This paper explores the time-varying behavior of five EMS exchange rates namely, the Belgian Franc, Dutch Guilder, French Franc, Italian Lira and the Spanish Peseta vis-a-vis the Deutschemark from 1979 to 1998. The returns were examined using the Sign- and Volatility-Switching GARCH model, which...

This study examines the dynamic interdependencies between private investment and the stock market for the US economy for the 1970 to 2003 period. The main findings are as follows. First, both investment and stock prices seem to adjust to disequilibria from each other in the long run. Second,...

This article investigates whether the German Dominance Hypothesis is valid within the context of nominal short-term interest rates. The approach taken to address this hypothesis is based on the notion that German interest rates should convey valuable information to other countries' rates or that...

This paper develops and tests a new model for assessing country credit risk and is called Multivariate Cumulative Sum. This model is dynamic in nature and allows the user to predict early enough a financial distress that could lead to debt rescheduling. The findings suggest that the model is...

The study examines the distributional properties of the Athens stock exchange and tests for persistence effects or anomalies found in the weekly redistributions of the market. The results indicate significant first- and second-order dependencies in the series as well as pronounced departures...

This paper investigates the effects of military and non-military public expenditures on gross private investment using cointegration and error-correction analysis. The latter type of public spending is disagreggated into expenditures of infrastructure, consumption and other general government...

The house price boom in major industrialized countries since the early 1990s has been unprecedented. Co-movement is a key feature of it and it has been attributed by scholars to synchronization of monetary policy, financial liberalization, integration of international financial markets, as well...