Especially structured finance instruments were blamed as main reason for the financial crisis 2007, but the understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main balance sheet characteristics of structured finance...

Purpose – The purpose of this paper is to see if a difference exists between the impact of the subprime crisis on countries with more transparency and more regulated finance than on others. A further objective is to explain the success of the Brazilian case in avoiding the financial crisis and...

In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common...

We write model that considers both households’ and firms’ credit frictions. Firms’ credit is modeled by the traditional financial accelerator à la Bernanke et al (1999). Households that borrow funds face interest rates that increase with their debt, as in Curdia and Woodford (2010). We...

How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks.credit default swap spreads. We find that fortunes...

This paper investigates the dependence structure between default risk premium, equity return volatility and jump risk in the equity market before and during the subprime crisis. Using iTraxx CDS index spreads from Japanese and Australian markets, the paper models the different relationships that...

Chairman statement in the corporate annual report is classified as narrative accounting and until today it remains as voluntary disclosure. Without guidelines by the accounting standards setters and close monitoring by the regulators, it is hypothesised that company management may exaggerate the...

In this article, we test the presence of financial contagion during the subprime mortgage crisis of 2007. For this purpose, we propose a new procedure for testing the non-linearity of the mechanisms of the shock distribution estimated through a model of long-term interdependence. We apply this...

The subprime financial crisis has sparked our interest in identifying channels through which US crisis spread across 20 developed and emerging stock markets. Empirical results of GARCH and EGARCH estimated models show a high persistence and asymmetric effect of volatility. Estimation of an...

We identify 72 bank Mergers and Acquisitions (M&As), in which US banks acquired other financial institutions. We focus on the role of timing at M&A in the context of boom phase and financial crisis. Applying event study methodology, we examine: value generation to bank shareholders; value...