In this paper, we first review Irving Fisher's seminal work on UIP and on the closely related equation linking interest rates and inflation relation. We go on to re-examine the performance of UIP since the advent of floating exchange rates in the 1970s. Like Fisher a century ago, we find that...

This paper empirically investigates two questions. First, what makes a bank hedge in certain periods but not in others? We find that banks are more likely to be hedgers with interest rate derivatives when loan commitment, demand deposit, ROE, size and credit spread are higher; higher interest...

A further generalization of the international version of the Arbitrage Pricing Theory is presented in this paper. The traditional model of Solnik (1983) and the modification by Ikeda (1991) are extended in such a way that the factor structure of assets and exchange rates are numeraire...

This paper investigates whether a continental factor in real estate returns exists. To this end, a numeraire independent form of principal component analysis is used to see if real estate returns for countries within a continent move together. The methodology is applied on return indices of...

We examine the effects of price disclosure on market performance in a continuous experimental multiple-dealer market in which seven professional market-makers trade a single security. The dealers trade with one another and with computerized informed and liquidity traders. Our key comparison is...

In this paper hedging foreign currency exposure is reconsidered. We investigate the sensitivity of hedge ratios for the well-documented existence of unconditional kurtosis in asset and exchange rate returns. We derive theoretical hedge ratios for fat-tailed asset return distributions and find...

We review Irving Fisher's seminal work on UIP and on the closely related equation linking interest rates and inflation. Like Fisher, we find that the failures of UIP are connected to individual episodes in which errors surrounding exchange rate expectations are persistent, but eventually...

European banking regulation has been harmonized to a high degree over the last few decades. Nevertheless, the European banking industry remains fragmented as shown by the relatively high market shares of banks in their home countries. In this paper we concentrate on the integration process of...