The present study builds upon the seminal work of Engel and West (2005) and in particular on the relationship between exchange rates and fundamentals. The paper discusses the well-known puzzle that fundamental variables such as money supply and interest rate, provide help in predicting changes...

Even though the global contagion effects of the financial crisis have been well documented, the transmission mechanism as well as the nature of the volatility spillovers among the US, the EU and the BRIC markets has not been systematically investigated. To examine the dynamic linear and...