation decisions of different investor groups in response to changes in the macroeconomic environment. Using a new data set that includes the monthly portfolio holdings of private, commercial, and institutional investors deposited with Swiss banks, we...

It is well known that the uncovered interest rate parity fails in the short run but usually holds in the long run. This paper analyses the long and short run interest rate parity of 10 major OECD currencies and finds that there is a long run failure of the uncovered interest rate parity...

This article investigates the consistency of style returns of hedge funds across eight providers of style indexes. We select 10 style categories which are defined in a relatively consistent way across the various providers, so that the natural null hypothesis is that the returns should behave...

Based on a vector error correction model we produce conditional euro area inflation forecasts. We use real-time data on M3 and HICP, and include real GPD, the 3-month EURIBOR and the 10-year government bond yield as control variables. Real money growth and the term spread enter the system as...