Journal of International Money and Finance

1982 - 2024

Current editor(s): J. R. Lothian

From Elsevier
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Volume 12, issue 6, 1993

The response of exchange rates to permanent and transitory shocks under floating exchange rates pp. 563-586

Martin Evans and James Lothian

Structural change and the macroeconomic effects of oil shocks: empirical evidence from the United States and Japan pp. 587-606

Michael Hutchison

A taxonomy of automated trade execution systems pp. 607-631

Ian Domowitz

Debt relief schemes and welfare pp. 632-643

Aasim M. Husain

The accuracy of reports of foreign exchange intervention pp. 644-653

Michael Klein

Parameter instability in aggregate US import demand functions pp. 654-667

Joachim Zietz and Donald K. Pemberton

Volume 12, issue 5, 1993

The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach pp. 451-474

Richard M. Levich and Lee Thomas

A jump diffusion model for the European monetary system pp. 475-492

Clifford A. Ball and Antonio Roma

Optimal hedged portfolios: the case of jump-diffusion risks pp. 493-510

Keehwan Park, Chang Mo Ahn and Roger Fujihara

Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange pp. 511-521

Richard Baillie, Tim Bollerslev and Michael R. Redfearn

Determinants of Japanese direct investment in US manufacturing industries pp. 523-541

Catherine Mann

The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks pp. 543-560

Paul A. Laux and Lilian K. Ng

Volume 12, issue 4, 1993

Foreign debt accumulation: financial and fiscal effects and monetary policy reactions in developing countries pp. 347-367

Maxwell J. Fry

Central Bank Forex internvention assessed in continous time pp. 368-389

Charles A. E. Goodhart and Thomas Hesse

An international CAPM for bonds and equities pp. 390-412

S. H. Thoms

A geographical model for the daily and weekly seasonal volatility in the foreign exchange market pp. 413-438

Michel Dacorogna, Ulrich A. Muller, Robert J. Nagler, Richard Olsen and Olivier V. Pictet

Long-term covered interest parity: evidence from currency swaps pp. 439-448

Helen Popper

Volume 12, issue 3, 1993

Optimal monetary policies and policy interdependence in the world economy pp. 227-248

Kent P. Kimbrough

Financial liberalization and adjustment: The cases of Chile and New Zealand pp. 249-277

Paul McNelis and Klaus Schmidt-Hebbel

The impact of terms of trade shocks on a small open economy: A stochastic analysis pp. 278-297

Stephen J Turnovsky

The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model pp. 298-318

Kenneth F. Kroner and William Lastrapes

The role of a fixed exchange rate system when central bankers are independent pp. 319-331

Daniel Laskar

Precautionary saving and the Laursen-Metzler effect pp. 332-343

Alvaro Rodriguez

Volume 12, issue 2, 1993

On biases in the measurement of foreign exchange risk premiums pp. 115-138

Geert Bekaert and Robert Hodrick

Liquidity, capital controls, and exchange rates pp. 139-153

Vittorio Grilli and Nouriel Roubini

The Ricardian equivalence proposition: evidence from foreign exchange markets pp. 154-169

Stacie Beck

Dual exchange rates under pegged interest rate and balance-of-payments crisis pp. 170-181

Bernard Delbecque

Exchange rate risk premiums pp. 182-194

Yin-Wong Cheng

Non-linearities in foreign exchange markets: a different perspective pp. 195-208

Horst Krager and Peter Kugler

Dollarization and inflation in a two-country optimization model pp. 209-220

Heng-Fu Zou

Volume 12, issue 1, 1993

Pricing exports: a cross-country study pp. 3-28

Wansing Hung, Yoonbai Kim and Kenichi Ohno

Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA pp. 29-45

Gordon Bodnar and William Gentry

Cointegration tests of purchasing power parity: the case of Swiss exchange rates pp. 46-61

