This article proposes an estimation procedure for the affine stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint (here bi-variate) unconditional characteristic function for the stochastic process for which we...

This paper examines what influences Russian households’ decisions to save and borrow. We use the 2008 data from the 17th round of the Russia Longitudinal Monitoring Survey (RLMS-HSE). Our results show that the determinants of saving and borrowing are not only those suggested by economic theory...

A number of researchers have studied the effect of social networks on student academic performance, but the results are not only contradictory but also limited by the use of self-reported estimations of social network use. This paper overcomes this problem, however, as we collect unique data on...

The introduction of institutions of credit information sharing - private credit bureaus and public credit registries - in the market for bank loans represent one of the possible solutions of information asymmetry problem, - the problem which the creditors tend to face. However the possibility of...

There seems to be a consensus among regulators and scholars that in order to improve the functioning of a banking system and to stimulate bank competition, it is necessary to raise the level of bank information transparency. However, empirical studies which examine the determinants of...

The introduction of institutions of credit information sharing – private credit bureaus and public credit registries – in the market for bank loans represents a possible solution of the information asymmetry problem which most creditors face. However, the possibility of information sharing...

This article estimates stochastic volatility jump-diffusion processes using the continuous empirical characteristic function method based on the Joint characteristic function and the Marginal characteristic function. The emphasis is on the specification of jumps in the asset log-price. Out of...

Market discipline is usually studied in the retail or the corporate deposit markets, while the interbank loan market is disregarded. Banks' abilities to exert market discipline are taken for granted, as they are expected to have the expertise to assess correctly the riskiness of other banks....

This paper investigates how combining positions between the board of directors and top-management affects bank profitability. We use 2010 bank-level data from 112 countries. Our results suggest that combining positions reduces both ROE and ROA of banks. However, for banks in developing...

This paper examines the strategies of Russian households for choosing either the formal or informal banking sector as a source of credit. We aim to learn why households refuse to become clients of a bank and prefer to instead raise funds by borrowing from individuals – friends, colleagues,...