In this paper we highlight the salient features of Covered Bonds in relation to MBS, and argue for their introduction to the US market accompanied with the appropriate legislative structure and oversight. The Covered Bond market has the potential of adding significant measure of stability to the...

The purpose of this study is to focus on two leading industrialized nations - the U.S. and Germany - analyze the differences in the recent trends in their respective banking sectors and see if indeed the banking industries in these two leading economies are gravitating towards a homogeneous...

The purpose of this study is to focus on two leading industrialized nations - the U.S. and Germany - analyze the differences in the recent trends in their respective banking sectors and see if indeed the banking industries in these two leading economies are gravitating towards a homogeneous...

This paper develops an empirical cost of carry model for pricing crude oil futures by introducing an exogenously conditioned convenience yield as well as stochastic volatility. The approach is tested using monthly prices of all light crude oil futures contracts traded on the New York Mercantile...

We investigate the relationship between volatility and volume in five energy commodity futures contracts traded at the NYMEX for the period 1992 to 2006. We find that conditional volatility shows a high response to large information shocks and exhibits a great sensitivity to total expected and...

This paper provides empirical evidence on the finance-growth nexus with the key contributions being our focus on previously unexplored Emerging Markets and Developing Economies (EMDEs) and using mixed frequencies. Using Fixed Effects and MIDAS panel regressions for 50 countries (1990-2019), we...

This paper provides systematic empirical evidence on the finance-growth nexus literature with the key contributions being our focus on previously unexplored Emerging Markets and Developing Economies (EMDEs) and using mixed frequencies. Using Fixed Effects and MIDAS panel regressions for 50...

We jointly re-specify the relative purchasing power parity (RPPP) and uncovered interest rate parity (UIP) conditions as the (log) ratio of stochastic discount factors by inverting the market price of risk formula. Our empirical model provides new insights, which show that violations to UIP and...

The classical practice in exchange rate model estimation is to use bilateral differentials of macro fundamentals. Empirically, capitals may not place equal importance on the economic fundamentals among all countries. Therefore, allowing each country’s variable to enter the model independently...

In this article we investigate the statistical properties of wholesale electricity spot and futures prices traded on the New York Mercantile Exchange for delivery at the California–Oregon Border. Using daily data for the years 1998 and 1999, we find that many of the characteristics of the...