In this paper we analyze the convergence of interest rates in the European MonetarySystem (EMS) in a framework of changing persistence. This allows us to estimate the exact date of full convergence from the data. A change in persistence means that a time series switches from stationarity to...

We examine the dynamics of bank lending to the private sector for countries of the Euro area by applying a Markov switching error correction model. We identify for Belgium, Germany, Ireland and Portugal stable, mean reverting regimes and unstable regimes with no tendency to return to the long...

This study considers emerging market central bank interventions motivated by international reserve management. Emerging market central banks use currency intervention as a policy tool against exchange rate movements and accumulate international reserves as an insurance against sudden stops or...

We examine intraday momentum in the RUB-USD exchange market and its relationship with informed trading and liquidity provision. Using tick-by-tick transaction level data from the Moscow Interbank Currency Exchange (MICEX) for the period 2005 to 2014, we establish the presence of intraday...

This paper examines the roles of order flow (reflecting private information) and news (reflecting public information) in explaining exchange rate volatility. Analyzing four months of a bank's high frequency US dollar-euro trading, three order flows are used in addition to seasonal patterns in...

The observation of firms’ political connections (PCs) in both types of ascribed and acquired PCs has raised the question of their benefits to firms’ operation. Based on 1,365 Vietnamese listed firm-year observations from 2010 to 2014, we find that although firms with both ascribed and...

The conventional, risk-based view on liquidity beta is often a dismal story for empirical data. We propose a competing, sentiment-based view on the reversed pricing pattern of liquidity beta in China: High liquidity beta stocks underperform low liquidity beta stocks by 1.17% per month. The...

We investigate the implications of variations in the frequency with which hedge funds update their high-water mark on incentive fees paid by hedge fund investors. Using data on Commodity Trading Advisors (CTAs), we perform simulations and a bootstrap approach to analyse the effect. We find a...