As the Chinese economy becomes more open and the authorities scrapped the peg to the U.S. dollar in July 2005, exchange rate movements start to influence the price inflation in China in a significant way. This paper estimates a structural vector autoregression (SVAR) model to investigate the...

Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...

One of the key differences between exogenous and endogenous growth models is that a transitory shock to investment share exhibits different long-run effects on per-capita output. Exploring this difference, the present paper evaluates the empirical relevance of the two growth models for the G-7...

The aim of this paper is to study the influence of investor attention on the French stock market activity and volatility. Following an original way, we construct a non-standard proxy of investor attention on the basis of investors' online search behavior exclusively provided by “Google...