This paper takes a spatial modelling approach in specifying and testing for contagion among emerging market economies. Our approach enables us to estimate asymmetries such as the magnitude of contagion of one country upon others, as well as how that country in turn is affected, on average, by...

A considerable body of theoretical and empirical literature has developed seeking to explain the timing, magnitude, and mechanics of speculative attacks against currencies. This paper extends the empirical specification of the traditional speculative attack model by developing a random...

Research dealing with the theory of monetary integration is reviewed. After briefly describing the genesis of the theory as foreshadowed in work on optimum currency areas, the paper assesses two main areas of recent research — the analysis of the effects of disturbances on participating...

The literature on optimum currency areas states that large inflation differentials can undermine monetary union. In the euro area, inflation rates diverged after the creation of the single currency, but started to converge again from mid-2002. Against this background, we assess the convergence...

This paper investigates changes in the causal structure linking the G-7 short-term rates by using a sequential test for the constancy of the adjustment coefficients in error correction equations. This technique allows us to detect permanent structural breaks in the causal linkages. In this...