This paper investigates whether financial crises are alike by considering whether a single modeling framework can fit multiple distinct crises in which contagion effects link markets across national borders and asset classes. The crises considered are Russia and LTCM in the second half of 1998,...

To measure the systemic risk in financial markets, and rank systemically important financial institutions (SIFIs), we propose a methodology based on the Google PageRank algorithm. We understand the economic system as interconnected risk shocks of firms in both the financial sector and the real...

An increasing involvement of the Asian market in the global context plays a fundamental role in spreading shocks across the financial system. This paper examines the extent of vulnerability across Asian equity markets and the US equity market by distinguishing between spillovers and contagion....

This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011, we assess the impact of unexpected...

This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that the trade duration exhibits significant clustering and threshold effects. Further, the time taken to...

A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where trend shocks enter the cycle, or cyclic shocks enter the trend and that...

This paper incorporates hierarchical structure into the neoclassical theory of the firm. Firms are hierarchical in two respects: the organization of workers in production and the wage structure. The firm’s hierarchy is represented as the sector of a circle, where the radius represents the...