In this paper we test for the existence of a long-run relationship between investment and savings (the Feldstein–Horioka puzzle) in a panel of 18 OECD countries, 1970–2007, allowing for heterogenous breaks in the coefficients. For this purpose we develop a bootstrap panel cointegration with...

The real interest parity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from \{RIP\} is therefore an indicator of the lack of product and financial market integration. This...

Financial crises are high cost events which can transmit across international borders. Using data from 1883 to 2008, this article develops a means of mapping changes in the degree of international synchronisation of banking and currency crises through a formal concordance index. This index...

Basket options have long been an important structured product. One can write a basket option on assets denominated in different currencies, but settle the option in one single currency at some fixed exchange rate. This special type of basket options can be found in many life insurance products...

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...

This paper examines the uncovered interest parity hypothesis using the dollar-sterling exchange rate during the gold standard era. This period is interesting because the exchange rate was seasonal, because transactions costs were high, and because occasions when uncovered interest rate...

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic...

Through a structural vector error correction model, one restricted cointegrating relationship for monthly data (1999.01–2012.04) was found between three exchange parities of great relevance for the Mexican economy: US Dollar–Euro, Mexican Peso–US Dollar, and Mexican Peso–Euro. The data's...

We examine the development of open macroeconomic policy choices among developing economies from the perspective of the powerful “trilemma” hypothesis. We construct an index of divergence of the three trilemma policy choices, and evaluate its patterns in recent decades. We find that the three...

This study investigates the extent to which Mexican workers’ remittances are affected from the recent housing market decline in the United States. Results from a multivariate model reveal that an increase in the national U.S. foreclosure rate has a negative and statistically significant impact...