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International Journal of Finance & Economics
1996 - 2010
Edited by Mark P. Taylor , Keith Cuthbertson and Michael P. Dooley
from John Wiley & Sons, Ltd.
This journal is continued by International Journal of Finance & Economics .
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Volume 15, issue 4 , 2010
Does long-run purchasing power parity hold in Eastern and Southern African countries? Evidence from panel data stationary tests with multiple structural breaks pp. 307-315 Jean-François Hoarau Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework pp. 316-330 Caroline Jardet and Gaelle Le Fol Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model pp. 331-350 Anastassios A. Drakos , Georgios P. Kouretas and Leonidas P. Zarangas Stock return predictability and dividend-price ratio: a nonlinear approach pp. 351-365 David G. McMillan and Mark E. Wohar Co-movements between US and UK stock prices: the role of time-varying conditional correlations pp. 366-380 Nektarios Aslanidis , Denise Osborn and Marianne Sensier Parametric and non-parametric approaches to exits from fixed exchange rate regimes pp. 381-406 Ahmet Atil Asici Volume 15, issue 3 , 2010
An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns pp. 213-227 Tom Engsted and Stig Vinther Møller Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more? pp. 228-246 Kate Phylaktis and Long Chen Information technology and its impact on stock returns and trading volume pp. 247-262 Uri Benzion , Tchai Tavor and Joseph Yagil Long-run purchasing power parity with asymmetric adjustment: evidence from nine major oil-exporting countries pp. 263-274 Tsangyao Chang and Wen-Chi Liu Improving the term structure of interest rates: two-factor models pp. 275-287 Lourdes Gómez-Valle and Julia Martínez-Rodríguez Business cycle synchronization of the euro area with the new and negotiating member countries pp. 288-306 Christos Savvas Savva , Kyriakos C. Neanidis and Denise Osborn Volume 15, issue 2 , 2010
Decomposing European bond and equity volatility pp. 105-122 Charlotte Christiansen The effect of a transaction tax on exchange rate volatility pp. 123-133 Markku Lanne and Timo Vesala The equity premium and the business cycle: the role of demand and supply shocks pp. 134-152 Peter N Smith , Steffen Sorensen and Michael R. Wickens Is prior performance priced through closed-end fund discounts? pp. 153-164 Michael Bleaney and Richard Todd Smith Costs associated with mutual funds in Spain pp. 165-179 Isabel Toledo and Rocío Marco Causality from real stock returns to real activity: evidence of regime-dependence pp. 180-197 Angelos Kanas and Christos Ioannidis Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns pp. 198-211 Stuart James Hyde and Mohamed Sherif Volume 15, issue 1 , 2010
Non-linearities in the relation between the exchange rate and its fundamentals pp. 1-21 Carlo Altavilla and Paul De Grauwe The impact of macroeconomic uncertainty on firms' changes in financial leverage pp. 22-30 Christopher F Baum , Atreya Chakraborty and Boyan Liu The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads pp. 31-58 Michael Adler and Jeong Song The determinants of corporate risk in emerging markets: an option-adjusted spread analysis pp. 59-74 Eduardo Alfredo Cavallo and Patricio Valenzuela Predicting nominal exchange rate movements using skewness information from options prices pp. 75-92 Ryan Ratcliff Domestic vs external sovereign debt servicing: an empirical analysis pp. 93-103 Emanuel Kohlscheen Volume 14, issue 4 , 2009
Monetary policy in an estimated open-economy model with imperfect pass-through pp. 301-333 Jesper Lindé , Marianne Nessén and Ulf Söderström Implications of production sharing on exchange rate pass-through pp. 334-345 Amit Ghosh Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis pp. 346-377 Alexander Mihailov When do central banks prefer to intervene secretly? pp. 378-393 Montserrat Ferré and Carolina Manzano Regime switching in stock index and futures markets: a note on the NIKKEI evidence pp. 394-399 Angelos Kanas Volume 14, issue 3 , 2009
'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice? pp. i-i Carlos A. Ulibarri , Peter C. Anselmo , Karen Hovsepian , Jacob Tolk and Ionut Florescu Currency unions and currency crises: an empirical assessment pp. 199-221 Brahima Coulibaly International value versus growth: evidence from stochastic dominance analysis pp. 222-232 Abhay Abhyankar , Keng-Yu Ho and Huainan Zhao The persistence in hedge fund performance: extended analysis pp. 233-255 Daniel P. J. Capocci Currency crisis duration and interest defence pp. 256-267 Tullio Gregori 'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice? pp. 268-279 Carlos A. Ulibarri , Peter C. Anselmo , Karen Hovespian , Jacob Tolk and Ionut Florescu Real exchange rates and developing countries pp. 280-299 Angelos Kanas Volume 14, issue 2 , 2009
On the determinants of Central Bank independence in open economies pp. 107-119 D'Amato, Marcello , Barbara Pistoresi and Francesco Salsano Measurement matters for modelling US import pricesThis article is a U.S. Government work and is in the public domain in the U.S.A.
