Using a rich dataset of high frequency historical information we study the determinants of European sovereign bond returns over calm and crisis periods. We find that the importance of the equity risk factor varies greatly over time and crucially depends on country risk. In low risk countries,...

Terms of trade effects and Russian economic growth (by P. Havlik, pp. 1-4) Keywords Russia, economic growth, terms of trade Countries covered Russia Topics Macroeconomic Analysis, Forecasts and Policy; International Trade and Competitiveness; Energy Poland the national stock exchange game...

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the...

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the...

This article aims at investigating the impact of the level of the Fed funds rate in the United States in the period 2000-2007 on the emergence of the asset price bubble on the US real estate market, burst of which triggered the financial crisis in the US and globally. Rather than constructing a...

The subprime crisis limited the investment activities of economic entities. The manifestation of the crisis was the decrease in the quantity and value of cross-border consolidation processes. These trends were especially visible in the developed countries. The main reasons for the reduction of...

In March 2008 the situation on the subprime mortgage market was dubbed a crisis. Many companies collapsed, including New Century Financial Corporation – the biggest credit company in the United States. Within the next few months this virus infected other countries, also Poland. The purpose of...

Using a novel four-phase model based upon a conditional autoregressive Wishart framework for realized variances and covariances we quantify intra-daily volatility spillovers within and across the US, German and Japanese stock markets before and during the subprime crisis. We find significant...

The aim of this research was to look briefly on the effects of the latest financial crisis in Slovenia. We were interested mostly in banks' results in terms of return on financial/trading assets, return on equity (ROE) and return on assets (ROA) and possible significant changes that might be...

The subprime crisis engulfed not only the US economy, but has also put the global economies under dark clouds of uncertainty. This paper is an attempt to understand the financial crisis and causative factors for the same, the genesis of structured investment vehicles (SIVs), their nature, their...