This paper examines whether the monetary exchange rate model represents a long-run relationship among nominal exchange rates, money supplies, interest rates and real incomes of five countries that participate in the ERM. Cointegration tests are conducted using the method suggested by Johansen...

We propose a new approach to measuring long-run inflation risk, the inflation risk premium, and inflation expectations for the UK over the period 1985–2012. By adding long-term bond futures to the information set of inflation-indexed and nominal bonds, inflation risk is measured as an...

As the Basel III reforms, which come into effect from 2012, place emphasis on default risk, assessing the impact of Prompt Corrective Action (PCA) on default risk is of practical relevance. We provide strong evidence that both the dynamic and the contemporaneous impact of the PCA-defined tier 1...

We report empirical evidence suggesting a strong and positive risk-return relation for the daily S&P 100 market index if the implied volatility index is included as an exogenous variable in the conditional variance equation. This result holds for alternative GARCH specifications and conditional...

This note provides evidence that there exist long-run benefits for a Canadian investor from diversifying in the equity markets of the US, Japan, and the six largest European markets namely those of the UK, Germany, France, Switzerland, Italy and the Netherlands. This evidence is based on tests...

This paper examines the issue of volatility spillovers across the three largest European stock markets, namely London, Frankfurt and Paris. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model is used to capture potential asymmetric effects of innovations on...

The paper employs the multivariate trace statistic P-super-ˆz, the Johansen method, and the recently proposed Bierens nonparametric approach to test for pairwise cointegration between the US and each of the six largest European equity markets, namely those of the UK, Germany, France,...