The number of bank failures has increased dramatically over the last twenty-two years. A common notion in economics is that some banks can become "too big to fail." Is this still a true statement? What is the relationship, if any, between bank sizes and bank failures? In this thesis, the...

En este trabajo mostramos que el tiempo de originación de un préstamo es crucial para entender la política crediticia, los ciclos y los impagos de los préstamos bancarios. Con ese fin, empleamos el registro de crédito del Banco de España (CIRBE), que contiene la fecha exacta de la...

This paper proposes a low cost alternative to the large bailout packages that the International Monetary Fund (IMF) has organized to address financial crises. The IMF would act as a lender of last resort. Faced with an unsustainable debt burden, a government would declare default. It would...

ENGLISH ABSTRACT: To date, there has been significant research completed on the topic of corporate financial distress. Two pioneering researchers in the field of predicting financial distress was Beaver in 1966 and Altman in 1968. More recent research, based on companies listed on the JSE has...

This dissertation presents two essays on Markov-Switching dynamic stochastic general equilibrium models. The first essay is "Perturbation Methods for Markov-Switching Models," which is co-authored with Juan Rubio-Ramirez, Dan Waggoner, and Tao Zha. This essay develops an perturbation-based...

Extreme asset price movements appear to be more pronounced recently and havemajor consequences for an economy’s financial stability and monetary policies.This paper investigates the extreme behaviour of equity market returns andquantifies the probabilities of these losses. Taking fourteen...

Systemic risk refers to the risk of financial system breakdown due to linkagesbetween institutions. This risk cannot be assessed by looking at how individualinstitutions manage risks but instead requires a full understanding of how thesystem as a whole operates. At present, the data available to...

The 1980s and 1990s have been marked with a series of financial and banking crises all over the world. This turned the attention of economists to such questions as how a financial system should be structured in order to reduce the vulnerability of an economy to the risk of a crisis, or what...

This paper examines the surprising performance of the Argentine stock market in the midst of the country’s most recent financial crisis and the role played by ADRs in Argentine capital flight. Although Argentine investors were subject to capital controls, they were able to purchase stocks with...

The recent episodes of financial turmoil in Mexico, East Asia, Russia, Brazil, and Argentina are often dubbed financial crises. However, the severe downturns in equity markets, abrupt currency devaluations, and massive capital flight that characterize these events can still be deemed compatible...