This article aims to study the issue of short- and long-term stock market integration in two of Latin America's biggest emerging economies - Mexico and Argentina - with the US stock market using multivariate cointegration tools. Our study covers a period of two decades and shows strong evidence...

We analyse the time variations in the comovements of Latin American stock markets. Conditional correlations are estimated from the dynamic conditional correlation GARCH model. Then, Bai and Perron's (2003) structural break technique is employed to test for changing nature of market comovements....

We use a Three-Stage Least Square (TSLS) method and a system of equations to recursively estimate two components of fiscal policy - responsiveness and persistence - and to infer about the sources of fiscal deterioration (improvement). The results suggest that (i) government spending exhibits...

Using a panel of developed and developing countries and data for the period 1980 to 2005, we find that debt crises trigger financial reforms. We also show that (i) when general economic conditions deteriorate, financial reforms become more likely to take place; (ii) IMF-stabilization programmes and...

I show that when the ratio of asset wealth to human wealth, <italic>wy</italic>, falls, investors become more exposed to idiosyncratic shocks and demand a higher government bond risk premium. Using data for the Euro Area as a whole and conditioning the forecasting ability of <italic>wy</italic> on the financial stress...

I find that when the ratio of asset wealth to human wealth falls, investors become more exposed to labour income shocks and demand a higher risk premium for stocks. I show that the residuals of the trend relationship among wealth and labour income, <italic>wy</italic>, predict future stock returns in the Euro...

We show that banking crises have an important effect on income distribution: inequality increases before banking crisis episodes and sharply declines afterwards. We also find that, while a large government size does not <italic>per se</italic> seem to reduce inequality, a rise in financial depth (i.e. better...

I assess the relative performance of several exmpirical proxies developed in the literature of asset pricing to capture time variation in expected future returns using data for the United States and the United Kingdom. I show that the wealth composition risk by Sousa (2010a) exhibits strong...

This article investigates the short-term dynamics of public debts in the United States and the United Kingdom over more than four decades. We check for structural changes in the data and assess nonlinearity and switching-regime hypotheses using several linearity tests. Our findings point to...

This article aims at estimating money demand for the euro area, the United States and the United Kingdom using a Dynamic Ordinary Least Squares (DOLS) estimator. Our findings show that (1) wealth effects on money demand are important in the euro area and the United Kingdom; (2) the impact of...