The global economy is in the midst of an unprecedented slump caused by the coronavirus pandemic. This systemic risk like no other at a time of record-breaking debt levels, especially among nonfinancial firms across the world, could exacerbate corporate vulnerabilities, deepen macro-financial...

In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes which is able to pick up the complex nonlinear dynamics...

The growth effects of international financial liberalization and integration are investigated using the methodology and data developed by Rajan and Zingales (1998). The main result is that industries highly dependent on external financing do not experience higher growth in value added in...

The growth effects of international financial liberalization and integration are investigated using the methodology and data developed by Rajan and Zingales (1998). The main result is that industries highly dependent on external financing do not experience higher growth in value added in...

The growth effects of international financial liberalization and integration are investigated using the methodology and data developed by Rajan and Zingales (1998). The main result is that industries highly dependent on external financing do not experience higher growth in value added in...

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....

Firm size is an essential factor in examining the relation between returns and idiosyncratic volatilities. This paper documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is statistically significant in explaining the future...

This study analyses cross-country correlations of stock prices (values of firms) using the basic New Open Economy Macroeconomics model. We show that cross-country correlations of stock prices greatly depend on the currency of export pricing in the case of monetary shocks but not notably for...

I document that US financial uncertainty shocks, measured by an unexpected increase in VIX, have a substantial impact on the output of emerging market economies (EMEs) without material impact on US output during the last two decades. To understand this puzzling phenomenon, I propose an...