Suchergebnisse

The City of London plays a central role in the internationalisation of bank capital. This internationalisation is based on a specialist type of banking called euro-banking which has focussed on lending to Multinational Corporations and Sovreign States, and which has enhanced the integration of the Newly Industrialising Countries and oil exporting countries with the Advanced economies. Different degrees of state regulation between countries has been important in the evolution of Euro-Banking and is likely to remain so for the future internationalisation of bank capital.

In this paper we explore the dynamics of US dollar excess foreign exchange returns for the G10 currencies and the Swiss franc, 1976–97. The non‐linear framework adopted is justified by the results of linearity tests and a parametric bootstrap likelihood ratio statistic which indicate threshold effects or differential adjustment to small and large excess returns. Impulse response analysis suggests that the effect of small shocks to excess returns inside the no‐arbitrage band exhibits most persistence. Large shocks outside the band decay most rapidly and also exhibit overshooting. These phenomena are explained in terms of noise trading strategies and transaction costs.

The short‐run dynamics of German mark and US dollar real exchange rates are investigated for a panel of 19 OECD economies in a vector error correction framework for the 1973‐96 period. The novel persistence profiles approach of Pesaran and Shin ('Cointegration and Speed of Convergence to Equilibrium', Journal of Econometrics, Vol. 71, (1996), pp. 117–143) indicates that the effect of system‐wide shocks declines rapidly initially but decays slowly thereafter. It yields an average of just one year for the half‐life of such shocks but some seven years before they fully dissipate. These half‐life estimates are just one‐quarter of the consensus estimates. Our results are consistent with non‐linear adjustment and with monetary factors being the main source of real exchange rate volatility.

A country's intertemporal budget constraint implies current account stationarity or that its saving and investment rates should cointegrate. However, such behaviour may not pertain in finite sample spans where the current account could be subject to persistent shocks. Accordingly, this paper reconsiders the Feldstein–Horioka puzzle for a panel of 12 OECD economies 1980I–2000IV using a mean group regression approach that is robust to persistent innovations and accounts for country heterogeneity and cross‐sectional dependence. The mean group estimates are notably smaller than that from the conventional cross‐section estimator and are statistically insignificant. Our findings support the view that capital is highly mobile in the long run for OECD economies despite persistence in the current account.