This paper aims to study the extent of integration among developed and emerg- ing stock markets in the onset of globalization through the formulation of a uni…ed conceptual framework that synthesizes the stock valuation model and the convergence hypothesis. Market integration manifests in the...

In this paper, the influence of information costs on the integration of Northern European financial markets between ca. 1350 and 1560 is explored. The approach is based on splitting information costs into their constitutive components and on measuring one of these, i.e. the costs of transmitting...

In this paper, the capital market relations between the Euro area and the USA are subject to investigation. Formally based on the uncovered interest rate parity (UIP), first a longrun equilibrium between Euro and US government bond yields is established in backward recursively estimated vector...

By any measure, the European Monetary Union and the European Union are in a deep hole. In the summer of 2011 we came uncomfortably close to an uncontrolled sovereign default of an EU country, a member of the European Monetary Union, hardly ten years after the common currency project was...

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to \realized" measures which, in practice, respond more quickly to crisis occurrences than those...

The breakdown of short-term funding markets was a key feature of the global financial crisis of 2007/8. Combining insights from the literature on global games and network growth, we develop a simple model that sheds light on how network topology interacts with the funding structure of financial...

We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents – domestic...

This paper employs a Markov regime-switching approach to investigate whether the Great Moderation is over since the start of the late 2000s recession. The results conrm that the recent nancial crisis did cause a simultaneous high-volatility period among the G7 countries. However, the nancial...

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define...

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...