The Great Recession was an enormous surprise to mainstream economists, while not as much to non-mainstream economists, due to differences in views of the financial economy and its interaction with the real economy. While policy makers continue to follow mainstream economic theory, with the...

This paper investigates the forecasting performance for CDS spreads of both linear and non-linear models by analysing the iTraxx Europe index during the financial crisis period which began in mid-2007. The statistical and economic significance of the models’ forecasts are evaluated by...

The introduction of the euro was one of the most important events in the process of European integration, especially in the financial sector. However, next to its many advantages, the joint currency and single monetary policy increased the probability of property bubbles in the EU low income...

On September 17, 2008, the Securities and Exchange Commission (SEC) issued an emergency order banning the shorting of 797 financial stocks. This paper studies the impact of the short selling ban on the credit derivatives market by investigating credit default swap (CDS) prices during the period...

On September 17, 2008, the Securities and Exchange Commission (SEC) issued an emergency order banning the shorting of 797 financial stocks. This paper studies the impact of the short selling ban on the credit derivatives market by investigating credit default swap (CDS) prices during the period...

The article estimates the likely credit losses in the EU10 countries' banking sector, supposing that economic conditions were to deteriorate further, and that local currencies were depreciated. Factors that may affect the cumulative level of credit losses are discussed. The article concludes...

Millions of lives were dramatically changed by Hurricane Katrina, the worst natural disaster in U.S. history. Numerous businesses were wiped out. People lost their homes, their livelihoods, their lives. Nearly two years after Katrina, some sectors of the aff ected region have proved to be more...

Review of the book titled 'Rethinking Housing Bubbles The Role of Household and Bank Balance Sheets in Modeling Economic Cycles' by Steven D. Gjerstad and Vernon L. Smith. Published by Cambridge University Press in May 2014.

This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...

This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. For a sample including six major European economies, we find that sovereign and...