For a better understanding of the ongoing debates on the RMB, this paper investigates the effects of exchange rate shocks on output and the current account for China and Japan. We use structural vector auto-regression models and find that yen appreciation reduces current account surpluses while...

Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...

We solve different constrained mean-risk portfolio optimisation models using a recently developed simulated annealing-based multiobjective optimisation algorithm. We consider practical and widely used constraints in portfolio modelling, i.e., the cardinality constraint which imposes a limit on...

This article investigates the pass-through of exchange rate shocks into import, wholesale and consumer price indexes in Iran by using a monthly data set for the period 1990-2006. The baseline analysis is carried out with identified an unrestricted vector autoregressive model. Impulse response...

We use real GDP per capita and three standard indicators of stock market development: value traded/GDP, market capitalization/GDP and turnover to study the short-run link between the stock market and economic activity in Peru. Based on annual time series data for the period 1965-2011, we...

We examine the effects of hurricane shocks on key migration variables in US coastal counties. Results show that hurricane strikes increase the outward migration rate and that these migrants were somewhat wealthier, but that there was no impact on inward migration.