We test for pure contagion effects in international banking arising from the failure of the Bank of Credit and Commerce International (BCCI), one of the largest bank failures in the world. We focused on large individual banks in three developed countries where BCCI had established operations,...

The issue of volatility spillovers between the black and official exchange markets for U.S. dollars in Greece for 1975-1989 is examined in this paper. A vector error correction-bivariate EGARCH model is developed and estimated to capture potential asymmetric effects of innovations and...

In addition to its well-documented alignment effect, managerial ownership may also value-destroying effects by shifting risk to managers and encouraging risk-substitution; that is, managers with relatively undiversified personal portfolios tend to pass up profitable projects with high...

This paper examines the issue of mean and variance causality across four Latin American official and black markets for foreign currency using the corresponding monthly exchange rate against the US dollar for the period 1976-1993. Specifically, we apply an EGARCH-M model to study the behaviour of...

We assess whether monetary policymakers follow systemic risk in adjusting monetary policy for the US. over a period spanning from 1960 to 2011. We evaluate the reactions of monetary policy variables during the corresponding periods of high and low systemic risk. We estimate a threshold Vector...