We propose a new method for measuring the quality of banks' credit portfolios. This method makes use of information embedded in bank share prices by exploiting differences in their sensitivity to credit default swap spreads of borrowers of varying quality. The method allows us to derive a <i>credit...</i>

In this paper, we investigate whether the recent financial turmoil which arose in the United States has contaminated the Middle East and North African countries (MENA). In contrast to Lagoard-Segot and Lucey (2009), we try to identify the existence of pure contagion (Masson, 1999) rather than...

In the following paper a simultaneous unobserved components model is applied to US and Canadian output data in order to examine the causal structure of trend and cycle shocks and the way it changes over time. The main focus is placed on the analysis of the subprime crisis impact on the trend and...