We examine the co-movement patterns of European business cycles during the period 1986-2011, with an obvious focal point the year 1999 that marked the introduction of the common currency, the euro. The empirical analysis is performed within the context of Graph Theory where we apply a rolling...

The microstructural approach to the exchange rate market claims that order flows on a currency can accurately reflect the short-run dynamics its exchange rate. In this paper, instead of focusing on order flows analysis we employ an alternative microstructural approach: we focus on investors'...

The magnitude of the recent financial crisis, which started from the U.S. and expanded in Europe, change the perspective on banking supervision. The recent consensus is that to preserve a healthy and stable banking network, the monitoring of all financial institutions should be under a single...

The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...

In this paper, we investigate the forecasting ability of the yield curve in terms of the U.S. real GDP cycle. More specifically, within a Machine Learning (ML) framework, we use data from a variety of short (treasury bills) and long term interest rates (bonds) for the period from 1976:Q3 to...

The 2006 sudden and immense downturn in U.S. house prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...

In this paper, we investigate the forecasting ability of the yield curve in terms of the U.S. real GDP cycle. More specifically, within a Machine Learning framework, we use data from a variety of short (treasury bills) and long term interest rates (bonds) for the period from 1976:Q3 to 2011:Q4...

We empirically test the effects of anticipated and unanticipated monetary policy shocks on the growth rate of real industrial production and explicitly test for different types of asymmetries in monetary policy implementation for two major international economies, the U.S. and Brazil. We depart...

Purpose-This study presents an empirical model designed to forecast bank credit ratings. For this reason we use the long term ratings provided by Fitch in 2012. Our sample consists of 92 U.S. banks and publicly available information from their financial statements from 2008 to 2011. Methodology...

We test the validity of the Purchasing Power Parity theory, examining the Real Exchange Rate of 23 OECD countries for mean-reversion. In doing so, we estimate the Hurst exponent, which is a well-established estimator of long memory in time series analysis. The innovation of our approach is that...