This paper investigates whether privatization in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk. We argue that a sustained privatization program represents a major political test that gradually resolves uncertainty...

The failure to describe the time series behaviour of most real exchange rates as temporary deviations from fixed long-term means may be due to time variation of the equilibria themselves, see Engel (2000). We implement this idea using an unobserved components model and decompose the observations...

The 1997 collapse of the Albanian economy caused by the collapse of economy-wide Ponzi schemes contrasts sharply to its success status as a post-socialist transition country in the years 1992-1996. In this paper, an attempt is made to explain this 'Albanian Paradox'. The specific Albanian...

Most stock exchange regulators around the world reacted to the 2007-2009 crisis by

Baker (2002) has demonstrated theoretically that the quality of performance measures used in compensation contracts hinges on two characteristics: noise and distortion. These criteria, though, will only be useful in practice as long as the noise and distortion of a performance measure can be...

While virtually all modern models of exchange rate crises recognise that the decision to abandon an exchange rate peg depends on how harshly policy makers are willing to defend the regime, they virtually never model how the exchange rate is defended. In this paper we incorporate both the...

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais et al. (2000), a phenomenon increasingly witnessed in modern markets. The key assumption generating the results is that there is at least one liquidity demander exploiting access to all markets by...

This paper analyses Net Private Capital Flows to LICs incorporating the recent surge in FDI between 2000 and 2006. We show that including country-specific effects in a paneldata setup resolves the Lucas Paradox, at least for LICs. Our results suggest that openness is among the most important...

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....