This paper presents new evidence on international financial market integration using stock analyst earnings forecasts from 37 countries. By examining cash flow and discount rate news co-movements, we find that the financial and economic aspects of global market integration have diverged over...

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

This paper examines the cross-currency linkage of LIBOR-OIS spreads. We consider daily spread data in five major currencies for the period of March 1, 2006 to Nov 11, 2008. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of...

We examine the long-run relationships and short-run dynamic linkages among 9 major cross-currency swap spreads, with specific emphasis on how crisis periods have impacted the long-run relationships and short-run dynamic transmissions. The results show that the long-run relationships were...

We examine the long-run relationships and short-run dynamic linkages among 9 major cross-currency swap spreads, with specific emphasis on how crisis periods have impacted the long-run relationships and short-run dynamic transmissions. The results show that the long-run relationships were...

We study the influence of income inequality on terrorism. Using cross-national data for 79 countries for the 2002-2012 period, we show that endogeneity matters to the inequalityterrorism relationship, e.g., because of the distributional effects of terrorism. Once endogeneity is properly...

The theoretical literature has predicted that inequality affects long-run growth by reducing human and physical capital, particularly in the presence of imperfect credit markets and other contractual frictions. We test these four mechanisms using measures of inequality at the country-level,...

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...

This paper analyses the cultural drivers (tightness−looseness and individualism−collectivism) of Bitcoin prices co-movements and exchange shutdowns in 34 major countries around the world over the period 20 July 2010 – 5 February 2020. Under the assumption that investors prefer to use local...

This paper investigates the existence of nonlinearities in the relationship between financial development and income inequality, using the Instrumental Variable Threshold Regression (IVTR) introduced by Caner and Hansen (2004). It is shown, based on cross-sectional data of 60 developed and...