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Social and Behavioral Sciences Commons™
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Full-Text Articles in Social and Behavioral Sciences
Us-Swiss Term Structures And Exchange Rate Dynamics, A. Can Inci
Us-Swiss Term Structures And Exchange Rate Dynamics, A. Can Inci
Finance Department Faculty Journal Articles
In this study, a multi-country nonlinear model is constructed to simultaneously estimate the exchange rate dynamics and the term structure of interest rates in the US and in Switzerland. The model has better empirical performance compared to the earlier well-known affine international models. Risk premiums of bond yields vary between the two countries. The estimated state variables exhibit local characteristics. These conclusions imply the potential advantages of international diversification and demonstrate the Home Bias phenomenon. Exchange rate dynamics estimated by the models account for the Forward Premium Anomaly. Introduction of jump diffusions provides marginal improvement.
Impact Of Country Financial Development On The Firm: International Evidence, A. Can Inci
Impact Of Country Financial Development On The Firm: International Evidence, A. Can Inci
Finance Department Faculty Journal Articles
The impact of financial development of a country on the earnings, capital spending, and stock returns of the firms of that country is the subject of this study. There are two different financial development indices which are utilized. The first is based on Love (2003), and the second is based on Khurana (2006). Using 40 different countries, the causality relationships and cumulative impacts of the lags of earnings and lags of capital spending on subsequent earnings, capital spending, and returns are examined for the financially developed countries and financially non-developed countries. Earnings and capital spending Granger-cause stock returns in financially …