The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to a various unanticipated...

In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...

Recent research suggests that unobserved components models can, under certain conditions, be estimated without imposing the common zero-correlation restriction between the permanent and transitory innovations. The impact of this restriction, however, has not previously been examined in an...

The convergence hypothesis has generated a huge empirical literature: this paper critically reviews some of the earlier key findings, clarifies their implications, and relates them to more recent results. Particular attention is devoted to interpreting convergence empirics. The main findings...

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behaviour of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

This study examines the relation between the risk premium and central bank intervention. Forward rates are calculated for the Turkish Lira-USD exchange market and then the effect of central bank intervention on the risk premium is estimated. Using high quality daily intervention data from the...

Foreign exchange rate interventions of the central banks for the emerging market economies are studied only to a limited extent. However, due to the different characteristics of these economies, especially in terms of the exchange rate dynamics, such an analysis can reveal important information....

This study has two purposes. First, it attempts to improve the literature on foreign exchange interventions of the central banks for the emerging market economies, which have not been studied in details. The Turkish economy in the post-crisis period constitutes a good example in this context....