This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

Changes in net positions of foreign and local investors in the forward market may have differential effects on the spot exchange rate. This paper assesses the role of different sectors in the derivatives market and their potential impact with other fundamentals on the spot exchange rate in...

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that...

The paper is aimed at quantifying empirically the monetary transmission mechanism for Argentine, and at analyzing the responses of output, inflation, and money market mutual funds (MMMF) to a positive monetary shock. The idea of incorporating MMMF into the system is to understand how economic...

We estimate FIGARCH models with data sets of daily and thirty minute returns on the Deutsche mark-US dollar exchange rate. The results point to the importance of accurately modelling the persistence properties of volatility in terms of structural breaks and long memory, and controlling for...

We compare the computation of Value at Risk with daily and with high frequency data for the Deutschmark-US dollar exchange rate. Among the main points considered in the paper are: (a) the comparison of measures of Value at Risk on the basis of multi-step volatility forecasts; (b) the computation...

Consider forecasting the economic variable Y_{t h} with predictors X_{t}, where h is the forecast horizon. This paper introduces a semiparametric method that generates forecast intervals of Y_{t h}|X_{t} from point forecast models. First, the point forecast model is estimated, thereby taking...

Changes in net positions of foreign and local investors in the forward market may have differential effects on the spot exchange rate. This paper assesses the role of different sectors in the derivatives market and their potential impact with other fundamentals on the spot exchange rate in...

The objective of this analysis is to determine the movements (long-term trend) of the exchange rate by looking at the rate of return and risk that financial assets (3-month T-bills) have in four different economies, for four different investors. Risk averse speculators will try to maximize their...