Showing papers in "Journal of International Money and Finance in 1995"

TL;DR: In this article, the authors studied the correlation of monthly excess returns for seven major countries over the period 1960-90 and found that the international covariance and correlation matrices are unstable over time.

TL;DR: This article found that there is a home bias in national investment portfolios despite the potential gains from international diversification, and that the composition of the portfolio of foreign securities seems to reflect factors other than diversification of risk, such as cross-border capital flows and the high turnover rate on foreign equity investments relative to turnover on domestic equity markets.

TL;DR: In this paper, the authors investigated the transmission mechanism of price and volatility spillovers across the New York, Tokyo and London stock markets using an extended multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model.

TL;DR: In this paper, the authors explored international evidence on long memory using the Morgan Stanley Capital International stock index data for eighteen countries and found that the empirical results in general provide little support for long memory in international stock returns.

TL;DR: In this paper, the authors used data on bilateral automobile export prices from the USA, Germany and Japan to gauge the importance of markup adjustment driven by exchange rate movements across several destination markets.

TL;DR: In this article, it was shown that high-frequency fluctuations of consumption and real exchange rates are consistent with unrestricted international trade in risk-free bonds in the US, Japan, France, UK, Italy, Canada and Sweden.

TL;DR: This paper found that the real exchange rate is cointegrated with terms-of-trade variables and causality runs from the terms of trade to the exchange rate, and constructed a simple exchange rate equation that satisfies several specification tests and performs better than a random walk in post-sample forecasting experiments.

TL;DR: In this paper, the relative influence of US and Japanese real interest rates in the determination of local Pacific Rim rates is investigated, where influence is defined by the presence of common stochastic trends.

TL;DR: This article used a formula for intervention profits in which profitability measured as of date T depends on how well intervention operations predict ex post deviations from interest parity, and showed that US intervention since the beginning of generalized floating in 1973 has earned profits for the US monetary authorities.

TL;DR: In this paper, the authors investigate the impact of exchange rate risk on export production when a firm cannot engage in a direct forward hedge in the exchange rate, but there exists a forward market for a domestic financial asset correlated with the exchange rates in question, and show that using such an indirect hedging device to reduce foreign exchange risk do not necessarily increase their output when such unbiased hedging market becomes available.

TL;DR: In this article, the authors investigated which of the theories of international trade best explain trade in international banking in its various forms: branches, subsidiaries and representatives, and found that the foreign exchange and capital markets exhibit declining costs to production.

TL;DR: The authors employed the Kalman filter technique to estimate and test for stochastic bubbles for exchange rates between the US dollar and the British pound, the Japanese yen and the Deutsche mark, finding no significant evidence of bubbles.

TL;DR: In this article, the effects of stochastic volatility on the pricing and hedging of long-term foreign currency options were examined, and it was shown that the traditional method leads to small pricing errors for short-term options, but does a poor job in pricing longterm options.

TL;DR: This article investigated the effects of the Australian current account news on exchange rates and interest rates for the period July 1985 to December 1992 and found that the Australian dollar depreciated and interest rate rose as a result of an announcement of a larger than expected current account deficit.

TL;DR: In this paper, the unbiased forward rate hypothesis using an error correction model (ECM) was examined, and it was shown that both specifications yield essentially the same results when the ECM is explicitly derived from a levels specification and the levels parameters are estimated simultaneously with other parameters.

TL;DR: This article proposed a stochastic realignment model where devaluation risk varies with economic fundamentals, and the model predicts 13 of 17 realignments for the Franc and Lira, including an out-of-sample episode in August 1993.

TL;DR: In this paper, the authors examined the stochastic behavior of short-term interest rates in eleven countries and found that no single model can satisfactorily describe the structure of interest rates for all countries.

TL;DR: This paper examined whether exchange rate realignments are effective in extenuating the deviations from purchasing power parity (PPP) under the European Monetary System (EMS) under reduced rank cointegration analysis.

TL;DR: This paper examined the impact of US and UK news on futures prices of US, UK, German, and Japanese government bonds and found that certain US information has a significant influence on German, Japanese, and British interest rates, while UK information has almost no effect on foreign rates.

TL;DR: In this article, the authors investigate whether real exchange rates under the gold standard can be modeled as stationary around a broken trend using both conventional unit root and sequential trend break tests, and they clearly reject the unit root null for 14 of the 16 exchange rates studied by Diebold, Husted and Rush and provide some evidence against a unit root for another.

TL;DR: This paper examined the temporal causality of expenditures, taxation, and real indexation in Brazil and found that reductions in real indexations followed increases in government spending, and that such reductions, while generally associated with antiinflation plans, served as implicit defaults.

TL;DR: The authors found evidence of a cointegrating relationship and two stochastic trends among these series and base structural inferences on long run identifying restrictions of the type proposed for VEC models by King, Plosser, Stock and Watson (KPSW).

TL;DR: The authors examined the behavior of some key macroeconomic variables under alternative exchange rate regimes by looking at persistence, volatility, and the relative importance of symmetric (worldwide) versus asymmetric (nation-specific) shocks as a driving force of business cycles.

TL;DR: In this paper, the effects of world interest rate disturbances on the real domestic term structure of interest rates were studied. But the authors focused on the effect of short and long-term rates as well as the discount bond yield curve.

TL;DR: In this paper, the impact of systematic exchange risk and systematic national risk on foreign asset performance was examined by examining how much should be invested in foreign countries, which countries should be targeted and in what types of assets.

TL;DR: In this paper, the authors show that exchange rate dynamics and speculators' horizons are determined simultaneously, and that the equilibrium share of short-term speculators depends on a number of factors, including market liquidity and the generating processes of the underlying shocks.

TL;DR: In this paper, the usefulness of divisia money relative to simple sum money for exchange rate modelling in a period of rapid financial deregulation is examined, using the monetary model of the exchange rate.

TL;DR: The Merton jump-diffusion model has been proposed as a more realistic currency option model, to eliminate pricing biases inherent in the Garman-Kohlhagen model as discussed by the authors.

TL;DR: The authors analyzes the ability of open-economy extensions of Lucas's (1990) liquidity model to explain features of observed nominal and real exchange rate dynamics and responses of key variables to monetary shocks.

TL;DR: In this article, the authors estimate a small open-economy macro model in which movements in inflation and output are driven by fiscal, real, monetary, exchange rate, and asset disturbances.