This paper aims to investigate the volatility spillovers among selected emerging economies' sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using data from January 2010 to July 2023, we apply the...

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...

In recent decades, a noticeable uptick has been seen in the issuing of eco-friendly bonds across green, social, and sustainable categories. The study examines their intersection with economic expansion and sustainability using panel data from 82 countries analyzed through robust fixed-effects...

Environmental, Social, and Governance (ESG) is a market for environmental criteria that has recently attracted the attention of policymakers and in particular European Union (EU) countries to improve environmental quality. In the context of the EU Sustainable Development Goals, this study aims...

Studies of intermediated arbitrage argue that bank balance sheets are an important consideration, yet little evidence exists on banks' positioning in this context. Using confidential supervisory data (covering $25 trillion in daily notional exposures) we examine banks' positions in connection...

This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a tractable model for cryptocurrency prices. Investors in the baseline equilibrium hold coins to sell them at a profit to future users if they anticipate in increase in...

This paper investigates the impact of housing demand on the composition of the optimal portfolios of homeowners in France, following the methodology developed by Flavin and Yamashita (2002). We use historical data on housing prices and financial assets returns to estimate the mean return and...