Journal of International Money and Finance

1982 - 2025

Current editor(s): J. R. Lothian

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Volume 17, issue 6, 1998

The forecasting ability of correlations implied in foreign exchange options pp. 855-880

Jose Campa and P. H. Kevin Chang

Dynamic linkages among real interest rates in international capital markets pp. 881-907

Mouawiya Al Awad and Barry Goodwin

International transmission of information: evidence from the Euroyen and Eurodollar futures markets pp. 909-929

Yiuman Tse

Buffer stocks and precautionary savings with loss aversion pp. 931-947

Joshua Aizenman

Calculating the equity cost of capital using the APT: the impact of the ERM pp. 949-965

Antonios Antoniou, Ian Garrett and Richard Priestley

The world ex ante risk premium: an empirical investigation pp. 967-999

Barbara Ostdiek

Volume 17, issue 5, 1998

Capital inflows, external shocks, and the real exchange rate pp. 713-740

Pierre-Richard Agénor

Capital mobility in the world economy: an alternative test pp. 741-756

Akihisa Shibata and Mototsugu Shintani

Do Reuters spreads reflect currencies' differences in global trading activity? pp. 757-784

Philipp Hartmann

The yen and Japanese manufacturing employment pp. 785-801

Robert Dekle

HICs' optimal trade openness and the modelling of the default penalty pp. 803-811

Celia Cabral

Integration, cointegration and the forecast consistency of structural exchange rate models pp. 813-830

Yin-Wong Cheung and Menzie Chinn

Foreign exchange market efficiency revisited pp. 831-838

Jyh-Lin Wu and Show-Lin Chen

A pitfall in computing exchange rate density in the EMS band pp. 839-853

Patrick Honohan

Volume 17, issue 4, 1998

Stochastic trends and economic fluctuations in a large open economy pp. 565-596

Stephen DeLoach and Robert Rasche

Parity reversion in real exchange rates during the post-Bretton Woods period pp. 597-614

Yin-Wong Cheung and Kon S. Lai

Government consumption and private consumption correlations pp. 615-636

Jane Marrinan

US trade balance dynamics: the role of fiscal policy and productivity shocks and of financial market linkages pp. 637-669

Robert Kollmann

On inflation and inflation uncertainty in the G7 countries pp. 671-689

Kevin Grier and Mark J. Perry

European monetary integration and the demand for money pp. 691-711

Philipp Rother

Volume 17, issue 3, 1998

International evidence on equity prices, interest rates and money pp. 377-406

William Lastrapes

On exchange rates, nominal and real pp. 407-439

Larry Sjaastad

Cointegration and predictability of asset prices1 pp. 441-453

Guglielmo Maria Caporale and Nikitas Pittis

Structural change and asset pricing in emerging markets pp. 455-473

René Garcia and Eric Ghysels

Superexogeneity and the dynamic linkages among international equity markets pp. 475-492

Bill B. Francis and Lori L. Leachman

International stock return differentials and real exchange rate changes pp. 493-511

Dimitrios Malliaropulos

Forecasting exchange rates using TSMARS pp. 513-534

Jan G. Gooijer, Bonnie K. Ray and Horst Krager

The use of fundamental and technical analyses by foreign exchange dealers: Hong Kong evidence pp. 535-545

Yu-Hon Lui and David Mole

The noise trading approach -- questionnaire evidence from foreign exchange pp. 547-564

Lukas Menkhoff

Volume 17, issue 2, 1998

Pricing multivariate contingent claims using estimated risk-neutral density functions pp. 229-247

Joshua Rosenberg

Valuation of LIBOR-Contingent FX options pp. 249-277

A. L. Tucker and J. Z. Wei

Common stochastic trends between forward and spot exchange rates pp. 279-297

Kul Luintel and Krishna Paudyal

Oil prices and the rise and fall of the US real exchange rate pp. 299-316

Robert Amano and Simon van Norden

Asset pricing and foreign exchange risk: econometric evidence for the G-7 pp. 317-329

Bruce Morley and Eric Pentecost

Domestic bank runs and speculative attacks on foreign currencies pp. 331-338

Victoria Miller

Macroeconomic stabilization and intervention policy under an exchange rate band pp. 339-353

Roel Beetsma and Frederick (Rick) van der Ploeg

Another visit to the Cagan model of money demand: the latest Russian experience pp. 355-376

T. Choudhry

Volume 17, issue 1, 1998

The pendulum of exchange rate economics pp. 1-3

Kees G. Koedijk

Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2 pp. 5-27

Frank de Jong, Ronald Mahieu and Peter Schotman

Some new stylized facts of floating exchange rates pp. 29-39

James Lothian

Increasing evidence of purchasing power parity over the current float pp. 41-50

David Papell and Hristos Theodoridis

The re-emergence of PPP in the 1990s pp. 51-61

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

Forecasting real exchange rates1 pp. 63-70

Akhtar Siddique and Richard J. Sweeney

Market frictions and real exchange rates1 pp. 71-95

P. G. J. O'Connell

Profits and position control: a week of FX dealing1 pp. 97-115

Richard Lyons

Implied exchange rate distributions: evidence from OTC option markets1 pp. 117-160

Jose Campa, P. H. Kevin Chang and Robert L. Reider

Central bank intervention and exchange rate volatility1 pp. 161-190

Kathryn Dominguez

Intraday effects of foreign exchange intervention by the Bank of Japan1 pp. 191-210

Yuanchen Chang and Stephen J. Taylor

Extreme support for uncovered interest parity pp. 211-228

Ronald Huisman, Kees Koedijk, Clemens Kool and Francois Nissen

Volume 16, issue 6, 1997

What are the global sources of rational variation in international equity returns? pp. 821-836

