We examine the dynamics of bank lending to the private sector for countries of the Euro area by applying a Markov switching error correction model. We identify for Belgium, Germany, Ireland and Portugal stable, mean reverting regimes and unstable regimes with no tendency to return to the long...

This paper examines the roles of order flow (reflecting private information) and news (reflecting public information) in explaining exchange rate volatility. Analyzing four months of a bank's high frequency US dollar-euro trading, three order flows are used in addition to seasonal patterns in...

We analyse the time series properties of the S&P500 dividend--price ratio in the light of long-memory, structural breaks and rational bubbles. We find an increase in the long-memory parameter in the early 1990s by applying a test recently proposed by Sibbertsen and Kruse [<italic>J. Time Series Anal.</italic>,...

Nonlinear modeling of adjustments to purchasing power parity has recently gained much attention. However, a huge body of the empirical literature applies ESTAR models and neglects the existence of other competing nonlinear models. Among these, the Markov Switching AR model has a strong...

We apply the spread decomposition model by Huang and Stoll (1997) to a new data set on the Hungarian forint/euro interbank market. In contrast to previous results, we cover a minor market over a long time span. We find a significant inventory effect, and we find that spread size significantly...