Determining whether a country's current account is "sustainable" is not an easy task, as the notion of sustainability is related to complex macroeconomic and political-economy issues, but it is critical. Whether or not one finds empirical support for sustainability is related to the econometric...

By analysing the Dynamic Conditional Correlations (DCC) of the daily stock returns of four OECD countries with that of the US for the period 2006--2010, we could find a process of increasing correlations (contagion) in the first phase of the US financial crisis and an additional increase of...

Using a regime-switching regression model, we find evidence of synchronization between the Swiss-franc exchange rates of floating East Asian currencies and the Swiss-franc–Japanese-yen exchange rate over the period 1999–2006. The volatility of Swiss-franc–East-Asian currencies’ exchange...

This paper takes an option-theoretic approach to explain why pricing anomalies are observed when traditional CAPM is used. By extending CAPM to incorporate the option-risk factor of stocks, we show that stockholders' limited liability can explain Fama and French's size and value effects. We use...

The financial environment affects the level of R&D activity of a country. Using the proxy measures of macroeconomic financial environment variables, we show that cross-country differences in R&D activity, including expenditures, researchers, and patents etc., are correlated with the stock market...