The use of conventional augmented CAPM specification in estimating the exchange rate exposure may result in less reliable estimates for, at least, two reasons. First, it does not take into account a few important stylized facts associated with financial time series. Second, one cannot estimate...

Recent articles in International Organization and elsewhere have explored the role of domestic institutions in shaping exchange rate regime choice. These articles use some variation on the information reported by governments to the International Monetary Fund as their dependent variable. Even...

This paper examines data for stock prices and price levels of 14 developed countries during the post-WWII era and compares their behavior in that sample with behavior over the past two centuries in the UK and the US. Contrary to much of the literature of the past several decades, we find that...

This paper assesses empirically whether global risk aversion (GRA) and some if its determinants (US economic growth and the US long term interest rates) explain developments in Latin American sovereign spreads. We find that GRA is significant and positively related to Latin American sovereign...

This paper examines the Malaysian foreign exchange market efficiency for the USD, Singapore dollar, pound, and yen over the 1980:1-1994:12 period by utilizing Johansen-Juselius (JJ) Maximum Likelihood procedure. The bivariate cointegration results show the absence of cointegration among the...

A model of national price levels is developed to lay bare implicit assumptions behind the conventional view on the effect of productivity differentials and net foreign assets. The effect of productivity on national price levels is determined by the interaction of several countervailing channels,...

This paper updates earlier findings concerning the impact of collective-action clauses on borrowing costs. It has been argued that only in recent quarters have investors focused on the presence of these provisions, and that, given the international financial institutions' newfound resolve to...