The standard literature concerning intertemporal optimization in international finance is based upon certainty equivalence, and ignores risk and uncertainty. It therefore is not helpful concerning risk management and evaluation of the risk involved in the holding of international short-term...

First: we explain, within the context of a theoretically consistent model, what are the fundamental external and internal determinants of the real effective exchange rate of Germany. Second: we explain how one should view the real effective exchange rate in evaluating the competitiveness of the...

This paper provides a consistent theoretical framework to explain the fundamental determinants of the evolution in the medium to longer run of the real effective exchange rate of the United States relative to the currencies of the other G-7 countries. The fundamental determinants are...

This paper investigates the high frequency behaviour of US, British and German stock market exuberance using an index provided by standard portfolio arbitrage relationships. Symmetric and asymmetric multivariate GARCH models are implemented to quantify international volatility comovements. In...

This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause large...