This paper analyses the distribution of seigniorage in an enlarged European Monetary Union (EMU) when the new EU member countries from Central and Eastern Europe adopt the euro. In principle each country of a monetary union contributes to seigniorage in proportion to the country’s demand for base money. However, the actual distribution of seigniorage by the European Central Bank is made in acco...

Capital controls can induce large and persistent deviations from the Law of One Price for cross-listed stocks in international capital markets. A considerable literature has explored firm-specific factors which influence ADR pricing when LOP is violated. In this paper, we examine the interlinkages between Indian ADR premiums and macroeconomic time-series. We construct an ADR premium index, wher...

Insolvencies of life insurers in Europe have been virtually nonexistent. The deregulation of European markets, however, is likely to dramatically alter that situation. The goal of this study is two-fold: first, to identify significant variables in the early detection of financially distressed life insurers; and second, to consider the importance of these variables to the evaluation of life insu...

Recent literature argues that stock market liberalisation has positive longand short-run effects on macroeconomic growth and private investment, respectively. However, given a sample of up to 64 countries from 1981 through 1998, positive results for long-run growth are largely dependent on the inclusion of higher-income countries in regression samples, which limits the relevance for lower-incom...

We examine the effect of financial integration on capital stocks and income per capita, explicitly taking into account the division of output between tradable and non-tradable goods. Capital per worker in a financially integrated country is shown to depend on the size and relative capital-intensity of the tradable sector. Using a panel of 67 countries over the period 1976-1999, we show a weakly...

Article history: Received 25 April 2012 Received in revised form 13 August 2013 Accepted 14 August 2013 Available online 27 August 2013 While paying careful attention to the stochastic properties of income process, this paper tests the joint rational expectation and permanent income hypothesis (RE/PIH) to clarify how and to what degree financial integration delinks national income and consumpti...

This paper examines the effect of foreign direct investment (FDI) on growth by focusing on the complementarities between FDI inflows and financial markets. In our earlier work, we find that FDI is beneficial for growth only if the host country has well-developed financial institutions. In this paper, we investigate whether this effect operates through factor accumulation and/or improvements in ...

This paper provides a set of empirical tests of the cross-sectional variation of stock volatility and investablility, where investability is defined as the degree to which a stock is accessible to foreigners. Unlike previous studies, which focus on market volatility and market return, we study the relationship between individual stock return volatility and its investablility. Our findings have ...

A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modi…ed to allow for the estimation of models for time-varying volatility in the individual series. Unlike standard moment-based tests, the score-based test statistic includes...