This paper investigates the extent to which output has recovered from the Asian crisis. A regime-switching approach that introduces two state variables is used to decompose recessions in a set of six Asian countries into permanent and transitory components. While growth recovered fairly quickly...

Stock markets in Central and Eastern European (CEE) countries significantly collapsed during the financial crisis of 2008. We studied whether the collapse of stock markets in CEE countries was due to international linkages of deteriorating fundamentals or international spillovers of speculative...

A double world index model is proposed as an ideal way of characterizing the comovement among emerging stock markets, and applied to Budapest-Istanbul as an interesting case. An exclusive increase in the correlation between Budapest and Istanbul during the recent crisis period is documented. To...

The paper tests the hypothesis of a maturity-independent foreign exchange risk premium or equivalently of a constant elasticity of substitution of international assets across the maturity spectrum. The empirical findings indicate that elasticity of substitution is indeed a function of maturity....

With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing less developed and less integrated...

The present study examines the relationship between Turkey’s stock market and the stock markets of the EU Mediterranean countries using various econometric techniques. Covering the period from 01.07.2002 to 01.03.2010 and consisting of 1922-day data, the study found that there is a...

Economic cross-linkages and the increased co-movement of asset prices across international markets are important outcomes as the result of globalization. Hereby, the nature of international stock markets and the extent to which the 1997-1998 East Asian turmoil had affected the market...

In this paper, we investigate whether the recent financial turmoil which arose in the United States has contaminated the Middle East and North African countries (MENA). In contrast to Lagoard-Segot and Lucey (2009), we try to identify the existence of pure contagion (Masson, 1999) rather than...

The aim of this study is to analyse the exchange rate and interest rate distribution and volatility under the participation of the Portuguese economy in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) based on some of the main predictions of the target zone literature....

The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e. regime shifts in the transmission of asset prices during crisis periods. The focus is in particular on UK and Spain. We use a Markov Switching FAVAR framework and regime-dependent...