This paper examines the issue of mean and variance causality across four Latin American official and black markets for foreign currency using the corresponding monthly exchange rate against the US dollar for the period 1976-1993. Specifically, we apply an EGARCH-M model to study the behaviour of...

In this study we explore the implications for the identification of common stochastic trends among stock price indices of using data transformed in a quot;real dollarquot; basis. By applying a quot;generalquot; VAR model where all the relevant variables (stock indices, consumer priced indices...

In this paper we develop a methodology for testing the validity of the expectations theory of the term structure and the uncovered interest parity within the framework provided by cointegration theory. For this purpose, we apply the multivariate cointegration technique suggested by Johansen...

This study examines whether the lowering interest-rate environment in CEE countries since the early 2000’s increased bank risk-taking behaviour. We employ 6,979 annual observations from the Bankscope database over the period 1997-2011 and find a positive relationship between bank risk-taking,...