This paper estimates the dynamics of adjustment to long run purchasing power parity (PPP) using data for 18 mayor bilateral US dollar exchange rates, over the post-Bretton Woods period, in a non-linear framework. We use new unit root and cointegration tests that do not assume a specific...

This study analyzes the effect of corporate bond rating changes over stock prices. We explore the effects over excess of returns and systematic risk. Rating changes by Moody´s, Standard and Poor´sor FitchIBCA are analyzed. On an efficient market, these changes will omly have some effect if...

En este trabajo analizamos el comportamiento dinámico del tipo de interés a un mes del mercado interbancario español entre 1987 y 2001. Se utiliza un proceso de difusión tipo raíz cuadrada que permite que el tipo cambie dependiendo del estado de la economía. El cambio entre regímenes es...

This paper examines some standard procedures for evaluating the importance of risk in explaining time varying term premia, in the term structure of interest rates. It highlights their shortcomings and proposes an alternative VARMA approach for dealing with this problem. The procedure is...