In this study we investigate and identify the patterns of co-movement of interest rate, stock price and exchange rate in India in the period between July 1997 and December 2010 using the cross-wavelet power, the cross-wavelet coherency, and the phase difference methodologies. Our empirical...

We investigate the relationship of central bank independence and banks' systemic risk measures. Our results support the case for central bank independence, revealing that central bank independence has a robust, negative, and significant impact on the contribution and exposure of a bank to...

In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from 2006 to 2016, using a state-dependent sensitivity value-at-risk model,...