Dynamic Models and their Applications in Emerging Markets

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

List of Figures and Tables Preface Acknowledgements Notes on the Contributors Introduction; S.Motamen-Samadian Continuous Time Dynamic Modelling of Interest Rates in Emerging Markets; B.Nowman & K.Shubber Excess Credit Risk and Banks' Default Risk: An Application of Default Predictions Models to Banks from Emerging Market Economies; C.Godlewski Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets; A.Mendoza Econometric Modelling of the Euro Using Two Factor Continuous Time Dynamic Interest Rate Models; B.Nowman & H.Thapar Inflation Targeting in Emerging Economies: A Comparative Sacrifice Ratio Analysis; R.Muñoz Torres External Debt Dynamics and Growth: A Neo Keynesian Perspective; E.Jovero