This paper examines the conditional time-varying currency betas from five developed and six emerging financial markets with contagion and spillover effects. We employ a trivariate asymmetric BEKK-type GARCH-in-Mean (MGARCH-M) approach to estimate the time-varying conditional variance and...

In this paper we argue that the commonly employed exposure coefficient/beta is inadequate for capturing the entire impact of exchange rate changes on firms' future operating cash flows. Instead, we employ the bivariate Glosten–Jagannathan–Runkle generalized autoregressive conditional...

This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. We employ a modified trivariate BEKK-GARCH-in-mean model of Engle and Kroner (1995) to estimate the time-varying conditional variance and covariance of returns of stock index,...

In this paper, we analyse the conditional variance of the Australian real gross domestic product (GDP) and the expenditure components by a variety of generalised autoregressive conditional heteroskedasticity (GARCH) models. First, we test the plausibility of the constant-correlation assumption...

We estimate the contribution of FDI to the efficiency and productivity growth in a cross-region regression framework, utilising China¡¯s provincial data from 1984 to 1997. We find a bidirectional causal linkage between FDI and productivity growth across the regions in China, suggesting that...

This paper examines the viability of regional monetary integration in East Asia by focusing on the symmetry of shocks, which is one of the preconditions for forming an optimum currency area (OCA). We extend the conventional 2-variable structural VAR model by incorporating foreign (namely, US)...