The authors examine the behavior of four major components of international capital flows in 15 developing and industrial countries. Striking differences in the behavior of the component flows arise in general specifications that allow the flows to interact. For example, the behavior of...

Paper for a conference sponsored by the Federal Reserve Bank of New York entitled Financial Innovation and Monetary Transmission

This paper aims at contributing to the understanding of how the ECB conducts monetary policy as seen from a money market perspective. More specifically it covers two different issues. First, it looks at the learning period for banks since the Eurosystem started implementing the single monetary...

Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms' risk over the economic cycle. Small firms with little collateral should be more strongly affected by tighter credit market conditions in a recession state than large, better...

Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability distribution and higher order moments of stock returns. This allows us to provide a comprehensive characterization of risk that goes well beyond...

Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms risk over the economic cycle. Small firms with little collateral should be more strongly affected by tighter credit market conditions in a recession state than large, better...

The purpose of this paper is two-fold. First, we compare the accuracy of previous studies that analyze the ability of the Composite Index of Leading Indicators (CLI) for predicting turning points. Alternative filters are also proposed. For these comparisons, we adapt the test developed by...

This paper aims at contributing to the understanding of how the ECB conducts monetary policy as seen from a money market perspective. More specifically it covers two different issues. First, it looks at the "learning period" for banks since the Eurosystem started implementing the single monetary...