Dynamic Models and their Applications in Emerging Markets

1. Front Matter

   Pages i-xi

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2. Introduction

   • Sima Motamen-Samadian

   Pages 1-4

3. Continuous Time Dynamic Modelling of Interest Rates in Emerging Markets

   • Khalid B. Nowman, Kadom J. A. Shubber

   Pages 5-12

4. Excess Credit Risk and Banks’ Default Risk: An Application of Default Prediction Models to Banks in Emerging Market Economies

   • Christophe J. Godlewski

   Pages 13-40

5. Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets

   • Alfonso Mendoza V.

   Pages 41-68

6. Econometric Modelling of the Euro Using Two-Factor Continuous Time Dynamic Interest Rate Models

   • Khalid B. Nowman, Harry Thapar

   Pages 69-76

7. Inflation Targeting in Emerging Economies: A Comparative Sacrifice Ratio Analysis

   • Rebeca I. Muñoz Torres

   Pages 77-108

8. External Debt Dynamics and Growth: A Neo-Keynesian Perspective

   • Edgardo Jovero

   Pages 109-131

9. Back Matter

   Pages 133-139

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This book is a collection of six studies on behaviour of financial and economic variables in emerging and Euro markets. It includes the latest empirical studies on 32 emerging economies. The studies cover examination of the behaviour of interest rates, banks' credit and default risks, sovereign bond markets, effectiveness of inflation targeting, and dynamics of external debt and growth. There is currently no single book that addresses all these issues. This is a valuable book for all those who are working on emerging markets.

• econometrics
• growth
• Inflation
• interest rates
• Keynes
• banking

• Westminster Business School, University of Westminster, UK

  Sima Motamen-Samadian

CHRISTOPHE GODLEWSKI Research Fellow in Management and Finance, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université Robert Schuman (Strasbourg III), France EDGARDO JOVERO Professor of Economics, Universidad Complutense de Madrid, Spain ALFONSO MENDOZA Professor of Economics and Finance, Escuela de Economía, Universidad de Guanajuato, Mexico REBECA MUÑOZ TORRES Researcher, Department of Economics, University of Leicester, UK BEN NOWMAN Director of Finance and Financial Services Research Cluster, and Principal Lecturer, Westminster Business School, University of Westminster, UK KADOM SHUBBER Senior Lecturer in Finance, Westminster Business School, University of Westminster, UK HARRY THAPAR Senior Lecturer in Finance, Westminster Business School, University of Westminster, UK

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