The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on...

This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: (i) are FX authorities able to influence market expectations with different instruments? (ii) how should interventions be...

This article provides the first empirical application of the dynamic equicorrelation (DECO) model to a cross-market data set composed of equities, bonds, foreign exchange and commodity returns during 1983–2013. The results reveal that the average cross-market equicorrelation is around 47%,...

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

For well over a decade many observers had warned that the European Union was ill-prepared in case of a financial storm because its market integration far outpaced its policy integration. This situation was well known to policy-makers but it was hoped that financial crises would wait until policy...

For well over a decade many observers had warned that the European Union was ill-prepared in case of a financial storm because its market integration far outpaced its policy integration. This situation was well known to policy-makers but it was hoped that financial crises would wait until policy...

Financial crisis are often associated with an endogenous credit reversal fol- lowed by a fall in asset prices and failures of financial institutions. To account for this sequence of events, this paper constructs a model where the excess risk-taking of portfolio investors leads to a bubble in...

This article questions the role of the fair value approach in the worsening of the present financial crisis by testing its impact on the performance on the Stock Exchange of the CAC 40 companies for which the application of the IAS 39 standard is compulsory. To that end, the authors propose...