The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in...

This paper is aimed at analysing the decision of the Chinese central bank to reform the exchange rate of the national currency and to gauge the effects of this change in regime on the Chinese economy and the world currency markets. Although many nations have been largely disappointed by the...

We present 12 facts about the mortgage crisis. We argue that the facts refute the popular story that the crisis resulted from finance industry insiders deceiving uninformed mortgage borrowers and investors. Instead, we argue that borrowers and investors made decisions that were rational and...

Since July 2007 the world economy has experienced a severe financial crisis originating in the U.S. housing market. The crisis has subsequently spread to the financial sectors in European and Asian economies and led to a severe worldwide recession. The existing literature on financial crises...

This paper empirically analyzes a model that relates earnings price ratios to long term risk free rates and implied volatilities. The two periods with sufficient available data are 1890-1933, and 2007-2019. I estimate that modern investors have relative risk aversion of 1.34 and a time...

This paper tests for the presence of long memory and nonlinearity in returns and volatility for six agricultural futures daily prices series, three traded on MATIF Euronext (Wheat, Corn & Rapeseed) and three traded on CBOT (Red Winter Wheat, Corn & Soybean) over the period from 2000 to 2010. If...

Small and Medium Enterprises (SMEs) form the backbone of manufacturing sector and have become the growth engine of economic development in the world. It is to be noted that world over, half of two-thirds of all businesses are SMEs and in many regions, this proportion is still higher. SMEs are...

Cummins, Doherty, and Lo (2002) present a theoretical and empirical analysis of the capacity of the property liability insurance industry in the U.S. to finance catastrophic losses. In their theoretical analysis, they show that a sufficient condition for capacity maximization is for all insurers...

This paper investigates stock and option market reactions to judicial events in the United States Supreme Court (SC) relating to cases where at least one party involved is a public firm. Using a comprehensive dataset of more than 500 SC cases from 1948 to 2018, we find that the stock market...

An expansion in mortgage credit to subprime borrowers is widely believed to have been a principal driver of the 2002–2006 U.S. house price boom. By contrast, this paper documents a robust, negative correlation between the growth in the share of purchase mortgages to subprime borrowers and...