We compare the behavior of short term interest rates in hard-peg and floating-exchange-rate countries. We use a framework which allows both domestic and foreign factors to play a role in the determination of interest rates and assess them empirically for eight Latin American countries between...

We compare the behavior of short term interest rates in hard-peg and floating-exchange-rate countries. We use a framework which allows both domestic and foreign factors to play a role in the determination of interest rates and assess them empirically for eight Latin American countries between...

The aim of this paper is to gauge quantitatively the macroeconomic impact of EMU membership. Building on the Global VAR framework designed by Pesaran et al. (2004), we want to shed light on the following important questions: What if the euro had never been launched? How would national outputs...

The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani financial data. It also introduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing financial models for tail related risk measures.

This study explores the fundamental driving forces of regional equity market integration. The determinant factors are categorized into three dimensions: market attribute, economic fundamentals and world information. My sample consists of equity markets in 4 notable regional trading blocs: Latin...

This note conducts recursive Monte Carlo experiments on the Bartlett correction for a likelihood-based test on cointegrating vectors. The experiments show that the correction can reduce size distortions even in situations where regularity conditions for I(1) cointegration analysis are satisfied...

This paper presents a method for selection of the optimal simultaneous equation system from a set of nested models under the condition of a small sample. The purpose of selection is to identify a model with the best prognostic possibilities. Multivariate AIC, BIC and AICC are used as the...