Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposures in the subprime crisis. The evidence suggests that short sellers sold short stocks that...

This paper evaluates bank exit regimes in selected financial centres using econometric methods. The focus is on bank exit regimes applicable to commercial banks in New York, London, Frankfurt, Helsinki and Tokyo in 1998–2002. Bank exit regimes are studied from the perspective of bank creditors...

In this paper a game theoretic duopoly model is developed to analyse the development of an interbank payment system. There are two competing banks in the model, and payment services offered to the public are among their main products. The customer of the larger bank uses mainly intrabank payment...

This publication consists of ten separate studies on payment and settlement systems employing simulation techniques. Most of these were carried out using the payment and settlement system simulator BoF-PSS2 provided by the Bank of Finland. The preliminary versions were presented at the annual...

This publication consists of nine separate studies on payment and settlement systems conducted using simulation techniques. Most have been carried out using the payment and settlement system simulator BoF-PSS2 provided by the Bank of Finland. The preliminary versions were presented at the annual...

Recent cross-country comparisons of bank efficiency have been based on pooled estimates of banks across countries and have typically assumed a common frontier and that differences in performance among banks are primarily due to disparities in certain country-specific aspects of banking...

We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the...

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross-autocorrelations...

This paper studies the impact of uncertainty on the investors' reactions to news on macroeconomic statistics. With daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market react significantly stronger to US macroeconomic news in...

We investigate the relationship between the daily average interbank overnight borrowing rate (AOR) and the credit default swap price (CDS) of 60 banks using the Eurosystem’s proprietary data from mid-2008 to mid-2013. We find that the AOR which is observable only by the competent Eurosystem...