pp. 120-138 Charles P. Thomas and Jaime Marquez Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates pp. 139-155 David G. McMillan European monetary policy surprises: the aggregate and sectoral stock market response pp. 156-171 Don Bredin , Stuart James Hyde , Dirk Nitzsche and O'Reilly, Gerard Patrick Time-varying correlations and optimal allocation in emerging market equities for the US investors pp. 172-187 Heung-Joo Cha and Thadavillil Jithendranathan Exchange rates and product variety pp. 188-198 Witness Simbanegavi Volume 14, issue 1 , 2009
The euro as a reserve currency: a challenge to the pre-eminence of the US dollar? pp. 1-23 Gabriele Galati and Philip Wooldridge Market interdependence and financial volatility transmission in East Asia pp. 24-44 Giampiero M. Gallo and Margherita Velucchi Interest rate transmission in the UK: a comparative analysis across financial firms and products pp. 45-63 Ana-Maria Fuertes and Shelagh A. Heffernan Announcement effects on exchange rates pp. 64-84 Mikael Bask A new look at economic convergence in Europe: a common factor approach pp. 85-97 Bettina Becker and Stephen George Hall Bid-ask spread and order size in the foreign exchange market: an empirical investigation pp. 98-105 Liang Ding Volume 13, issue 4 , 2008
Volatility in the Euro area money market: effects from the monetary policy operational framework pp. 307-322 Alain Durré and Stefano Nardelli International liquidity swaps: is the Chiang Mai Initiative pooling reserves efficiently? pp. 323-332 Emanuel Kohlscheen and Mark P. Taylor Estimation of the consumption CAPM with imperfect sample separation information pp. 333-348 Andrei Semenov Foreign direct investment and exchange rate uncertainty in South-East Asia pp. 349-359 Sylvia D. Gottschalk and Stephen George Hall What drives heterogeneity in foreign exchange rate expectations: insights from a new survey pp. 360-367 Christian Dreger and Georg Stadtmann The role of asymmetric information among investors in the foreign exchange market pp. 368-385 Esen Onur Pricing caps and floors with the extended CIR model pp. 386-400 Antonio Mannolini , Carlo Mari and Roberto Renò Volume 13, issue 3 , 2008
Monetary policy shocks in the euro area and global liquidity spillovers pp. 205-218 João Sousa and Andrea Zaghini How to exit from fixed exchange rate regimes? pp. 219-246 Ahmet Atil Asici , Nadezhda Ivanova and Charles Wyplosz Policy words and policy deeds: the ECB and the euro pp. 247-265 Pierre Siklos and Martin T. Bohl Bank lending in Germany and the UK: are there differences between a bank-based and a market-based country? pp. 266-279 Sylvia Kaufmann and Maria Teresa Valderrama Capital market integration, currency crises, and exchange rate regimes 1990-2002 pp. 280-306 Ephraim Clark , Amel Zenaidi and Monia Gharbi Trabelsi Volume 13, issue 2 , 2008
The advantage of tying one's hands: revisited pp. 135-149 Mirco Soffritti and Francesco Zanetti On the feasibility of a monetary union in the Southern Africa Development Community pp. 150-157 Temisan D. Agbeyegbe Real exchange rates may have nonlinear trends pp. 158-173 David O. Cushman New estimates of exchange rate pass-through in Japanese exportsAn earlier version of this paper was presented at the 10th International Convention of the East Asian Economic Association in Beijing, China.
pp. 174-183 Craig R. Parsons and Kiyotaka Sato Currency invoicing of US imports pp. 184-198 Shabtai Donnenfeld and Alfred A. Haug Home bias and purchasing power parity: evidence from the G-7 countries pp. 199-204 Nikolaos Mylonidis and Dimitrios Sideris Volume 13, issue 1 , 2008
Special issue on international financial markets and the macroeconomy pp. 1-1 Paul Dominic McNelis and Giorgio Valente Conventional and unconventional approaches to exchange rate modelling and assessment pp. 2-13 Ron Alquist and Menzie Chinn What determines transaction costs in foreign exchange markets? pp. 14-25 Tarun Ramadorai A ratings-based approach to measuring sovereign risk pp. 26-39 Eli M. Remolona , Michela Scatigna and Eliza Wu The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data pp. 40-52 Mardi Dungey , Charles Goodhart and Demosthenes N. Tambakis Does the Chinese interest rate follow the US interest rate? pp. 53-67 Yin-Wong Cheung , Dickson C. Tam and Matthew S. Yiu The term structure of credit spreads in project financeSupplementary material for this article can be found at http:||www.interscience.wiley.com|jpages|1076-9307|suppmat|ijfe.350.html
pp. 68-81 Marco Sorge and Blaise Gadanecz Modelling sovereign bond yield curves of the US, Japan and Germany pp. 82-91 Chi-Sang Tam and Ip-Wing Yu FDI location choice: agglomeration vs institutions pp. 92-107 Julan Du , Yi Lu and Zhigang Tao Incomplete financial market and the sequence of international trade liberalization pp. 108-117 Yue Ma Valuing foreign currency options with a mean-reverting process: a study of Hong Kong dollar pp. 118-134 C. H. Hui , C. F. Lo , V. Yeung and L. Fung
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