“...There is widespread evidence of excess return predictability in financial markets. For the foreign exchange market a number of studies have documented that the...”

“...This paper develops a simple theoretical model that can be used to account for the determinants of exchange rate pass-through to consumer prices. While recent...”

“...This study investigates the dynamic structure of nine major stock markets using an error correction model and directed acyclic graphs (DAG). The DAG...”

“...This paper examines the main implications of recently increasing foreign bank penetration on bank lending as a channel of monetary policy transmission in...”

“...In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model outperforms directly comparing...”

“...Foreign currency debt is widely believed to increase risks of financial crisis, especially after being implicated as a cause of the East Asian crisis in the...”

“...We investigate determination of commercial property prices and their interaction with aggregate bank lending. An illustrative model suggests that lending is...”

“...We investigate shifts in correlation patterns among international equity returns at the market level as well as the industry level. We develop a novel...”

“...We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/dollar return volatility. We highlight and analyze the...”

“...We develop and estimate a dynamic heterogeneous agent model for the EMS period. Our empirical results suggest that the existence of heterogeneous interacting...”