This paper examines the short- and long-term relationships between seven Central Eastern European (CEE) stock markets and two developed stock markets, namely the German market and the US market. Application of the Gonzalo and Granger (1995) methodology indicates that the examined stock markets...

In a recent line of research the low interest-rate environment of the early to mid 2000s is viewed as an element that triggered increased risk-taking appetite of banks in search for yield. This paper uses approximately 18,000 annual observations on euro area banks over the period 2001-2008 and...

This study examines the proposition that destabilizing speculation caused the overvaluation of the pound sterling in mid-1924 and the depreciation of the franc Poincare in mid-1925, by testing for the existence of long-run purchasing power parity in the 1920s for the dollar/sterling,...

The monetary model of exchange rate determination is tested by means of cointegration analysis for three bilateral drachma exchange rates over the period September 1919 to April 1928. Strong evidence is obtained for the drachma-US dollar case of a long-run relationship which is identified with...

Using a number of theoretical considerations, we define distinct periods of anxiety for key economic agents that are involved in lending decisions; namely, consumers, CEOs, and banks. The main characteristic of anxious periods is that the perceptions and expectations about economic conditions...

We use multivariate cointegration techniques to examine market efficiency with respect to five bilateral exchange rates of the Greek drachma. The conclusion is that the five exchange rates possess one long-run relationship and that the existence of the cointegration relation is not affected by...

In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed since the opening of their capital markets. In particular we are interested in understanding whether there are high and low...