As a response to multiple financial shocks, international standards have disappointed. Consensus-seeking has stifled innovation, perpetuating outdated regulatory concepts at a time of rapid market change. Different forces are at work now. Markets are complex and idiosyncratic; they may not be...

This paper examines the contagion of the eurozone debt crisis to developed and emerging stock markets around the world. Using the VAR methodology, and changes in sovereign bond yields and stock returns of the crisis countries as proxies for the eurozone debt crisis, this paper finds strong and...

This study establishes time-frequency networks of sovereign and bank contagion in the eurozone over the period 2009-2021. By applying discrete wavelet transformation, daily CDS premia of sovereigns and banks are decomposed into multi-horizon components to specify directed and dependence-weighted...

Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the determinants of the observed pattern of credit risk...

We examine the lending behaviour of small and large banks in the Eurozone during the sovereign debt crisis. Relative to large banks, small banks are less pro-cyclical in that they exhibit more stable lending growth across credit expansion and contraction periods. In peripheral countries, the...

This study applies the asymmetric dynamic conditional correlation (A-DCC) model in order to investigate the correlation dynamics among the Greek market and Eurozone during the recent debt crisis. Moreover, research employs copula functions in order to measure the correlation among Greek and...

The key dynamics of the transatlantic banking crisis are analyzed – with emphasis on the fact that the banking disaster of 2007/08 was not really a surprise –, and the five key requirements for restoring stability and efficiency in the EU/OECD banking sector are highlighted. Most important,...

This paper argues that the loose monetary policy of two of the world’s most important financial institutions-the US Federal Reserve Board and the European Central Bank-were ultimately responsible for the outburst of global financial crisis of 2008 - 09. Unusually low interest rates in 2001 -...

The 2008 global financial crisis highlights the importance of securitization and crash risk. Yet there is a dearth of papers exploring the link between securitization and crash risk. We analyze 7,096 securitization deals made by large European listed banks between 2000 and 2017. Our paper...

We investigate the relationship of the market pricing of sovereign risk to default, through CDS spreads for 16 Eurozone countries during 2008q1-2013q3. We take into account, through appropriate non-linear GMM estimations the endogeneity problem. We focus on “fiscal space” (DEBT or FISCAL),...