Yin-Wong Cheung, Jia He and Lilian K. Ng

Saving-investment dynamics and capital mobility in the US and Japan pp. 837-863

Ramon Moreno

Burgernomics: the economics of the Big Mac standard pp. 865-878

Li Lian Ong

Papers in honor of Patrick C. McMahon pp. 879-883

Richard Baillie, Eric Girardin, James Lothian and James W. McFarland

Forward exchange market unbiasedness: the case of the Australian dollar since 1984 pp. 885-907

Peter Phillips and James W. McFarland

Why do central banks intervene? pp. 909-919

Richard Baillie and William P. Osterberg

Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes pp. 921-930

Charles Goodhart, Yuanchen Chang and Richard Payne

Estimating the credibility of an exchange rate target zone pp. 931-944

Eric Girardin and Velayoudom Marimoutou

Real exchange rate behavior pp. 945-954

James Lothian and Mark Taylor

Money and economic activity revisited pp. 955-968

Mark S. Davis and J. Ernest Tanner

The accuracy of OECD forecasts of the international economy: balance of payments pp. 969-987

J. C. K. Ash, D. J. Smyth and S. M. Heravi

The 'laissez faire' bias of managed floating pp. 989-1000

Marcus Miller and Laura Papi

Volume 16, issue 5, 1997

Consumption-based versus production-based models of international equity markets pp. 653-680

Kenneth Kasa

International integration of capital markets and the cross-country divergence of per capita consumption pp. 681-697

Paul Evans and Georgios Karras

Macroeconomic uncertainty and the risk premium in the foreign exchange market1 pp. 699-718

Xiaoqiang Hu

On risk, rationality and the predictive ability of European short-term adjusted yield spreads pp. 737-765

Mahmoud Wahab

A multivariate cointegration analysis of interest rates in the Eurocurrency market pp. 767-778

Helge Bremnes, Øystein Gjerde and Frode Sættem

Intervention strategies and exchange rate volatility: a noise trading perspective pp. 779-793

Juann Hung

A model of the term structure of interest rates in an open economy with regime shifts1 pp. 795-819

Hans Dillen

Volume 16, issue 4, 1997

Central bank intervention and trading rule profits in foreign exchange markets pp. 513-535

Andrew C. Szakmary and Ike Mathur

Exchange rate behaviour under the EMS regime: was there any systematic change? pp. 537-560

Andrew Hughes Hallett and Myrvin L. Anthony

Stock returns and volatility in emerging financial markets pp. 561-579

Giorgio De Santis and Selahattin Imrohoroglu

European monetary union: a new approach pp. 581-594

Harris Dellas

Linkage in EMS term structures: evidence from common trend and transitory components pp. 595-607

Rik Hafer, Ali Kutan and Su Zhou

Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis pp. 609-623

Yangru Wu and Hua Zhang

Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence pp. 625-636

Gregory Koutmos

Dynamic analysis in the Viner model of mercantilism pp. 637-651

Heng-Fu Zou

Volume 16, issue 3, 1997

Equilibrium real exchange rates: closed-form theoretical solutions and some empirical evidence pp. 345-366

Ronald Balvers and Jeffrey Bergstrand

Efficiency testing revisited: a foreign exchange market with Bayesian learning pp. 367-385

Nicos Christodoulakis and Sarantis Kalyvitis

Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange pp. 387-414

Paul Kofman and Martin Martens

Can a liberalization of capital outflows increase net capital inflows? pp. 415-431

Raul M. Laban and Felipe B. Larrain

Cointegration tests of purchasing power parity: the impact of non-traded goods pp. 433-444

Marilyn Dutton and Jack Strauss

Cointegration and exchange rate dynamics pp. 445-459

David Papell

Adjustment costs and import demand behavior: evidence from Canada and the United States pp. 461-476

Robert Amano and Tony Wirjanto

Valuing political risk pp. 477-490

Ephraim Clark

On the structural stability of trade equations: the case of Japan pp. 491-512

Janet Ceglowski

Volume 16, issue 2, 1997

Currency lookback options and observation frequency: A binomial approach pp. 173-187

Terry H. F. Cheuk and Ton Vorst

Common volatility in the industrial structure of global capital markets pp. 189-209

Bala Arshanapalli, John Doukas and Larry Lang

Real exchange rates between the wars pp. 211-232

Clemens Kool and K. G. Koedijk

Accounting for real and nominal exchange rate movements in the post-Bretton Woods period pp. 233-254

Walter Enders and Bong-Soo Lee

International business cycles in theory and in practice pp. 255-283

Morten Ravn

Tests of three parity conditions: Distinguishing risk premia and systematic forecast errors pp. 285-303

Richard C. Marston

The term structure of Euro-rates: some evidence in support of the expectations hypothesis pp. 305-321

Stefan Gerlach and Frank Smets

Covariance matrix estimators and tests of market efficiency pp. 323-343

Antonio V. Ligeralde

Volume 16, issue 1, 1997

Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era pp. 1-17

Hali Edison, Joseph Gagnon and Will Melick

Multi-country evidence on the behavior of purchasing power parity under the current float pp. 19-35

James Lothian

On gradual disinflation, the real exchange rate, and the current account pp. 37-54

Jorge E Roldos

Measuring the degree of exchange market intervention in a small open economy pp. 55-79

Diana Weymark

An empirical investigation of asset pricing models using Japanese stock market data pp. 81-112

Gurdip S. Bakshi and Atsuyuki Naka

Block holding and keiretsu in Japan: the effects of capital markets liberalization measures on the stock market pp. 113-140

Bob Korkie and Masao Nakamura

Are stocks a hedge against inflation? International evidence using a long-run approach pp. 141-167

David P. Ely and Kenneth Robinson