In this paper, we investigate through Monte Carlo simulations the behavior of the codependence testing procedure (Gouriéroux et Peaucelle [1989]) in small samples and in various usual statistical situations. Our results suggest that, except for the pure MA(q) case, important power losses may...

In this paper we study the role of official statements and speeches given by central bank authorities in charge of foreign exchange policy. We investigate the impact of statements that comment on and confirm such interventions on the day of the intervention on the two major foreign exchange...

In this paper we investigate whether it is preferable for Canadian regions to individually adopt the U.S. dollar or to remain with the current currency arrangement. The empirical analysis focuses on the cross-correlations of various business cycle measures of Canadian regions, of Canada, and of...

This article assesses the impact of official FOREX interventions of the three major central banks in terms of the dynamics of the currency components of the major exchange rates over the period 1989--2003. We identify the currency components of the mean and volatility processes of exchange rates...

The dynamics of the cross-correlations between the 10 Dow Jones European sector financial indices are analyzed through to the Dynamic Conditional Correlations (DCC) model during the period 1987-2003. First, the paper confirms that, on the whole, the correlations are highly volatile. Second, it...

This paper explores the effects of the interventions of the Bank of Japan on the level and volatility of the yen/dollar exchange rate. A special attention is devoted to the prominent features affecting the signal conveyed by these interventions. The results show a clear duality: small unilateral...

Intervening in the FX market implies a complex decision process for central banks. Monetary authorities have to decide whether to intervene or not, and if so, when and how. Since the successive steps of this procedure are likely to be highly interdependent, we adopt a nested logit approach to...

This paper examines the relationship between the brain drain and country size, as well as the extent of small states’ overall loss of human capital. We find that small states are the main losers because they i) lose a larger proportion of their skilled labor force and ii) exhibit stronger...

We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying...

In this paper, we develop a two-country stochastic simulation model based on the theory of optimum currency areas, which studies the desirability of a monetary union. Extending the general equilibrium model of Ricci (1995), we introduce the intertemporal dimension, which allows to deal more...