We construct a panel of global equity yields by modifying the model of Giglio et al. (2021) so it works internationally. We revisit stylized facts about equity yields, primarily based on US data, and provide several new results. On old facts, we study the dynamics of global equity yields, their...

This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both for international financing as well as for international...

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...

This paper exploits a novel bank-level monthly dataset to assess the effects of global liquidity on the global flows of euro area banks. The period associated with the European sovereign debt crisis has witnessed increased growth in euro area bank claims on extra-euro area residents, against a...

In this paper we analyse a chronicle of economic theory on international financial integration post-WWII to the present date. Our focus is on theories that have somehow quantify the state and speed of international financial integration. We are able to contrast and compare three distinct strands...

The first Asia-Europe Meeting (ASEM) Summit in 1996 has provided the principal multilateral platform for interregional cooperation between the European and Asian countries. This book examines the equity market integration among 49 ASEM members both in EU and Asia, and to investigate whether such...

The global financial and the European debt crises categorized as Minsky's moments present the physical laboratory for studying contagion cross country and cross market. Our research based on the twin sovereign-banking crisis evolution of the euro debt crisis era, focuses on addressing the...

The financial crisis that erupted in 2007 highlighted how important trust is for the global system and how fragile it can be. The 2016 Bangladesh central bank cyber incident exposed a new threat to financial stability and the unprecedented scale of the risk that malicious cyber actors pose to...

This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...

This paper criticises the standard methodology used to measure the importance of different channels of risk sharing in federal states such as the one used in Asdrubali et al.'s (1996) seminal contribution. It argues that the methodology chosen in these papers systematically underestimates the...