In this paper, we investigated changes in the linkages between capital markets by applying the threshold vector autoregressive (TVAR) models to the stock returns of the US and of four East-South Asian markets. We employed the estimating and testing procedures proposed by Tsay (1998) and Hansen...

The aim of this paper is to estimate the costs of banking sector restructuring in Poland, borne by the government and the central bank in the years 1993-2006. The authors focused mainly on the assistance measures that directly contributed to generating costs. Aggregated costs of the banking...

In this thesis different definitions of financial contagion are explored. These definitions are applied to test for evidence of contagion on a number of stock markets and during several turbulent periods. First, we investigate the question whether emerging stock markets are more or less...

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. We find that separate...