I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU...

We develop an equilibrium model in a two-country, two-good, pure exchange economy in which investors with logarithmic utility functions have heterogeneous beliefs about exogenously given output or endowment processes. We obtain closed-form representations of real exchange rate and of stock...

The aim of the paper is to discuss the use of corporate bonds in financial strategies in Central and Eastern Europe (CEE) and repercussions to the transition progress. We provide empirical data on the growing use of corporate bonds in CEE, discuss the level of development of the domestic...

Using a large sample of cross-border mergers we measure the effect of a change in location on systematic risk. We document a large, widespread, and robust effect. When a target firm's location moves as a result of an international merger, a large part of its systematic risk switches from being...

While financial markets have recently become more complete and international capital flows well liberalized, markets for goods remain segmented. To investigate how financial innovation and more complete security markets may relieve the effects of this segmentation, we examine a series of...

We use a vector-autoregression, with parameter estimates corrected for small-sample bias, to decompose US and German unexpected bond returns into three 'news' components: news about future inflation, news about future real interest rates, and news about future excess bond returns (term premia)....

This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear...

International asset pricing models suggest that barriers to portfolio flows and availability of market substitutes affect the degree and time variation of world market integration. We construct diversification portfolios for eight emerging markets over the period 1976-2000, use GARCH-M...

This introductory note summarizes and draws together the work reported in eight research papers written by staff economists of the Board's Division of International Finance as part of a project on global financial integration. The eight papers are also International Discussion Finance Discussion...

This paper examines the importance of political risk, the financial risk, and economic risk in portfolio and direct investment decisions. In addition, the components (from the International Country Risk Guide) of each of these risk measures are examined. The components of political risk include:...