This paper analyses the network structure of the credit default swap (CDS) market and its determinants, using a unique dataset of bilateral notional exposures on 642 financial and sovereign reference entities. We find that the CDS network is centred around 14 major dealers, exhibits a “small...

We present a short selective review of causal inference from observational data, with a particular emphasis on the high-dimensional scenario where the number of measured variables may be much larger than sample size. Despite major identifiability problems, making causal inference from...

We present a short selective review of causal inference from observational data, with a particular emphasis on the high-dimensional scenario where the number of measured variables may be much larger than sample size. Despite major identifiability problems, making causal inference from...

This study employs a new version of the Solow Growth Model in order to investigate the higher education-led growth (HELG) hypothesis in the case of North Cyprus. Results reveal that a long-run equilibrium relationship exists between real income growth of North Cyprus and its determinants, namely...

Swap spreads – the spreads between the fixed rate of IRS and the yield of treasury bonds with the same maturity are very useful measure of liquidity and credit premium in the interbank market. Furthermore, they do not have the main flaw of LIBOR-OIS spread, which is that. very seldom...

This paper investigates macro-financial linkages in Egypt using two complementary methods, assessing the interaction between different macroeconomic aggregates and loan portfolio quality in a multivariate framework as well as through a panel vector autoregressive method that controls for...

Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-style model of deposit insurance. Analysis shows that internal model-based capital...

The paper evaluates how increases in banks’ and nonfinancial corporates’ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way...

We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we...