This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of “emerging...

Before the 1997-98 crisis, the East Asian economies—except for Japan—informally pegged their currencies to the dollar. These soft pegs made them vulnerable to a depreciating yen thereby aggravating the crisis. To limit future misalignments, the IMF wants East Asian currencies to float...

This paper compares alternative estimates of systemic time-varying excess returns for the Irish pound and the Spanish peseta, against the German mark, since 1985. We make use of progressively more complex models, going from the GARCH in Mean specification, to the International Capital Asset...

This paper considers the nature and the distribution of trade and FDI effects of a potential enlargement of the European Monetary Union (EMU) to the 10 countries that obtained EU membership in 2004. One-way and two-way error component gravity models are estimated using a data set of unbalanced...

Cross‐border banking needs cross‐border recapitalisation mechanisms. Each mechanism, however, suffers from the financial trilemma, which is that cross‐border banking, national financial autonomy and financial stability are incompatible. In this paper, we study the efficiency of different...

Differences in growth, productivity and inflation levels are going to be a prominent feature of the future of EMU, as the convergence process is still ongoing in the new Member States. This convergence process can be described by the Balassa-Samuelson proposition, which states that faster growth...

La théorie des zones monétaires optimales avait l’avantage de présenter le choix d’un régime de change en terme d’une analyse coûts-bénéfices. Elle s’est cantonnée à l’aspect asymétrique des chocs tout en évacuant l’aspect structurel. Cet article se propose de réexaminer...

Accurate modeling of extreme price changes is vital to financial risk management. We examine the small sample properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and propose a model-based bias-corrected estimation approach....

Asia has emerged as the balancing wheel of global finance. The countries of Asia now account for 70 per cent of global foreign exchange reserves, compared to only 30 percent in 1990 and 21 per cent in the early 1970s. This paper explores theoretical interpretations for the relatively high demand...

EU accession requires, inter alia, free movements of capital. If a massive capital outflow occurs, the central banks from the accession or acceding countries may carry two types of intervention: on money market, and introducing restrictions on capital account. The paper explains when is...