The stable macroeconomic environment, as one of the primary objectives of the Visegrad countries in the 1990s, was partially supported by the exchange rate policy. Fixed exchange rate systems within gradually widen bands (Czech Republic, Slovak Republic) and crawling peg system (Hungary, Poland)...

This paper examines the short-run and long-run neutrality of money using methodology suggested by King and Watson (1997) on quarterly data from South Korea and Taiwan (King and Watson (1997), Testing Long-Run Neutrality, Federal Reserve Bank of Richmond Economic Quarterly, 83(3), 69-103). A body...

We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that without taking into account the effect of...

We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...

This study analyses the effects of changes in government spending on aggregate economic activity and the way these effects are transmitted in case of Pakistan for the period 1971–2008. To analyse the transmission mechanism of government spending innovations, the Vector Autoregressive Model is...

Cet article examine le comportement des rendements des indices de cinq facteurs :trois blocs de marchés (AMERIQUE, EUROPE et ASIE) et deux marchés indépendants (JAPON et AUSTRALIE). Nous proposons d’analyser la transmission des perturbations financières et l’examen des liens entre les...

This paper aims at evaluating the effect of the amount of older workers exits (aged 50 or more) on the entries of youngsters at a local labour market level, during years 1985 - 2002. If we can observe some effect of the exits on the entries, it will shed light on the substitution between older...

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...