A pénzügyi szektor elmúlt évtizedekben tapasztalt robbanásszerű fejlődése sokakban kelt aggodalmat. A szenvedélyes vitákban elfoglalt álláspontokat azonban gyakran mögöttes előítéletek vagy félreértések táplálják. E cikk a pénzügyi rendszer szerepének növekedését az...

Az utóbbi időben a főbb jegybankok intervenciós tevékenysége csökkent ugyan, de számos feltörekvő, illetve inflációs célt követő ország esetében az intervenció továbbra is aktív jegybanki eszköz maradt. A tanulmány a jegybanki devizapiaci intervenció hatékonyságával...

This paper analyzes the determination of equity portfolios and country stock returns in the context of imperfectly integrated stock markets. We consider a continuous-time model of a two-country endowment economy in which the level of financial integration is captured by a proportional tax on...

This paper examines the shift of dominance of the American stock market. We also observe herding behavior changes of major Asia Pacific regions towards the American market in the wake of major events that affected financial markets. Events examined include the Asian financial crisis, Internet...

We evaluate alternative multivariate models of dynamic correlations in terms of realized out-of-sample Sharpe ratios for an active portfolio manager who rebalances a portfolio of international equities on a daily basis. The evaluation period covers the recent financial crisis which was marked by...

This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of oil as a key global commodity are impacted by...

In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk...

Severe simultaneous recessions are de?ned to occur when at least half of the countries under investigation (Australia, Canada, Germany, Japan, United Kingdom, and United States) are in recession simultaneously. I pose two new research questions that extend upon stylized facts for US recessions....

El efecto inmediato de la instauración de la Unión Monetaria Europea (UME), fue un aumento en los diferenciales de rentabilidad ajustados por el riesgo de cambio de la deuda pública frente a Alemania para aquellos países que se integraron en la moneda única. Contrariamente, para aquellos...