In this paper we investigate whether cross-sectional information from local equity marketscontained information on devaluation expectations during the Asian crisis. We concentrate onthe information content of equity prices as these markets were in general the largest and mostliquid at the time...

We examine the asymptotic behavior of unit root tests against nonlinear alternativesof the exponential smooth transition type if the data is erroneously nonlinearly transformed...

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-runconcept the specific dynamic driving the process is largely build upon a priori economicbelief rather than a thorough statistical modeling procedure. The two prevailing timeseries models, i.e. the exponential smooth...

Confronted with a speculative attack on its currency peg, an authority weighs the short-term benefit of giving in and fine tuning the economy against the long-term benefit of credibility-enhancing resistance. In turn, speculators with heterogeneous beliefs face strategic uncertainty that peaks...

We identify local and global factors across international bond markets that arepoorly spanned by the traditional level, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are jointly signicant predictors of bond returns, where...

The aim of this paper is to provide new empirical evidence on the impact of international financialintegration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to threedifferent geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of therelevant literature, the present approach takes a financial markets perspective using daily data. The fast-running...

This paper investigates the capital market relations between Euroland and the USA from 1990 until 2006. Formally based on the uncovered interest rate parity (UIP), backward recursive estimations establish a long-run equilibrium between European and US government bond yields. Since the mid-1990s...

Our goal in this project is to gain a better empirical understanding of the internationalfinancial implications of currency movements. To this end, we construct a databaseof international currency exposures for a large panel of countries over 1990-2004.We show that trade-weighted exchange rate...

Though unambiguously outperforming all other ¯nancial markets in terms of liquidity,foreign exchange trading is still performed in opaque and decentralized markets. In par-ticular, the two-tier market structure consisting of a customer segment and an interdealersegment to which only market...