When a currency’s appreciation expectation cannot be offset by lower interest rates which have fallen to the zero lower bound, the monetary authority needs to intervene to prevent currency appreciation due to capital inflows and resulting in foreign reserve accumulation. Based on a standard...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

This paper proposes a simple structural model to estimate the term structure of sovereign spreads and the implied default probability of a selected group of emerging countries, which accounts for more than 50% of the J. P. Morgan EMBIG index. The real exchange rate dynamics, modeled as a pure...

We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility...

We construct variance risk premiums for the nine major emerging markets of Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan from 2000 to 2017 using the sample-extension methodology in Lynch and Wachter (2013). Both the emerging market and developed market...

On October 5, 2001, when credit spreads were widening, the Chicago Mercantile Exchange CME de-listed the full menu of emerging market Brady bond futures contracts. This is intriguing because at a time when interest in hedging and speculating in emerging market sovereign credit risk should be at...

This paper will examine seasonal effect anomalies in emerging stock markets using monthly returns in a number of emerging stock markets from Africa and Asia. In addition, the paper will try to report an explanation for this phenomenon in case that it occurs. This study utilizes methodologies...