This paper employs a panel vector autoregressive model (PVAR) to study the dynamics of the overall exchange rate volatility. PVAR estimation results, based on panel data for 29 economies, are used in simulating impulse response functions. Since economic shocks may affect high-frequency and...

This research uses spectral methodology to study how the volatility of spot exchange rate misalignments changed as a result of signing of the Plaza Accord and introduction of the Euro. We study the deviations of Canadian Dollar/US Dollar, Japanese Yen/US Dollar and US Dollar/British Pound spot...

One puzzle in international finance is the finding that the forward foreign exchange rate is a poor predictor of the future spot foreign exchange rate. It has been postulated that this finding could be explained by the presence of unobservable risk premiums. Theory, however, is silent as to the...

While the majority of studies on purchasing power parity (PPP) and exchange rate forecasting focus on bilateral exchange rates, the purpose of this article is to analyse the aggregate nominal effective exchange rate index of six major currencies. Export and import price indexes are used to...

Using a frequency domain approach, we compare the spectra of equity market index returns for the 12 Euro-zone countries, the UK, the US, and Japan, over several time frames before and after the introduction of the Euro. In the immediate aftermath of the Euro-introduction, we find a reduced...

Using a panel data approach, we find statistically significant evidence that bid-ask spreads and deviations from purchasing power parity (PPP) are related to the forward prediction error of ten major U.S. dollar exchange rates over the post Plaza Accord period. Previous literature suggests that...

Using pooled data, we study the forward discount bias (FDB) of 24 British pound and 24 euro exchange rates. The results show a FDB during “non-crisis” periods, which is more pronounced for advanced than emerging economies. This finding is especially striking during the period of the European...

In this paper, we investigate the degree to which productivity adjusted deviations from PPP influence the U.S. inbound FDI. Our results show a significant negative relationship between productivity adjusted misalignments and the U.S. inbound FDI from Germany and the United Kingdom in the...