The paper develops an easy-to-apply test for contagion. In order to address the main challenge of any contagion test, that of endogeneity, the testing is conducted in the structural vector autoregression (SVAR) framework where we assume the reduced form errors follow a mixed-normal distribution....

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

The three articles included in this issue of the journal (along with the usual book reviews and received books sections) are heterogeneous with regards both to the topics and methods. They once again show how wide and differentiated the post-crisis economic debate is

Con questo numero, Moneta e Credito prosegue la sua nuova vita dopo l'interruzione connessa al passaggio di proprietà dalla Banca Nazionale del Lavoro all'Associazione Paolo Sylos Labini. Tale interruzione è stata colmata con i numeri speciali per il 2008 e per il 2009 usciti negli ultimi mesi...

This paper investigates the dynamics in the British Pound (BP), Deutsche Mark (DM), Swiss Franc (SF), and Japanese Yen (JY) futures using Generalized Variance Decomposition analysis over the 1985–2005 period. The results support the interdependence hypothesis against the segregation model with...

The last decade has witnessed a marked improvement in information technology. Such an improvement has reduced the information cost for market participants. Thus, whether the influence of geographic factors on international financial linkage is still significant nowadays is an important question...

The excessive accumulation of debt especially in the southern member states currently challenges European Monetary Union (EMU). Whereas for a long time, preventing a break-up of EMU was indisputable, in the meantime, voices were being raised claiming a withdrawal of Greece from the currency...