Michael Pippenger

Real interest rate parity new measures and tests pp. 62-77

Marilyn Miller Dutton

Further evidence on exchange rate expectations pp. 78-98

Stefano Cavaglia, Willem Verschoor and Christian Wolff

International listings and risk pp. 99-110

John S. Howe, Jeff Madura and Alan L. Tucker

Volume 11, issue 6, 1992

Optimal seigniorage and financial liberalization pp. 518-538

Philippe Bacchetta and Ramon Caminal

Nominal exchange rates and unit roots: a reconsideration pp. 539-551

Joseph Whitt

The simple dynamics of a debt crisis pp. 552-566

Enrica Detragiache

Government finance in a common currency area pp. 567-578

Anne Sibert

Exchange risk, exposure, and the option to trade pp. 579-593

Piet Secu

Limited capital markets and the real effects of monetary stabilization policies under alternative exchange rate regimes pp. 594-613

Liliana Rojas-Suarez

Volume 11, issue 5, 1992

Testing a present-value model of the current account: Evidence from US and Canadian time series pp. 414-430

Glenn Otto

Optimal currency hedge ratios and interest rate risk pp. 431-445

Eric Briys and Bruno Solnik

Currency swaps, hedging, and the exchange of collateral pp. 446-461

Arie Melnik and Steven Plaut

Differences between foreign exchange rate regimes: The view from the tails pp. 462-473

Kees G. Koedijk, Philip Stork and Casper de Vries

Pricing European average rate currency options pp. 474-491

Edmond Levy

Trade deficit surprises and the ex ante volatility of foreign exchange rates pp. 492-501

Jeff Madura and Alan L. Tucker

Purchasing power parity and cointegration: The Greek evidence from the 1920s pp. 502-513

Kate Phylaktis

Volume 11, issue 4, 1992

Cointegration and market efficiency pp. 318-327

Gerald Dwyer and Myles S. Wallace

Price volatility and margin requirements in foreign exchange futures markets pp. 328-339

Lawrence G. Goldberg and George Hachey

International interest rate linkages and the exchange rate regime pp. 340-365

David Johnson

Rationality of survey data and tests for market efficiency in the foreign exchange markets pp. 366-381

Peter C. Liu and G. S. Maddala

Exchange rate and price dynamics under adaptive and rational expectations: An empirical analysis pp. 382-396

David Papell

Price and monetary convergence in currency unions: The franc and rand zones pp. 397-410

Patrick Honohan

Volume 11, issue 3, 1992

The international allocation of savings with quadratic transaction (or risk) costs pp. 222-234

Jurg Niehans

A nonlinear stochastic rational expectations model of exchange rates pp. 235-250

David A. Hsieh

The structure of international banking pp. 251-272

Robert L. Heinkel and Maurice Levi

Oil prices and rural migration: the Dutch disease goes south pp. 273-291

Andrew Feltenstein

Policy fundamentals, interest rates differential, and expected devaluation in the presence of an active crawling peg system pp. 292-303

Graciana del Castillo

The use of technical analysis in the foreign exchange market pp. 304-314

Mark Taylor and Helen Allen

Volume 11, issue 2, 1992

Deviations from purchasing power parity and capital flows pp. 126-144

Raman Uppal

Monetary policy, exchange rates, and investment in a Keynesian economy pp. 145-161

Michael Gavin

The impact of US economic variables on Bank of Canada policy: direct and indirect responses pp. 162-187

Richard Burdekin and Paul Burkett

Convertibility risk and dollarization in Mexico: a vectorautoregressive analysis pp. 188-207

John Rogers

The effect of political risk on the forward exchange bias: the case of elections pp. 208-219

Daniel Bachman

Volume 11, issue 1, 1992

Editorial pp. 2-2

James Lothian and Michael T. Melvin

Realistic cross-country consumption correlations in a two-country, equilibrium, business cycle model pp. 3-16

Michael Devereux, Allan Gregory and Gregor Smith

Term premiums and the integration of the eurocurrency markets pp. 17-39

Philippe Jorion

Interactions between domestic and foreign investment pp. 40-62

Guy V. G. Stevens and Robert Lipsey

An empirical evaluation of the macroeconomic effects of tarrifs pp. 63-79

Jonathan Ostry and Andrew Rose

Can equilibrium models explain nominal exchange regime non-neutrality? Evidence from the European monetary system pp. 96-106

David Papell

Cointegration tests of a long-run relation between money demand and the effective exchange rate pp. 107-114

Robert McNown and Myles S. Wallace

International risk sharing and capital mobility: another look pp. 115-121

Maurice Obstfeld

International risk sharing and capital mobility: reply pp. 122-123

Michael Brennan and B. Solnik