The aim of the paper is to show how changes in interest rate behavior, characterized in terms of stochastic orders of rate distributions, affect the banking industry. The basic feature of a banking firm is of a financial intermediary holding highly illiquid assets in the presence of liabilities...

We use a compound option-based structural credit risk model to estimate banking crisis risk for the United States based on market data on bank stocks on a daily frequency. We contribute to the literature by providing separate information on short-term, long-term and total crisis risk instead of...

We examine the determinants of Japanese foreign direct investment (FDI) focusing on institutional and social factors. Using panel data on 59 countries from 1995 to 2008, we find that host countries with free and open markets and greater cultural distance from Japan attract Japanese FDI. Good...

We present an improved approach to examine convergence of markets such as those for equity, bonds or commodities. The approach is motivated by Monte Carlo simulations and consists of two steps. First, we test for regime-shifts in the cointegration paths and cointegration with structural breaks....