In this paper we test for the existence of equity market contagion originating from the United States to OECD markets over the period from 01/01/1990 to 01/11/2010 characterized by several episodes of financial crises. Our empirical analysis relies on the use of an ICAPM model which has three...

Abstract. This paper focuses on the transmission of bank liquidity shocks in loan and deposit in emerging markets. First, we attempt to identify the factors that affect the credit strategy of foreign banks in emerging countries. Second, we test whether depositors do exert market discipline on...

This paper examines the factors influencing the capital adequacy ratio (CAR) of foreign banks’ subsidiaries. We use data from 340 subsidiaries of 123 multinational banks and test whether the subsidiaries’ capital ratio depends on the

This article contributes to the literature by investigating the dynamic relationship between carbone dioxide (CO2) emissions, output (GDP), energy consumption, and trade using the bounds testing approach to cointegration and the ARDL methodology for Tunisia over the period 1971-2008. The...

In this article, we show how the copula-GARCH approach can be appro- priately used to investigate the conditional dependence structure between the crude oil and natural gas markets as well as to derive implications for port- folio risk management in extreme economic conditions. Using daily price...

This article contributes to the literature by investigating the dynamic relationship between Carbone dioxide (CO2) emissions, output (GDP), energy consumption, and trade using the bounds testing approach to cointegration and the ARDL methodology for Tunisia over the period 1971-2008. The...

This paper focuses on the impact of China’s export expansion on Malaysian monthly trading with to her 12 major trading partners over the liberalization era. Structural break(s) found mostly coincides with the Asia financial crisis and China’s accession into WTO and, regime shifts are evident...

In this article, we investigate the causality links between CO2 emissions, foreign direct investment, and economic growth using dynamic simultaneous-equation panel data models for a global panel of 54 countries over the period 1990–2011. We also implement these empirical models for 3 regional...

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...

The aim of this article is to examine: how the dynamics of correlations between five emerging countries (Argentina, Chili, Hungary, Russia and Poland), two emerging regions (Latin America (LAC) and Europe (EU)) and U.S. evolved from January 2004 to September 2011. The main contribution of this...