This paper focuses on a systematic quantitative discussion of the short- and long-term impact of remarkable economic events on international trade in a two-stage framework. Firstly, procedures based on dummy variables are proposed to detect structural breaks, types and sizes of jumps caused by...

The ongoing global financial crisis is rooted in a combination of factors common to previous financial crises and some new factors. The crisis has called for revisiting monetary and fiscal policy and has brought to light a number of deficiencies in financial regulation and architecture. The...

The financial crisis which began in the summer of 2007 has its roots in the under-estimation of systemic risk, in turn due to the absence of a macroprudential approach to the design of financial regulation and macroeconomic policies, as well as the excessively optimistic judgment of the...

This paper argues that the global macroeconomy has been highly unstable. The combination of undervalued exchange rates in East Asia and the use by the US of monetary policy to ensure a steady growth led to an outcome in which interest rates fell a great deal. In the presence of a highly...

Given the massive government support for banks during the financial crisis, the purpose of this article is to address briefly if there is a tendency towards long-term "decoupling" of the banking sector from the rest of the economy. It also seeks to understand whether the support that governments...

We assess the Value-at-Risk (VaR) forecasting performance of recently proposed realized volatility (RV) models combined with alternative parametric and semi-parametric quantile estimation methods. A benchmark inter-daily GJR-GARCH model is also employed. Based on four asset classes, i.e. equity,...

This paper is an attempt to understand the mechanism which is thought to be an economic growth interaction between Capital Account Liberalization (CAL) and financial instability. The effect of financial capital liberalization is investigated through a discussion of two main channels of economic...

The elasticity of the new EU Member States’ imports implications for external rebalancing in Europe (by Leon Podkaminer) State aid and export competitiveness in the EU – first results (by Roman Stöllinger and Mario Holzner) European financial policy, as if banking mattered (Further notes on...

This paper shows that banks overstate the value of distressed assets and their regulatory capital during the US mortgage crisis. Real estate-related assets are overvalued in banks' balance sheets, especially those of bigger banks, compared to the market value of these assets. Banks with large...

This study demonstrates the existence of economically significant information spillovers between stock markets and markets for shipping freight by sea. Using multivariate correlation models on the returns of the Dow Jones Industrial Average (DJIA) and the Baltic Dry Index (BDI), we find mutual...