International macro-finance is a new area of open economy macroeconomics that brings portfolio choice and asset pricing considerations into models of international macroeconomics. The importance of these considerations - typically relegated to Finance and largely overlooked in traditional...

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...

This paper empirically tests the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005) on a global level. Consistent with the model, I find evidence that liquidity risks are priced independently of market risk in international financial markets. That is, a security's...

With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing less developed and less integrated...

During the global financial crisis, there were substantial deviations from the covered interest parity (CIP) condition. In particular, during the post Lehman period, the US dollar interest rate became very low on the forward market, as compared to the rate suggested by the CIP condition....

In this paper, we develop a non-parametric matching method to estimate the over or under valuation of sovereign risk in Central and Eastern European Countries (CEECs) between 2004 and 2007. CEECs are matched to other countries that are very similar with regards to macroeconomic fundamentals....

We examine world stock market comovement for 23 countries over 30-years from 1981 to 2010 -- a period that includes major changes in international trade institutions, capital market regulations, and the advent of the internet era. Our analysis is based on a generalized factor model that allows...

Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that US macro shocks materially and consistently...

In this paper, we describe the development and current status of anti-manipulation rules as they apply to wholesale electricity and natural gas markets in the United States and the European Union, including the institutions that are responsible for overseeing these rules. We then compare and...

I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU...