We performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and...

The present paper examines the degree of comovement of gross capital inflows, which is a highly sensitive issue for policy makers. We estimate a dynamic hierarchical factor model that is able to decompose inflows in a sample of 47 economies into (i) a global factor common to all types of flows...

This paper studies the nature of spillover effects in bank lending flows from advanced to the emerging market economies and identifies specific channels through which such effects occur. Based on a gravity model we examine a panel data set on cross-border bank flows from 17 advanced to 28...