The present article studies the dynamic linkages between the LIBOR-OIS spreads of major currencies for the period of March 1, 2006 to November 12, 2008. The Dynamic Conditional Correlation model is employed to examine the impact of the global financial crisis on the cross-currency correlations...

This article examines the mean-reversion properties of the discount on UK and US closed-end funds. While the discounts are tested I(1), strong statistical evidence of mean-reversion is ascertained by bias-corrected bootstrap half-life estimates. The estimates also indicate that equity-based...

Korean Abstract: 본 연구는 벡터자기회귀모형을 이용하여 미국경제와 한국경제에서의 가계부채, 시장이자율, 그리고 실질실효환율 등의 경기변동성을 분석하였다. 실증분석결과, 한국(미국)의 민간신용대비 가계부채 비율은...