In this paper, we analyze the long-run behavior and short-run dynamics of stock markets across some selected developed and emerging economies - namely the United States, the Euro Area, Japan, the United Kingdom, Australia, South Korea, Thailand and Brazil - in the Cointegrated...

In this paper we employ a time series econometric framework to explore the structural determinants of the spread between the euro overnight rate and the ECB's policy rate (EONIA spread) aiming to explain the widening of the EONIA spread in the period from mid-2004 to mid-2006. We mainly estimate...

This paper estimates shadow price of equity for U.S. commercial banks over 2001--2018 using non-parametric estimators of the underlying cost frontier and tests the existence of “Too-Big-to-Fail” (TBTF) banks. Evidence on the existence of TBTF banks is found. Specifically, I find that a...