This paper borrows from network analysis to study the impact of trade and financial integrations on output drop during the 2008-2009 crisis. Using network analysis, I show that international trade and financial linkages have different effects on economic activity. Relationships involving the...

Using a matched sample design where companies are matched by size and industry from Australian, Canadian and US capital markets, we investigate whether capital market integration varies across industries and by geographical proximity. The tests are conducted in the multi-factor pricing framework...

The paper tests the hypothesis of a maturity-independent foreign exchange risk premium or equivalently of a constant elasticity of substitution of international assets across the maturity spectrum. The empirical findings indicate that elasticity of substitution is indeed a function of maturity....

This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized...

There is a vast empirical literature rejecting uncovered interest parity(UIP) on the basis of regressions of the actual exchange rate change against the forward premium/discount. In this paper, whilst we confirm the conventional regression analyses, we argue that they constitute only an indirect...

The exchange rate arrangement represents an important policy choice for emerging and transitional economies as they strive to become stable and marketdriven. A wide variety of arrangements have emerged, ranging from currency boards, basket-currency pegs and single-currency pegs to floating...

This article examines the consequences and policy implications of the Asian crisis. It discusses the way in which the crisis unfolded through 1997 and provids a typology of the potential effects of the crisis. It also discusses the general impact the crisis has made on the global economy...

This paper, which relies on a dynamic conditional correlation model covering eight years of daily data for twelve equity markets in the Middle East and North Africa, examines the dynamic behaviour of equity returns and the response to international and regional stress periods. We assess whether...

We assess whether renouncing monetary policy autonomy becomes a cost of currency integration under labor mobility in the framework of the New Open Economy Macroeconomics. Assuming Nash equilibrium among central banks of candidate countries, we find that the forfeiture of monetary policy autonomy...

We present new evidence on the use of leverage by hedge funds and on how this changed following Russia’s default and the near failure of Long-Term Capital Management in the summer and fall of 1998. We use regression techniques and survey data to analyze how leverage varies with fund...