Journal of International Money and Finance

1982 - 2024

Current editor(s): J. R. Lothian

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Volume 21, issue 7, 2002

Incomplete markets, borrowing constraints, and the foreign exchange risk premium pp. 957-980

Sylvain Leduc

Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets pp. 981-1011

K. C. Butler and D. C. Joaquin

Arbitrage opportunities on the road to stabilization and reform pp. 1013-1034

Angelos Antzoulatos

Anticipated foreign military threat, arms accumulation, and the current account in a small open economy pp. 1035-1052

Wen-ya Chang, Hsueh-fang Tsai and Ching-chong Lai

Time-varying risk preferences and emerging market co-movements pp. 1053-1072

Timothy K. Chue

Volume 21, issue 6, 2002

Editorial pp. 693-693

James Lothian

Introduction pp. 695-698

Michele Bagella, Iftekhar Hasan and James Lothian

The internationalization of money and finance and the globalization of financial markets pp. 699-724

James Lothian

A century of current account dynamics pp. 725-748

Alan Taylor

International financial integration and economic growth pp. 749-776

Hali Edison, Ross Levine, Luca Ricci and Torsten Slok

Inflation thresholds and the finance-growth nexus pp. 777-793

Peter Rousseau and Paul Wachtel

Home bias and high turnover reconsidered pp. 795-805

Francis Warnock

Informational integration and FX trading pp. 807-831

Martin Evans and Richard Lyons

The pricing of emerging market country funds pp. 833-855

C. S. Eun, S. Janakiramanan and L. W. Senbet

The effects of cross-border bank mergers on bank risk and value pp. 857-877

Yakov Amihud, Gayle L. DeLong and Anthony Saunders

Measuring financial and economic integration with equity prices in emerging markets pp. 879-903

Kate Phylaktis and Fabiola Ravazzolo

The cost of capital in international financial markets: local or global? pp. 905-929

Kees G. Koedijk, Clemens Kool, Peter C. Schotman and Mathijs van Dijk

Emerging market liberalization and the impact on uncovered interest rate parity pp. 931-956

Bill B. Francis, Iftekhar Hasan and Delroy M. Hunter

Volume 21, issue 5, 2002

Effectiveness of IMF-supported stabilization programs in developing countries pp. 565-587

Ayse Y. Evrensel

On the dual characteristics of closed-end country funds pp. 589-618

Bong-Soo Lee and Gwangheon Hong

The determinants of foreign exchange intervention by central banks: evidence from Australia pp. 619-649

Suk-Joong Kim and Jeffrey Sheen

Does the Australian dollar real exchange rate display mean reversion pp. 651-666

Ólan Henry and Nilss Olekalns

Government expenditure and equilibrium real exchange rates pp. 667-692

Ronald Balvers and Jeffrey Bergstrand

Volume 21, issue 4, 2002

Technical analysis and the effectiveness of central bank intervention pp. 459-479

Peter Saacke

Exchange rate effects on the volume and variability of trade flows pp. 481-496

John Barkoulas, Christopher Baum and Mustafa Caglayan

Real exchange rates, trade balances and nominal shocks: evidence for the G-7 pp. 497-518

L. A. Fisher and Hyeon-seung Huh

Predicting recessions with interest rate spreads: a multicountry regime-switching analysis pp. 519-537

R. Ahrens

Budget deficits, inflation risk, and asset prices pp. 539-553

Willem Thorbecke

The Feldstein-Horioka puzzle revisited pp. 555-564

Tsung-wu Ho

Volume 21, issue 3, 2002

The dynamics of emerging market equity flows pp. 295-350

Geert Bekaert, Campbell Harvey and R. L. Lumsdaine

The euro as an international currency: explaining puzzling first evidence from the foreign exchange markets pp. 351-383

Harald Hau, William Killeen and Michael Moore

Present value tests of the current account with durables consumption pp. 385-412

Talan Iscan

Exchange rate stabilization in the ERM: identifying European monetary policy reactions pp. 413-434

