Showing papers in "Journal of International Money and Finance in 2005"

TL;DR: In this article, the authors re-assess exchange rate prediction using a wider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and a composite specification.

TL;DR: This article developed a test of contagion in financial markets based on bivariate correlation analysis, which generalizes existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997.

TL;DR: The authors assess some of the explanations that have been put forward for the global pattern of current account imbalances that has emerged in recent years, particularly the large U.S. current account deficit and the large surpluses of the Asian developing economies.

TL;DR: In this paper, the authors estimate that absent substantial foreign inflows into U.S. government bonds, the 10-year Treasury yield would be 80 basis points higher than current levels.

TL;DR: In this paper, the authors studied the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks impact on these markets by using cointegration methodology and multivariate Granger causality tests.

TL;DR: The authors assesses the effects of fiscal consolidation and expenditure composition on economic growth in a sample of 39 low-income countries during the 1990s and finds that strong budgetary positions are generally associated with higher economic growth.

TL;DR: In this paper, a wavelet multiscaling approach is proposed to decompose a given time series on a scale-by-scale basis to estimate the systematic risk (the beta of an asset).

TL;DR: In this article, the impact of nine categories of scheduled and unscheduled news announcements on the euro/dollar return volatility was studied and the authors highlighted and analyzed the pre-announcement, contemporaneous and post-announcedment reactions.

TL;DR: In this article, the authors compare market prices of credit default swaps with model prices and show that a simple reduced form model outperforms directly comparing bonds' credit spreads to default swap premiums.

TL;DR: The authors investigated shifts in correlation patterns among international equity returns at the market level as well as the industry level and developed a novel bivariate GARCH model for equity returns with a smoothly time-varying correlation and then derived a Lagrange Multiplier statistic to test the constant correlation hypothesis directly.

TL;DR: In this paper, the authors present evidence that non-financial customers are the main liquidity providers in the overnight foreign exchange market using a unique daily data set covering almost all transactions in the SEK/EUR market over almost 10 years.

TL;DR: This article analyzed the performance and robustness of some common simple rules for monetary policy in a New-Keynesian open-economy model under different assumptions about the exchange rate model.

TL;DR: This article studied the reaction of the conditional mean and volatility of the euro-dollar exchange rate to statements by European Central Bank and national central bank officials and found that the Bundesbank has dominated the news coverage.

TL;DR: In this article, the authors compare the spreads of bonds issued by firms to those of their home governments and find several cases where a firm's bond trades at a lower spread than that of the firm's government, indicating that investors do not always apply the sovereign ceiling.

TL;DR: This article examined the determinants of the market-assessed sovereign risk premium, measured by the Brady bond stripped yield spread, and found that the market's attitude towards risk is another important determinant.

TL;DR: In this paper, the authors show that the link between financial openness and business cycle volatility depends on the nature of the underlying shock and empirically evidence supports this conclusion, however, they do not find that the relationship between business-cycle volatility and financial openness has not been stable over time.

TL;DR: The authors assesses the extent to which the equity markets of Hungary, Poland, Czech Republic, and Russia have become less segmented using a variety of tests and finds that there has been a consistent increase in the co-movement of some Eastern European markets and developed markets.

TL;DR: This paper showed that financial intermediation affects domestic investment notably by alleviating financing constraints, allowing firms to increase investment in response to increased demand for output, while financial development makes investment more responsive to output growth.

TL;DR: This paper analyzed the link between economic fundamentals and exchange rates by investigating the importance of real-time data and found that economic news in the United States, Germany and the euro area have been a driving force behind daily US dollar-euro/DEM exchange rate developments in the period 1993-2003.

TL;DR: This article found that central bank intervention had no statistically significant systematic impact on the mean or higher moments of the exchange rate during 1993-2000 and that Japanese authorities appeared to intervene mainly in response to deviations from some implicit target levels and to a rise in market uncertainty.

TL;DR: The authors investigated whether legal restrictions on international capital flows are associated with greater currency stability and found evidence that restrictions on capital flows do not effectively insulate economies from currency problems; rather, countries with less restrictive capital controls and more liberalized regimes appear to be less prone to speculative attacks.

TL;DR: In this paper, the authors provide evidence that currency stop-loss orders contribute to rapid, self-reinforcing price movements, which they call "price cascades," which are sometimes triggered in waves, contributing to price cascades.

TL;DR: In this paper, the authors investigated the Feldstein-Horioka coefficients for 11 Asian countries using the recently developed "between-group" FMOLS and DOLS panel cointegration techniques.

TL;DR: This paper provided a formal evaluation of recent exchange rate models based on the term structure of forward exchange rates, which previous research has shown to be satisfactory in point forecasting, in terms of density forecasting performance.

TL;DR: In this article, the authors show that US interest rate policy has an important influence in the determination of credit spreads on emerging market bonds over US benchmark treasuries and therefore on their cost of capital.

TL;DR: This article examined the effects of news on subsequent trades by end-user participants (such as hedge funds, mutual funds, and non-financial corporations) and found that news arrivals induce subsequent changes in trading in all of the major enduser segments.

TL;DR: The authors analyzed the impact of U.S. monetary policy announcement on 15 foreign equity indexes in Asia, Europe, and Latin America using high-frequency data, and found a large and significant response of foreign equity index to U. S. monetary policies at short time horizons.

TL;DR: In this paper, a full-information approach on data for US and Germany to provide answers to the following questions: (i) is there long-term interdependence between US and German stock markets? (ii) Is there short-term intra-and inter-day interdependent and contagion between U.S. and Germany stock markets, and is such co-movement unstable over high-volatility episodes?

TL;DR: In this paper, the authors suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, 2-state Markov switching AR(1) model.

TL;DR: In this article, the authors implement novel tests of general relative purchasing power parity (PPP), defined as a long-run unit elasticity of the nominal exchange rate with respect to relative national prices, allowing for potentially permanent real exchange rate shocks.