The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012 to 2020 on the financial performance of twelve...

The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012 to 2020 on the financial performance of twelve...

We measure the public concern during the outbreak of COVID-19 disease using three data sources from Google Trends (YouTube, Google News, and Google Search). Our findings are three-fold. First, the public concern in Italy is found to be a driver of the concerns in other countries. Second, we...

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔCoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...

We adopt the Dynamical Influence model from computer science and transform it to study the interaction between business and financial cycles. For this purpose, we merge it with Markov-Switching Dynamic Factor Model (MS-DFM) which is frequently used in economic cycle analysis. The model suggested...

This paper evaluates and compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of methods accounting for several dimensions of integration and a novel evaluation scheme – based on the positive association between...