Using data from the recent crisis, the authors analyze financial linkages between market liquidity and bank solvency measures in advanced economies and emerging market bond and stock markets. A multivariate generalized autoregressive conditional heteroskedasticity model is estimated to gauge the...

The authors address the issue of foreign exchange risk and its macroeconomic determinants in several Central European (CE) economies. The joint distribution of excess returns in the foreign exchange market and observable country-specific macroeconomic factors is modeled using the stochastic...