The dynamic linkage of stock price movements between major global and Korean stock exchanges are investigated by employing a monthly sample from January 1987 to October 2018. The Johansen test for cointegration indicates that a long-run equilibrium relationship between global and Korean stock...

Investment in Capital Markets creates a strategic vision on the financial capital investment in the capital markets with the aim to get an increased return premium in the short and long time periods. The book is written with a main goal to explain the pros and cons of the financial capital...

The large number of financial crises in emerging markets over the past ten years has left many observers, both from academia and financial institutions, puzzled by an apparent lack of homogenous causal relations between endogenous economic variables and the bursting of large financial shocks....

This paper examines the dynamic relationship between stock returns and exchange rate changes using daily data from March 3, 1995 to December 31, 2001 for six East Asian countries. We estimate conditional correlations using the multivariate GARCH-DCC model in order to disclose the relationship...

Currency carry trading presents a widespread trading strategy and refers to the forward premium puzzle. Investors borrow low-yielding currencies with the aim to invest in high-yielding ones in order to benefit from arbitrage opportunities. This implies that a one-to-one relationship does not...

I develop a two-country New Keynesian model with capital accumulation and incomplete international asset markets that provides novel insights on the effect that imperfect international risk-sharing has on international business cycles and RER dynamics. I find that business cycles appear similar...

I develop a two-country New Keynesian model with capital accumulation and incomplete international asset markets that provides novel insights on the effect that imperfect international risk-sharing has on international business cycles and RER dynamics. I find that business cycles appear similar...

I build a symmetric two-country model that incorporates nominal rigidities, local-currency pricing and monopolistic competition distorting the goods markets. The model is similar to the framework developed in Martínez-García and Søndergaard (2008a, 2008b), but it also introduces frictions in...

Information about the possibilities of changes in national and international macroeconomic variables affects the expectations and behavior of individuals and firms more quickly than real changes in those macroeconomic variables. In this research, we investigate the impacts of international...

The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a...