This paper estimates time-varying optimal hedge ratios (OHRs) using a bivariate generalized autoregressive conditional heteroscedastic (GARCH) error correction model. The GARCH specification accounts for time-varying distribution in asset returns while the error correction term preserves...

This study examines the simultaneous response of both stock and bond market returns to changes in the CBOT 30-day federal funds futures rate. It is found that changes in the federal funds futures rate are negatively related to both stock and bond returns. It is also found that positive and...

According to the financial press, firms with low leverage have lower distress risk due to their reduced exposure to the credit market, especially during credit crises. Compared to their conventional and socially responsible (SRI) counterparts, sharia compliant (SC) stocks are low-leverage...

This study shows that the Fed Funds spot rate mostly affects the level of key interest rates while the Fed Funds futures rate tends to affect both the level and the volatility. Such effects are more concentrated on the shorter segment of the yield curve. In addition, only an unexpected change in...

Cross-country differences in the choice of an invoicing currency in international trade is one reason for cross-country differences in estimated exchange rate coefficients in short-run balance of trade equations. If exports are invoiced in domestic currency while imports are invoiced in a...

In this paper we investigate the effect of news about the advent of the U.S.-Canada Free Trade Agreement (FTA) on the exchange rate between the Canadian dollar and the U.S. dollar. We find evidence that information flows related to the likelihood of the FTA influenced the volatility of the daily...