What happens when liquidity increases in credit markets and more funds are channeled from borrowers to lenders? We examine this question in a general equilibrium model where financial matchmakers help borrowers (firms) and lenders (households) search out and negotiate profitable matches and...

This paper looks at the outsourcing of research and development (Ramp;D) activities. We consider cost reducing Ramp;D and allow manufacturing firms to decide whether to outsource the project to research subcontractors or carry out the research in-house. We use a principal-agent framework and...

In a word, where information is costly, volatile cash flows create information acquisition costs that reduce value. Thus, managers act to reduce their firm's volatility of cash flow in anticipation of higher value for shareholders. However, when managers reduce the firm's cash flow volatility,...

This paper investigates sudden changes in volatility in the stock markets of new European Union (EU) members by utilizing the iterated cumulative sums of squares (ICSS) algorithm. Using weekly data over the sample period 1994-2006, the time period of sudden change in variance of returns and the...

We investigate the determinants of exchange market pressures (EMP) for some new EU member states at both the national and regional levels, where macroeconomic and financial variables are considered as potential sources. The regional common factors are extracted from these variables by using...

This paper investigates the sources of the dynamic relationship between real exchange rates and stock return differentials in relation to the US market for the developed and emerging Asian markets. We, first, derive the dynamic conditional correlation (DCC) of the two series, and then DCC is...

In this paper, we investigate the extent to which the three emerging Central Eastern European stock markets have become integrated with the aggregate eurozone market over the sample period from 1994 to 2006 by utilizing the dynamic conditional correlation. We find a higher level of the stock...

This paper investigates the integration of the credit default swap (CDS) markets of 38 developed and emerging countries with the US market during the subprime crisis period by utilising dynamic conditional correlation from the multivariate GARCH model. Evidence reveals that the Lehman shock...