It is common wisdom that the 9/11 terrorist attacks boosted political and financial uncertainty and resulted in severe stock market meltdowns in the months after the attacks. Taking a sectoral focus of the market for US common stock, we apply statistical extreme value analysis (EVT) to assess...

This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks%u2019 equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks%u2019 exposure to each other (%u201Ccontagion...

This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks' exposure to each other (quot;contagion riskquot;) and...

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries...

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries...

We study how information sharing between banks influences the geographical clustering of branches. We construct a spatial oligopoly model with price competition that explains why bank branches cluster and how the introduction of information sharing impacts clustering. Dynamic data on 59,333...

We study how information sharing between banks influences the geographical clustering of branches. A spatial oligopoly model first explains why branches cluster and how information sharing impacts price competition and equilibrium clustering. With data on 59,333 branches of 676 banks in 22...

The skewness of a statistical distribution is often used to determine whether that distribution is symmetric or not. Such a determination is misleading. To show this we have analyzed a broad range of (classes of) skewness measures – complying with the requirements of a general skewness measure...

We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between...

Many countries try to smooth their exchange rate movements by means of capital controls or otherwise. By the use of statistical extreme value analysis, we investigate if capital controls succeed in lowering the exchange rate volatility. We define forex volatility as the risk of extreme...