This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a sliding window in order to measure long range dependence. We detect that...

Increasing financial and political turmoil in the 1970s and 1980s coupled with oil shock prompted Governors of the G-10 countries to engage in cooperation and financial collaboration that eventually paved the road for the establishment of the Basel Committee on Banking Supervision in 1974. After...

Huge difference a decade makes; from an uninterrupted growth in one decade (i.e. birth of the Justice and Development Party – AKP in August 2001 and the rise of the AKP during 2002-2013) to another decade of unorthodox policies induced by ever more authoritarianism (i.e. the loss of Istanbul...

The cash strapped Turkey's gloomy economy was already ailing before the emergence of COVID-19 pandemic. The August rout of 2018 caused serious cracks as lira tumbled against the dollar (25% in three days and 41% in just two weeks); consequently, core inflation peaked at 26% and key interest rate...

“History repeats itself” is not just an idiom, it is the naked truth; another agonizing fact is that humans do not seem to have learned from past experiences throughout history. For instance, misleading or policy error by the Fed (unwarranted tight-money policy stance in the 1920s) was...

In the post-WWII (since the 1950s), there have been over 400 banking, currency, and sovereign debt crises, which translates to about 10 crises per annum; furthermore, the combined cost of the last five crises since the late 1990s is in excess of $30 trillion, but when the cost of the COVID-19...

Most stock exchange regulators around the world reacted to the 2007-2009 crisis byimposing bans or regulatory constraints on short-selling. Short-selling restrictions wereimposed and lifted at different dates in different countries, often applied to different sets ofstocks and featured different...

On September 3-4, 2009 SUERF and Utrecht University School of Economicsorganized the Colloquium "The Quest for Stability" in Utrecht, the Netherlands. The papers included in this SUERF Study are based on contributions to the Colloquium.

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...