0000000001031209
AUTHOR
Begoña Font
Exchange Rate and Inflation Risk Premia in the UME
This paper tests the effects of exchange rate and inflation risk factors on asset pricing in the European Union (EU) stock markets. This investigation is motivated by the results of Vassalou (2000) [Journal of International Money and Finance, 19, 433-70] showing that both exchange rate and foreign inflation are generally priced in equity returns, and the opportunity to evaluate the causality between these sources of risk after the elimination of the EU currency risks because of the adoption of the single currency. Our results show that both exchange rate and inflation risks are significantly priced in the pre- and post-euro periods. Moreover, the size of exchange rate and inflation risk pre…
Bayesian Hierarchical Models for Random Routes in Finite Populations
In many practical situations involving sampling from finite populations, it is not possible (or it is prohibitely expensive) to access, or to even produce, a listing of all of the units in the population. In these situations, inferences can not be based on random samples from the population. Random routes are widely used procedures to collect data in absence of well defined sampling frames, and they usually have either been improperly analyzed as random samples, or entirely ignored as useless. We present here a Bayesian analysis of random routes that incorporates the information provided but carefully takes into account the non- randomness in the selection of the units.