Soyoung Kim

A model of contagious currency crises with application to Argentina pp. 435-457

Nada Choueiri

Volume 21, issue 2, 2002

How does war shock the economy? pp. 145-162

Bryan Caplan

Can output explain the predictability and volatility of stock returns? pp. 163-182

Rosa Rodriguez, Fernando Restoy and J. Ignacio Pena

Common trends and convergence? South East Asian equity markets, 1988-1999 pp. 183-202

Neil Manning

Real trading patterns and prices in spot foreign exchange markets pp. 203-222

Jon Danielsson and Richard Payne

Testing for efficiency and rationality in foreign exchange markets--a review of the literature and research on foreign exchange market efficiency and rationality with comments pp. 223-239

Peijie Wang and Trefor Jones

Optimal currency risk hedging pp. 241-264

Abraham Lioui and Patrice Poncet

Return and volatility behavior of dually-traded stocks: the case of Hong Kong pp. 265-293

Steven Shuye Wang, Oliver Rui and Michael Firth

Volume 21, issue 1, 2002

Exchange rate fluctuations and disaggregated economic activity in the US: theory and evidence pp. 1-31

Magda Kandil and Ida Mirzaie

Exogenous shocks, contagion, and bank soundness: a macroeconomic framework pp. 33-52

Mario I. Blejer, Ernesto V. Feldman and Andrew Feltenstein

Currency substitution and speculative attacks on a currency board system pp. 53-78

Shu-ki Tsang and Yue Ma

Determinants of foreign direct investment across China pp. 79-113

Qian Sun, Wilson Tong and Qiao Yu

Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations pp. 115-144

Michel Beine, Agnès Benassy-Quere and Christelle Lecourt

Volume 20, issue 7, 2001

Technical analysis and central bank intervention pp. 949-970

Christopher Neely and Paul A. Weller

Extreme observations and diversification in Latin American emerging equity markets pp. 971-986

Raul Susmel

Distribution of parallel exchange rates in African countries pp. 987-1001

Hippolyte Fofack and John P. Nolan

What makes the stock market jump? An analysis of political risk on Hong Kong stock returns pp. 1003-1016

Harold Y. Kim and Jianping Mei

The saving-investment correlation puzzle is still a puzzle pp. 1017-1034

Sunghyun Kim

Volume 20, issue 6, 2001

Central bank operations: auction theory and empirical evidence pp. 737-741

Juergen von Hagen

A theory of treasury auctions pp. 743-767

Arup Daripa

Collateral and short squeezing of liquidity in fixed rate tenders pp. 769-792

Kjell Nyborg and Ilya Strebulaev

Rationing rules and European Central Bank auctions pp. 793-808

Thomas Gresik

Efficiency in auctions: theory and practiceUpdated copies of this paper can be found at www.wws.princeton.edu/~rjmorgan pp. 809-838

John Morgan

The empirical performance of the ECB's repo auctions: evidence from aggregated and individual bidding data pp. 839-856

Jörg Breitung and Dieter Nautz

Why did the banks overbid? An empirical model of the fixed rate tenders of the European Central Bank pp. 857-870

Juan Ayuso and Rafael Repullo

European Central Bank operations: experimental investigation of the fixed rate tender pp. 871-893

Karl-Martin Ehrhart

The microstructure of the euro money market pp. 895-948

Philipp Hartmann, Michele Manna and Andres Manzanares

Volume 20, issue 5, 2001

Erratum to "The foreign-exchange costs of central bank intervention: evidence from Sweden" [Journal of International Money and Finance 20 (2001) 219-247] pp. 589-590

Boo Sjoo and Richard J. Sweeney

Emerging market debt: measuring credit quality and examining relative pricing pp. 591-609

