This paper examines the dynamic relationship between the bilateral exchange rates of 10 Central and Eastern European emerging markets against the euro and their fundamentals, using data from the early 1990s to the middle of 2010, within the framework provided by the monetary model of exchange...

This paper applies the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002), in order to examine the time-varying conditional correlations to the weekly index returns of seven emerging stock markets of Central and Eastern Europe. We used weekly data for the period...

This paper reexamines the forward rate unbiasedness hypothesis (FRUH) during the 1920s and it contributes to the literature as follows: first, it utilizes a database that includes currencies not studied before, as well as the 3 month forward rates; second, it applies three different approaches...

In this paper, the long-run validity of the monetary model for the Canadian-U.S. dollar is reexamined. The time-series properties of the variables are examined with the use of nonseasonal and seasonal unit root and stationarity tests, and it is shown that they are I(1) processes with no seasonal...

This study examines whether the lowering interest-rate environment in CEE countries since the early 2000’s increased bank risk-taking behaviour. We employ 6,979 annual observations from the Bankscope database over the period 1997-2011 and find a positive relationship between bank risk-taking,...

Purpose – The purpose of this paper is to focus on the specific “shareholder's” concept of transparency. Design/methodology/approach – It considers that indirect securities holding systems limit the degree of “post-trading” transparency. The main concern is that an adverse effect of...