We provide new representations for the risk premium and expected exchange rate change. According to our representations they are a function of the term premium. In particular, we obtain that investors require higher interest rates on currencies expected to fall if the term premium is expected to...

The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, we re-examine such comovement by resorting to a novel approach, wavelet analysis. Wavelet analysis allows one to measure...

We examine the role of geographic, economic, and institutional factors in attracting Foreign Direct Investment (FDI) in Europe, using a cross-section of inward bilateral investments. We estimate and assess the expected benefits, the required reform efforts, and the efficiency of reform options...

The measurement of market risk poses major challenges to researchers and different economic agents. On one hand, it is by now widely recognized that risk varies over time. On the other hand, the risk profile of an investor, in terms of investment horizon, makes it crucial to also assess risk at...

This paper studies how international capital flows affect domestic credit and money holdings. While previous studies have focused on credit growth and highlighted the importance of the equity/debt mix of flows, this paper shows that there are also important implications of flows going to...

In this paper we propose a framework for studying export dynamics and market specific flows in a multicountry model of trade with heterogenous firms.<br>Countries are asymmetric in terms of their size, the size distribution of potential entrants, properties of firms idiosyncratic shocks, and trade...

This paper introduces persistent productivity shocks in a continuous-time mononopolistic competition model of trade with hetererogenous firms similar to Melitz (2003). In our model, the presence of sunk costs and uncertainty have three main consequences: first, firms export decisions become...

This article addresses the competition faced by exporters as a particular motivation to compute an effective exchange rate, discussing some important implications of the simplifying assumptions usually made regarding the selection of competitors and differences in product specialization....

This paper analyses the evolution of Portuguese terms of trade over the last decades. Firstly, their evolution is described: (i) terms of trade registered an upward trend since the second half of the 80s, after the apparent stability observed since 1950; (ii) this was a generalized phenomenon across...

This paper compares the energy content in manufacturing exports in a set of 30 advanced and emerging economies and examines its evolution from 1995 to 2005. The paper combines information from the OECD input-output matrices and international trade data in 18 manufacturing sectors. Energy inputs...