This paper establishes the link of microstructure and macroeconomic factors to the time-varying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be...

Authors of the study aimed to analyze the structure and some of the figures of the financial market in Russia. This choice of one side was dictated by proximity to Russia and relatively little knowledge about the financial market of the country, the other huge potential that lies dormant in the...

Based on long range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [1, 9]. They conclude that pound and euro are in practice the same currency. We assess the...

We study the properties of foreign exchange risk premia that can explain the forward bias puzzle - the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premia arise endogenously from imposing the no-arbitrage condition on the relation between the term...

With Ireland joining the Euro, exchange rate risk between participating states is gone. However, as is known, this new currency will continue to face exchange rate risk, and the general reduction of volatility on a day to day basis for Irish economic agents neglects to take account of possible...

The paper presents an extended version of the fundamental equilibrium exchange rate model (FFER). By introducing potential output into the specification of the foreign trade equations of the partial equilibrium FEER model we show that, under some plausible assumptions, the calculated level of...

This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in...

Since the 1980s, most emerging economies have experienced economic crises associated with large, prolonged current account deficits and real exchange rate misalignment. Eventually these governments ended up devaluing national currencies. Empirical evidence from developing countries suggests that...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

This article explains the balance of payments constraint imposed on Ecuador's economic growth during the period 1970 – 2007. By using the Thirlwall’s model (1979), a modification is made, stating that the real exchange rate (RER) should not be considered constant in the long term due to the...