This paper examines the price impact of trading intensity on an emerging futures market. Utilizing a novel volume-augmented duration model of price discovery, the intensity effect is decomposed into liquidity and information components for the MexDer 28-day interest rate futures contract. We...

This study investigates the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy and the UK. In addition to exposure to the market, significant levels of exposure to both exchange rate...

We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among the Irish stock market, one of the top world performers of the 1990s, and the US and UK stock markets. We find that two regimes, characterized as bear and bull states, are required...

In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/Euro area policy rates on UK and German aggregate and sectoral equity returns in an event study. The...

This paper investigates the presence of nonlinear influences in the relationship between stock returns and the macroeconomy is examined for eight countries. The markets chosen are Belgium, Canada, France, Germany, Ireland, Japan, U.K. and the U.S. Specifically we analyse both the contemporaneous...

We examine the influence of US and UK macroeconomic and financial variables on Irish stock returns in a nonlinear framework. We allow for time variation via regime switching using a smooth transition regression (STR) model. Importantly we find that both US and UK stock returns are significant...

Using quarterly data over 35 years for the UK on asset returns and consumption expenditure, the traditional power utility consumption based capital asset pricing model (C-CAPM), the recursive preferences model proposed by Epstein and Zin (1991) and a habit formation specification model are...

We investigate the relationship between consumption and the term structure using U.K. interest rate data. We demonstrate that the term structure contains information about future economic activity as implied by the benchmark time separable power utility consumption based capital asset pricing...

We document a new risk premium in the Japanese yen that compensates for the policy uncertainty in Japan. The yen risk premium is implied from bond markets under the assumption of no-arbitrage. We estimate a regime switching term structure model and find that in Japan, the conventional monetary...

We analyse the role of financial development as a buffer to diminish the effect of a cross-border bank flows shock on house prices. From panel vector auto-regressions, we compute impulse-response functions for 38 countries ranked and grouped by financial development. In less financially...