The aim of this paper is to investigate the impact of oil prices on Istanbul Stock Exchange (ISE) using cointegration and causality analyses in two sub-samples: 1990:M1-2001:M2 and 2001:M3-2011:M12. Findings indicate that there is no long term and causal relationship in the first period while...

To analyze empirically the impact of unexpected changes in the basic interest rate (SELIC rate) on the Brazilian stock market between January 2003 and May 2012, we constructed a surprise measure based on the market consensus. Our sample of events is composed of 88 meetings of the Brazilian...

This study employs a four-variable vector autoregressive (VAR) model to investigate the relationship of stock returns, inflation, interest rates and real economic activity. The sample consists of four Latin American countries from January of 1995 to December of 2005. Our results indicate...

Purpose – This paper aims to analyze the statistical characteristics of changes in property forward prices. As highlighted in a survey conducted at the MIT Center for Real Estate in 2006, the relatively weak understanding in their prices is one of the most important barriers in their use. In...

We use the rise and dispersion of sovereign spreads to tell the story of the emergence and escalation of financial tensions within the eurozone. This process evolved through three stages. Following the onset of the Subprime crisis in July 2007, spreads rose but mainly due to common global...

This paper estimates the effectiveness of capital controls in response to inflow surges in Brazil, Colombia, Korea, and Thailand in the 2000s. Controls are generally associated with a decrease in inflows and a lengthening of maturities, but the relationship is not statistically significant in...

With policy rates near the zero bound, the Bank of Japan (BoJ) has introduced a series of unconventional monetary easing measures since late 2009 in response to lingering deflation and a weakening economy. These measures culminated in a new Asset Purchase Program under the Comprehensive Monetary...

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...

Purpose – The purpose of this research is to examine the foreign exchange exposure of listed companies on the Ghana Stock Exchange over the period January 1999 to December 2004. The research uses different exchange rate measures namely; the cedi to US dollar, the cedi to UK pound sterling, the...