By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) among risk factors, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of risk factors, (ii) distress between specific risk factors, and (iii) distress to...

The paper presents a comparison of the gains from the pooling of reserves, and hence reserve variability, in the Eastern Caribbean Currency Union (ECCU) and the CFA franc zone. The results indicate that countries within the ECCU area have achieved greater balance of payments protection than the...

By introducing the concept of conditional probability of joint failure (CPJF), and by proposing a new measure for the systemic impact of currency crises, we provide new insights into the different sources of currency crises. We conclude that financial openness helps to diminish the probability...

This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted from the global to the Islamic equity market. The economic factors examined are the exchange rate, inflation rate, interest rate, and pro- duction growth. To achieve the purpose...

The goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern...

In this paper, we analyze the business cycle behavior of home mortgages and consumer credit and investigate whether the observed changes. and in particular observed changes in the comovement between the loan variables and real activity. are likely to be caused by changes in financial markets. We...

The article presents an empirically tested assessment of the Bank of Slovenia (BS), national central bank, adjustment policy to surges in capital flows during the last decade. Exchange rate appreciation, undeveloped banking sector, immoderate money market oscillation, unstable economic trends...

Due to growing skepticism over the globalisation process across countries, economists in the emerging market economies (EMEs) are anxious to know how the integration of financial markets was associated with the recent global crisis and whether there could be some key lessons for the broader...

The contribution of this paper to the literature is three-fold: (1) it empirically uncovers the directionality and persistence of systemic risk surrounding "the great recession"; (2) it quantifies the reaction of the macro-economy to financial (banking) system shocks; and (3) it unearths...