We study whether the credit default swap (CDS) spreads of firms reflect the risk from climate transition. We first construct a climate transition risk (CTR) factor by using information on the vulnerability of a firm's value to the transition to a low-carbon economy. We then document how this...

We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...

Transitioning to a low-carbon economy involves risks for the value of financial assets, with potential ramifications for financial stability. We quantify the systemic impact on financial firms arising from changes in the value of financial assets under three climate transition scenarios that...

Renewable energy deployment as an alternative to traditional energy sources is the cornerstone of the emission-reduction energy policies that aim to facilitate the transition to a low-carbon economy. This transition poses risks and opportunities for companies with business models that rely...

This paper examines the relationship between oil prices and the US dollar exchange rate using detrended cross-correlation analysis. For a wide set of currencies in the periods before and since the onset of the recent global financial crisis, we characterized the oil price–exchange rate...

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncertainty and the US economic policy...

This paper examines the dependence structure between the emerging stock markets of the BRICS countries and influential global factors. Using the quantile regression approach, our results for the period from September 1997 to September 2013 show that the BRICS stock markets exhibit dependence...

This paper investigates the extent to which the linkages between bank performance and governance structure affect deposits market competition and risk taking incentives when commercial banks compete with organizations with objectives different from profit maximization. These organizations...

Past studies have shown considerable differences between equity markets in conventional and Islamic financial systems, in terms of financial products and principles. Using a copula approach, this study shows that the global Islamic equity market index (represented by the Dow Jones Islamic Market...

We examine the recent trends in dependence structure between the fast-growing commodity markets and the stock markets in China. We address this issue by using copula functions that allow for measuring both average and tail dependence. Our results provide evidence of low and positive correlations...