“...This paper tests the hypothesis of asymmetric effects of exchange rate risk with a dynamic conditional correlation bivariate GARCH(1,1)-M model. The asymmetry...”

“...What determines the currency to which countries peg or “anchor” their exchange rate? Data for over 100 countries between 1980 and 1998 reveal trade network...”

“...This paper models the dynamics of adjustment to long-run purchasing power parity (PPP) over the post-Bretton Woods period in a nonlinear framework consistent...”

“...This paper assesses the extent to which the equity markets of Hungary, Poland the Czech Republic and Russia have become less segmented. Using a variety of...”

“...In this paper we study the role of official statements and speeches given by central bank authorities in charge of foreign exchange policy. We investigate the...”

“...This paper uses a unique new monthly US–UK real exchange rate series for the January 1794–December 2009 period to reexamine the academic debate over purchasing...”

“...This paper addresses whether macro news arrivals affect currency markets over time. The null from macro exchange rate theory is that they do not: macro news is...”

“...This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used...”

“...We examine the relation between the cross-section of US stock returns and foreign exchange rates during the period from 1973 to 2002. We find that stocks most...”

“...We model real exchange rate, nominal exchange rate, and relative price volatility using real and nominal factors. We analyze these volatility measures across...”