The housing market has been extensively investigated in the literature; however, there is a lack of understanding of the fundamentals affecting housing affordability across UK regions as measured by the price to income ratio. The aim of this paper is twofold; firstly we calculate the affordability...

This paper uses the log t test to analyse the convergence of house prices across UK regions and the presence of spillovers e ects. We nd that UK house prices can be grouped into four clusters. Moreover we document the dynamics of the house price spillovers across regions.

Using survey expectations data and Markov-switching models, this paper evaluates the characteristics and evolution of investors’ forecast errors about the yen/dollar exchange rate. Since our model is derived from the uncovered interest rate parity (UIRP) condition and our data cover a...

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al 2011), we decompose exchange rate movements into several latent components; worldwide and two...

This paper evaluates the forward premium puzzle using the Euro exchange rate. Unlike previous studies, our analysis utilizes time-varying parameter methods and is based on two approaches for evaluation of the puzzle; the traditional approach analyzing the sensitivity of interest rate...

This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral...

The paper estimates Angola’s equilibrium parallel market real exchange rate during the 1992–98 period. Using standard integration/co-integration techniques, the results fail to support the purchasing power parity hypothesis and indicate that two exogenous variables—the price of oil and the...