From the early 1980s until the late 1990s the term structure of interest rates in Chile was usually downward sloping, particularly for long maturities. We postulate that the explanation is behind liquidity premium of the term structure of interest rates. Based upon a parsimonious theoretical...

In September 1999, the Central Bank of Chile eliminated the floating band for the nominal exchange rate, which operated since 1984, and established a free float. This lasted until the burst of the last Argentinean economic crisis in July 2001. Since then, the Central Bank has smoothed out the...

Using monthly industrial sector data from January 1971 to March 2004, we test for business cycles convergence among the major APEC members: Japan, South Korea, Malaysia, Mexico, USA, and Canada. In addition, we examine the synchronization of business cycles among Australia, Japan, and South...

In this article, we test for the presence of structural breaks in volatility by two alternative approaches: the Iterative Cumulative Sum of Squares (ICSS) algorithm and wavelet analysis. Specifically, we look at the effect of the outbreak of the Asian crisis and the terrorist attacks of...

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio. We apply our...

This paper focuses on return spillovers in stock markets at different time scales using wavelet analysis. We look at eight stock indices that comprise the G7 countries, emerging Asia, Western Europe, Eastern Europe and the Middle East, the emerging Far East, Latin America, North America, and the...

This paper analyzes the effect of recent political conflicts in the Middle East on stock markets worldwide. In particular, it studies how political instabilityâmainly due to the war in Iraqâhas affected the long-term volatility of stock markets, using two approaches, Inclan and Tiao's (1994)...

A random-effect model is devised with individual- and time-specific components for uncensored data, based on a specification for censored data developed by Anderson (1985) and extended by Kim and Maddala (1992). In addition, specification tests are devised that allow one to choose between the...