This study investigates the relationship between auditor tenure and credit default swap (CDS) spreads of U.S. firms based on quantile regression. After allowing for common determinants of CDS spreads, auditor tenure exerts both statistically and economically significant additional impacts on the...

We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...

Using credit default swap data, we propose a novel empirical framework to identify the structure of credit risk networks across international major financial institutions around the recent global credit crisis. Specifically, we identify three groups of players including prime senders, exchange...

Chapter 1 Introduction -- Chapter 2 Literature Review -- Chapter 3 Is RMB Becoming Systemically Important? -- Chapter 4 Why is RMB Systemically Important? -- Chapter 5 Is RMB a Safe Haven Currency? -- Chapter 6 Conclusions -- References.

It is known that in a two-country, two-good world, the Nash equilibrium of a 'tariff war' of Harry Johnson (1953-4) tends to fail Pareto Optimality. With a demonstration by example, this note shows that it is possible that the attempt for trade liberalization through the removal of tariffs may...

Purpose − This study explains a puzzle: most countries realize the mutual benefit of tariff cutting, but tariffs never become zero. Approach − The method is decision-theoretic, and proves the results by example. Findings − The Johnson tariff-ridden equilibrium may be unique, but not the...

With option-implied volatility indices, we provide a new tool for event studies in a network setting and document systemic risk in the spillover networks across global financial markets. Network linkages are sufficiently asymmetric because the US stock and bond markets play as dominant...

The conventional wisdom that housing prices are the present value of future rents ignores the fact that unlike dividends on stocks, rent is not discretionary. Housing price uncertainty can affect household property investments, which in turn affect rent. By extending the theory of investment...