We propose a new data-rich environment model of the yield curve, the macroeconomy, monetary policies and effective exchange rates for a panel of 11 countries: the iDREAM. The endogenous variables are observable (short- and long-term interest rates, exchange rates) and latent factors (economic...

In this paper we investigate whether there is a global and dynamic linkage between Monetary and Fiscal Policy in a global framework by using GVAR technique. Our results confirm that there is a significant connection between long-term nominal interest rate and fiscal balance in some industrial...

The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually negotiate digital money. Cryptocurrencies trade at prices which is mainly driven by investor sentiment, becoming a...

In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

Exploiting information contained in the term-structure of sovereign credit spreads, we estimate time-varying fiscal limits – defined as the maximum outstanding debt that can credibly be covered by future primary budget surpluses. Our approach is based on a novel sovereign credit risk model...

Using 25 years of military spending data from more than a hundred countries, this paper provides new evidence on the effect of government spending on output. Following a popular assumption that military spending is unlikely to respond to output at business-cycle frequencies - and exploiting...

We examine house price co-movements within and cross four major economic blocks: North America, Europe, Oceania and the Far East. The purpose of this study is to establish: (1) Whether there was increased house price correlation within a given economic block or across different blocks in the...

This study investigates the asymmetric shock transmission mechanisms between seven large cryptocurrencies and crude oil at different market conditions across time. Wavelet technique was used to decompose the daily return series of the assets into wavelet scales to capture trading horizons. We...

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....