Vol. 4, n.º 3 - December 2005

Daniele Antonucci and Alessandro Girardi Currency Shocks and Dynamics of Trade Flows in the Euro Area Evangelia Kasimati and Peter Dawson Initial and Aftermarket Performance of IPO Stocks: Evidence From Greece Kari Heimonen Exchange Rate Dynamics between the EU and the US: Evidence from the monetary model Gloria M. Soto, Román Ferrer and Cristóbal González Determinants of Interest Rate Exposure of Spanish Nonfinancial Firms

	Article:	Currency Shocks and Dynamics of Trade Flows   in the Euro Area
	Author:	Daniele Antonucci a and Alessandro Girardi b a Centro Studi Confindustria – Confederation of Italian Industries, Research Department, Rome (Italy), phone: +39-06-5903256. b Corresponding author: University of Rome “Tor Vergata”, Department of Economics and Institutions, and Institute for Economic Studies and Analyses, Rome (Italy), phone: +39-06-44482388.
	Abstract:	This work examines euro-area’s trade flows over the last two decades, taking jointly into account their long-run determinants and short-run dynamics. This framework builds on a reinterpretation of the long-run structural vector autoregressive approach, drawing from both economic theory and econometric analysis. Generalized impulse response functions are employed to assess the effects of a real exchange rate shock on the trade balance, using different model specifications and frequencies of data. The main findings are: i) euro-area’s trade flows are determined in the long-run by non-price competitiveness factors; ii) short-run adjustments follow an S-pattern; iii) a real devaluation produces detrimental effects on the trade balance. Key words: Euro area, trade balance, real exchange rate, long-run structural VAR approach, Subset VECM. JEL Classification Numbers: C32, C52, F32, F41.

	Article:	Initial and Aftermarket Performance of IPO Stocks:   Evidence From Greece
	Author:	Evangelia Kasimati a and Peter Dawson b a Corresponding author. Department of Economics and International Development, University of Bath, Claverton Down, Bath BA2 7AY, UK. Tel: +44-(0)-1225 384864, Fax: +44-(0)-1225 383423. b Department of Economics and International Development, University of Bath, Claverton Down, Bath BA2 7AY.
	Abstract:	The pricing of Initial Public Offerings (IPOs) in the short-run and long-run has been examined by numerous theoretical and empirical studies referring to the main international stock markets. In Europe, the specific topic has gained increasing prominence in the last few years partly as a result of increasing number of companies gaining a stock market listing (i.e. ‘going public’). This short paper extends the European literature on IPOs by examining the case of the Athens Stock Exchange (ASE). In particular, the study is conducted on the ASE Main and Parallel Markets between January 1999 and April 2004. All 144 IPOs are examined to determine both the short-run and long-run stock performance after going public. The results provide evidence consistent with the existing literature that report short-term excess returns associated with IPOs. Specifically, our study shows that Greek IPOs are on average underpriced by 25.4%. In contrast to the results from other markets, however, we find no evidence of long-run IPOs underperformance in the ASE. Key words: Initial public offerings, short-run stock performance, long-run stock performance, Greek stock market. JEL Classification: G24, G32, G14.

	Article:	Exchange Rate Dynamics between the EU and the US:   Evidence from the monetary model
	Author:	Kari Heimonen a a University of Jyväskylä School of Business and Economics P.O. Box 35. FIN-50351 JYVÄSKYLÄ. FINLAND,.Tel: +358-14-2602973, Fax: +358-14-2603331
	Abstract:	This study examines exchange rate determination between the US and the EU. It applies a monetary model of exchange rate determination augmented with possible short run effects of central banks’ targets. Our results can be summarised as follows. First, rather than changes in the exchange rate it was changes in relative output which adjusted economies towards their long-run equilibrium. Second, short-term interest rates and inflation expectations were not related to the long-run economic equilibrium between the EU and the US. However, they turned out to be significant in driving the dynamics of the whole system. Key words: exchange rate, monetary model, weak exogeneity. JEL Classification: F4, F41, F42.

	Article:	Determinants of Interest Rate Exposure of   Spanish Nonfinancial Firms.
	Author:	Gloria M. Soto a, Román Ferrer b and Cristóbal González b a Dpto. de Economía Aplicada, Universidad de Murcia, Campus de Espinardo, Murcia 30100, Spain. Phone: +34 968 363 742; Fax: +34 968 363 745. b Dpto. de Economía Financiera, Universidad de Valencia, Facultad de Economía, Avda. Tarongers, S/N, Valencia 46071, Spain. Phone: +34 96 382 8399; e-mails: ;
	Abstract:	This paper investigates the main determinants of interest rate exposure of a large sample of Spanish nonfinancial firms over the period 1993-2001. We focus on a set of readily observable firm characteristics as potential factors that can explain the interest rate sensitivity of the value of companies. The results show that the firm liquidity and, to a lesser extent, the long-term financial leverage, empirically determine the level of interest rate exposure of nonfinancial companies. In particular, the estimated exposure is negatively related to the ability of firms to generate cash flows and positively related to their long-term financial leverage. In contrast, neither the dividend policy nor the firm size are shown to have a significant influence on interest rate risk. Key words: interest rate risk, equity duration, nonfinancial firms. JEL Classification: G10, G30