International Journal of Finance & Economics

1996 - 2010

Continued by International Journal of Finance & Economics.

Current editor(s): Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

From John Wiley & Sons, Ltd.
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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 Kouretas and Leonidas P. Zarangas

Stock return predictability and dividend-price ratio: a nonlinear approach pp. 351-365

David G. McMillan and Mark 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 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 V. 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 Savva, Kyriakos 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 Smith, Steffen Sorensen and Michael Wickens

Is prior performance priced through closed-end fund discounts? pp. 153-164

Michael Bleaney and Richard 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 Hyde and Mo 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 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 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 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 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 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

Marcello D'Amato, Barbara Pistoresi and Francesco Salsano

Measurement matters for modelling US import prices This article is a U.S. Government work and is in the public domain in the U.S.A pp. 120-138

Charles 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 Hyde, Dirk Nitzsche and Gerard O'Reilly

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 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 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 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 Gottschalk and Stephen 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 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 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 Agbeyegbe

Real exchange rates may have nonlinear trends pp. 158-173

David Cushman

New estimates of exchange rate pass-through in Japanese exports An 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 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 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 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 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 finance Supplementary 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