Counter evidence in the lines of Baillie and Bollerslev [1994b] is given to Meese and Rogoff[1988] and Crowder [1994]'s contention on the non-stationary feature of the forward premiums or the interest rate differentials. Estimation of the differencing parameter in invertible short and long...

Have the euro and accompanying measures of financial integration had a discernable impact on the degree of diversification of European investors? This is an empirical question that this paper tries to answer by exploring four alternative avenues. First we focus on the final outcome: If European...

This paper reassesses, at the light of economic and financial theory, the well-documented recent evolution of the euro area public debt and equity markets. Doing so leads to associating the EMU and the single market with the changes in fundamentals and financial integration with convergence in...

Acceptance or rejection of the risk premium hypothesis in the foreign exchange market often rests on some parametric statistical specification or asset pricing framework. Empirical evidence to date on this issue has been contingent upon the approach taken. After throwing light on the empirical...