This paper investigates the existence of long-run benefits of the international diversification in the equity markets of the US and the Pan-European Stock Exchange. The study which spans 6 years uses weekly data based on closing values of the general indices of Dow & Jones Industrial Average and...

We analyze real interest rate convergence among six industrialized countries in between 1975M1-2011M3 within a multi-country framework by means of a dynamic latent factor model. The real interest rates are decomposed into permanent and transitory factors, and country-specific components....

Are financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides new evidence for the US and the UK. Considering the properties of the data in both the time and the frequency domains, we find a strong relation between the financial cycles of...