There is increasing interest in regional trade, investment, and currency blocs, and in the optimal public policies for such blocs. There is also much managerial interest in the co-movement of exchange rates in a region. The Eastern Caribbean Currency Bloc is one of only three (and one of the...

Since the term structure of interest rates embodies information about future economic activity, we extract relative Nelson-Siegel (1987) factors from cross-country yield curve differences to proxy expected movements in future exchange rate fundamentals. Using monthly data for the United Kingdom,...

This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates...</p>

This paper offers and tests a unique explanation for the exchange rate determination puzzle. It is not that exchange rates are unrelated to fundamentals, but rather when fundamentals undergo persistent changes it becomes important to measure their effect in terms of how they change relative to...

We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the last dec-ade (1999-2010). Evidence is based on country VARs augmented by a regional com-mon factor structure (FAVAR model). The models...

Este artículo desarrolla un modelo de valoración de activos en tiempo continuo para la economía global. En el artículo demuestro que un mercado financiero integrado, los retornos de los activos domésticos tienen un componente que compensa a los inversionistas por la exposición a riesgo...

This paper proposes a market microstructure model of FX intervention to analyze the relationship between central bank intervention and the characteristics of the foreign exchange market. The implication of our model is that the characteristic of the exchange rate movements around central bank...

This paper brings together the literature on determination of home bias in equity holdings and the portfolio balance model of exchange rates to consider whether the dollar might be affected by a change in transactions costs that alters international portfolio allocations. The empirical findings...

Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but...

The international asset pricing models are mostly developed in the situation where purchasing power parity (PPP) is not respected. Investors of dierent countries do not agree on expected security real returns. In this case, an equilibrium on the international assets market may exist but not on...