In this work we empirically assess the weak and strong forms of Purchasing Power, Parity (PPP) hypothesis for the economies of Japan and US. Monthly data for the, traded-goods price indices and the JPY/USD exchange rate are employed for the, period from January 2000 to October 2012. This period...

Purpose – The purpose of this paper is to investigate empirically contagion channels of the 2007 US subprime financial crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Design/methodology/approach – In this...

Purpose: This paper aims to investigate the contagion effects of stock and FX markets for the USA and European monetary union (EMU) during the US subprime crisis of 2007-2009.Design/methodology/approach: The data sample is daily comprising a weighted Morgan Stanley Capital Index (MSCI) for US...