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The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests
Aggarwal, Raj; Lucey, Brian M.; Mohanty, Sunil K. - Institute for International Integration Studies (IIIS), … - 2006
An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality...
Persistent link: https://www.econbiz.de/10005157532
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Stock-bond co-movements and cross-country linkages
Baur, Dirk G. - Institute for International Integration Studies (IIIS), … - 2007
This paper shows empirically that the level of stock-bond correlation depends more on crosscountry influences than on stock and bond market interaction. The study examines the relation of cross-country and cross-asset stock and bond market linkages for eight developed countries and finds that...
Persistent link: https://www.econbiz.de/10005187463
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CEE Banking Sector Co-Movement: Contagion or Interdependence?
Jokipii, Terhi; Lucey, Brian - Institute for International Integration Studies (IIIS), … - 2005
whether it is contagion, or interdependence that is driving the co-movements between these markets. Employing various …-border banking sector contagion and determine that it is regional rather than international shocks that are driving the market …
Persistent link: https://www.econbiz.de/10005518468
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Flight-to-quality or Contagion? An EmpiricalAnalysis of Stock-bond correlations
Baur, Dirk; Lucey, Brian M. - Institute for International Integration Studies (IIIS), … - 2006
This paper analyzes the existence of flight-to-quality from stocks to bonds and contagion between the two asset classes … increasing correlations in falling stock markets implies contagion across asset classes. We estimate dynamic conditional … contagion are relatively frequent phenomena. Examples of flight-to-quality are in the Asian and Russian crisis 1997 and 1998 and …
Persistent link: https://www.econbiz.de/10005121281