This paper provides a comprehensive statistical and economic evidence on the forecasting power of local-currency equity and bond returns in predicting exchange rate returns. We first construct out-of-sample (OOS) forecasts using various model specifications of equity and bond returns, and assess...

This paper examines the role played by cross-border equity, bond and bank credit flows versus international trade in the transmission of the U.S. financial crisis to equity markets worldwide. We estimate vector autoregressive models with exogenous global factors using monthly data on 36 emerging...

This paper investigates the illiquidity channel linking the stock and FX markets. The evidence of co-movement and cross-market spillovers is supportive of important dynamics in illiquidity, especially during the recent crisis. To clarify the nature of these dynamics, I consider the role of two...