The purpose of this paper is to gain better understanding of the black market premium - the percentage differential between the black market and the official exchange rate. Tests are used to examine whether the black market premium responds to variations in expectations about the official...

This paper examines the issue of mean and variance causality across four Latin American official and black markets for foreign currency using the corresponding monthly exchange rate against the US dollar for the period 1976-1993. Specifically, we apply an EGARCH-M model to study the behaviour of...

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 as a result of their accession in the EU. In particular we are interested in understanding whether there are high and low...

This paper examines the issue of mean and variance causality across four equity markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers among the stock markets of Cyprus, Athens, London...

The issue of volatility spillovers between the black and official exchange markets for U.S. dollars in Greece for 1975-1989 is examined in this paper. A vector error correction-bivariate EGARCH model is developed and estimated to capture potential asymmetric effects of innovations and...

Under the context of the US and EMU financial and debt crisis we investigate the portfolio asset diversification and assess risk for a core pool of advanced (US/Eurozone/UK/Japan) markets enriched by emerging financial markets represented by BRIC (Brazil, Russia, India, China). Specifically we...

Purpose The purpose of this paper is to provide an extensive review of the monetary model of exchange rate determination which is the main theoretical framework on analyzing exchange rate behavior over the last 40 years. Furthermore, we test the flexible price monetarist variant and the sticky...

The aim of this paper is to investigate whether the market structure and new technology have an impact on bank loan markets in the European Union. The impact of new technology on three types of bank loans (residential mortgage loans, consumer loans, and corporate loans) is quantified separately...

Purpose The aim of this study is to examine whether China’s exchange rate follows an equilibrium process and consequently to answer the question of whether or not China’s international competitiveness fluctuates in consistency with equilibrium. Design/methodology/approach The theoretical...