In this paper we analyze the impact of the investment horizon on international portfolio choice. We approach this issue by considering whether or not an investor should add investments from other countries to an existing portfolio. The statistical tests that we employ (spanning tests) are based...

In this paper we present a parsimonious multivariate model forexchange rate volatilities based on logarithmic high-low ranges ofdaily exchange rates. The multivariate stochastic volatility modeldivides the log range of each exchange rate into two independentlatent factors, which are interpreted...

We analyse the validity of UIP in a panel of 41 currencies over the time window 1975-2010. We confirm that in general UIP does not hold for developed countries, whereas it does hold for emerging countries. This result is found for various metrics of ‘developed' and ‘emerging' countries (IMF...

This paper analyzes purchasing power parity (PPP) for the euro area. We study the impact of the introduction of the euro in 1999 on the behavior of real exchange rates. We test the PPP hypothesis for a panel of real exchange rates within the euro area over the period 1973-2003. Our methodology...

This paper examines whether the effect of fiscal policy on output depends on the size of the financial sector. We find that this relation depends on the level of economic development. In developing countries, fiscal multipliers are higher when the financial sector is larger. The opposite is true...