Robert Cumby and Tuvana Pastine

Jumps and time-varying correlations in daily foreign exchange rates pp. 611-637

Kook-Hyun Chang and Myung-Jig Kim

Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate pp. 639-657

Mehmet Caner and Lutz Kilian

Introducing new futures contracts: reinforcement versus cannibalism pp. 659-675

Joost Pennings and Raymond M. Leuthold

Central bank interventions and exchange rate band regimes pp. 677-700

Gabriela Mundaca

Money demand in Euroland pp. 701-713

Michael Funke

Living with the "enemy": an analysis of foreign investment in the Japanese equity market pp. 715-735

Yasushi Hamao and Jianping Mei

Volume 20, issue 4, 2001

Currency traders and exchange rate dynamics: a survey of the US market pp. 439-471

Yin-Wong Cheung and Menzie Chinn

The real-interest-differential model after 20 years pp. 473-495

Alan Isaac and Suresh de Mel

International transmission of anticipated inflation under alternative exchange-rate regimes pp. 497-519

Jill A. Holman and Felix Rioja

Nominal exchange-rate prediction: evidence from a nonlinear approach pp. 521-532

Jyh-Lin Wu and Show-Lin Chen

An empirical reassessment of target-zone nonlinearities pp. 533-548

Anthony Garratt, Zacharias Psaradakis and Martin Sola

Secondary market efficiency for LDC bank loans and international private lending, 1985-1993 pp. 549-562

Yasuyuki Sawada

Long and short term dynamic causal transmission amongst international stock markets pp. 563-587

Rumi Masih and Abul Masih

Volume 20, issue 3, 2001

Exchange rates and firms' liquidity: evidence from ADRs pp. 297-325

Roger D. Huang and Hans Stoll

'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow pp. 327-347

Jun Cai, Yan-Leung Cheung, Raymond S. K. Lee and Michael Melvin

Global property investment and the costs of international diversification pp. 349-366

Piet Eichholtz, Kees Koedijk and Mark Schweitzer

Volatility spillovers in East European black-market exchange rates pp. 367-378

Alan E. H. Speight and David G. McMillan

Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era pp. 379-399

Christopher Baum, John Barkoulas and Mustafa Caglayan

Measuring and estimating exchange market pressure in the EU pp. 401-418

Eric Pentecost, Charlotte Van Hooydonk and Andre Van Poeck

The lifetime of a unilateral target zone: some extended results pp. 419-438

Simon Broome

Volume 20, issue 2, 2001

The effects of industry structure on economic exposure pp. 149-164

Richard C. Marston

Why real interest rates, cost of capital and price/earnings ratios vary across countries pp. 165-189

Bhagwan Chowdhry and Sheridan Titman

Systematic jump risks in a small open economy: simultaneous equilibrium valuation of options on the market portfolio and the exchange rate pp. 191-218

Melanie Cao

The foreign-exchange costs of central bank intervention: evidence from Sweden pp. 219-247

Boo Sjoo and Richard J. Sweeney

Unit root tests for panel data pp. 249-272

In Choi

Exchange rate exposure, hedging, and the use of foreign currency derivatives pp. 273-296

George Allayannis and Eli Ofek

Volume 20, issue 1, 2001

Forecasting daily exchange rate volatility using intraday returns pp. 1-23

Martin Martens

Can Markov switching models replicate chartist profits in the foreign exchange market? pp. 25-41

Hans Dewachter

Privatization, political risk and stock market development in emerging economies pp. 43-69

Enrico Perotti and Pieter van Oijen

Tests of conditional asset pricing models in the Brazilian stock market pp. 71-90

René Garcia and Marco Bonomo

Exchange rate dynamics in anticipation of time-contingent regime switching: modelling the effects of a possible delay pp. 91-113

Bernd Wilfling and Wolfgang Maennig

Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates pp. 115-132

Yin-Wong Cheung and Kon S. Lai

Evaluating forecasts from SETAR models of exchange rates pp. 133-148

Michael Clements and Jeremy Smith