We analyse the determinants of house prices in the primary and secondary market of 17 largest cities in Poland during the 2002-2013 period. We find that prices are driven by economic fundamentals, such as income growth or rise in employment. Prices in the secondary market react to increases in...

The impact of strong emotions or mood on decision making and risk taking is well recognized in behavioral economics and finance. Yet, and in spite of the immense interest, no study, so far, has provided any comprehensive evidence on the impact of weather conditions. This paper provides the...

The contribution of this paper to the literature is three-fold: (1) it empirically uncovers the directionality and persistence of systemic risk surrounding "the great recession"; (2) it quantifies the reaction of the macro-economy to financial (banking) system shocks; and (3) it unearths...

The analytical framework of this paper makes use of a hexa-variate panel vector autoregressive (PVAR) approach on balanced annual panel data from 30 sampled import-dependent developing economies for the period, 1970-2006. The variables included in the empirical PVAR model are inflation, capital...

By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) between banks, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of banks, (ii) distress between specific banks, and (iii) distress to a portfolio related...

In the panel conditionally homogenous vectorautoregressive model, the cross-sectional units' dynamics are generally heterogenous, but homogenous if units share the same structural characteristics. The panel conditionally homogenous vectorautoregressive model thus allows (i) to account for...

This study analyses the role of fundamentals and financial factors in determining firm investment in India with imperfect capital market in a panel VAR framework. Previous research in this area is based on the test of significance (or some variant of this) of the cash flow variable in the...

This research paper has attempted to analyze the nature of the leverage exerted by the inflation targeting (IT) policy on the pass-through effect in emerging countries. In other words, we tried to answer to the question of whether a climate of low inflation in these countries through the...

This paper explores the relation between stock prices and the current account for 17 OECD countries in 1980-2007. I use a panel vector autoregression (VAR) to compare the effects of stock price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have...