This paper examines the importance of credit market shocks in driving global business cycles over the period 1988:1-2009:4. We first estimate common components in various macroeconomic and financial variables of the G-7 countries. We then evaluate the role played by credit market shocks using a...

Purpose – Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis....

Purpose – The purpose of this paper is to propose a new measure of earnings management flexibility based on the limits of the allowable set of accruals, prior discretionary accruals used, and the reversal rate of these accruals. Design/methodology/approach – Quarterly financial data from...

This study offers a new perspective on crisis transmission through an examination of herding contagion during 2008-global financial crisis across Asian and European financial markets. Using a bivariate GARCH-BEKK model, results show that the volatility of US stock market during the subprime...

The capital market is an inherent part of market economy. The condition and level of its development reflects the development pace of the economy itself. The range and form of their interaction concerns various aspects, connected both with economic processes as well as financial ones.

This paper considers how a tax on financial transactions could be applied to three broad and partially overlapping categories of financial instruments: (1) exchange-traded instruments; (2) over-the-counter instruments; and, (3) foreign exchange instruments. For each category, the paper examines...

We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting GDP growth and may be thus used as a leading indicator. Based on the FCI,...