Theoretical and empirical research has shown that a sound and effective financial system is critical for economic development and growth. The financial system, however, is also subject to boom and bust cycles and fragility, with negative repercussions for the real economy. Further, the political...

This paper attempts to borrow the tradition of estimating policy reaction functions in monetary policy literature and apply it to capital controls policy literature. Using a novel weekly dataset on capital controls policy actions in 21 emerging economies over the period 1 January 2001 to 31...

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on the state financial markets are in when they occur....

This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of developed and emerging countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the...

The crisis has gone through several phases of varying complexity before abating in mid-2014. It started with the Financial Turmoil in August 2007, followed by the Global Financial Crisis in September 2008, and the Great Recession in 2009-2010. These events exacerbated imbalances that had already...

The global financial crisis, after brewing for a while, actually started to demonstrate its consequences and encroachments in the middle of 2007 and into 2008. During this period the world stock markets have fallen, large financial institutions have been collapsed. From 2008 to 2010 it reflected...

We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market...

Utilizing VAR-DCC-MVGARCH model and volatility spillover index, we examine international spillovers and spillbacks between SMICs and the U.S. Results show that SMICs and the U.S. present dynamic and asymmetric volatility spillovers and spillbacks during and beyond financial crisis. The effects...

The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...