This paper formulates a second generation currency crises model, which is consistent with many facts regarding the structural economies in Southeast asia. Emphasis is laid on the propagation mechanism from a financial crisis to a currency crisis. Micro-foundation, endogenous labour supply, and...

The 2008 financial crisis has rekindled interest in the issue of early warning signals (EWS) of financial distress. It has also triggered renewed interest in the literature on currency crises, with many countries, especially among emerging market economies, experiencing severe exchange market...

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty, the Hungarian forint and the dollar/euro from 1999 to 2016. We apply the dynamic conditional correlations (DCC) model and the Diebold Yilmaz spillover index to examine the...

We study risk and return characteristics of CDOs using the market standard models. We find that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. Our results imply that credit ratings are not sufficient for pricing, which is surprising given their...

In many countries, house prices are subject to boom/bust cycles and in some these are linked to severe economic and financial instability.  Overheating can have both a price and a quantity dimension, but it is likely that they are linked by common drivers.  However, much depends on the...

This paper presents a central banker's perspective on the Asian crisis. Central banks have two core missions: the pursuit of monetary policy to achieve broad macroeconomic objectives and the maintenance of financial stability, including the management of financial crises. The management of...

This paper focuses on the spatial variation in the uptake of social security benefits following a large and detrimental exogenous shock. Specifically, we focus on the Global Financial Crisis (GFC) and the onset of the COVID-19 pandemic. We construct a two-period panel of 66 Territorial...

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...

In this paper we analyse the role of the international trade network for the strength of the global recession across countries. The novelty of our paper is the use of value-added trade data to capture the importance of trade network structure. We estimate with BMA techniques how far network...

The issue of EDC became increasingly important in the field of development economics primarily because EDC has been occurring more frequent after the deregulation of global financial flows in the 1970s (Tiruneh 2004, Jones 2015) hitting mostly MICs and LICs. Assessing the probability of an EDC...