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...

This study examines how the 2008–2009 surges in international food and fuel prices and the coinciding global financial crisis impacted the Philippine labor market. Regression estimates using repeated quarterly waves of the Labor Force Survey indicate small declines in employment probabilities,...

We study capital flows in a panel of 130 countries, and derive the implications for the observed patterns of capital flows and capital controls before and into the crisis of 2008–11. We find that the size of capital flows is positively correlated with country's income level. In addition,...

In this paper, the distribution and inequality of firm sizes is evaluated for the Korean firms listed on the stock markets. Using the amount of sales, total assets, capital, and the number of employees, respectively, as a proxy for firm sizes, we find that the upper tail of the Korean firm size...

This paper investigates the dynamics of credit default swap (CDS) spread. We first find auto-correlations and cross-correlations of the CDS series and the CDS average by employing detrended cross-correlation analysis (DCCA). We then employ smooth transition autoregressive (STAR) models to...

In this paper, we employ the multivariate CUSUM (cumulative sum) test for covariance structure as well as the renormalized partial directed coherence (PDC) method to capture the structural causality change of real estate stock indices of five emerging Asian countries and regions (i.e., Thailand,...

Historically, symptoms of Mexican financial crises have been strongly reflected in the dynamics of the Mexican peso to the dollar exchange currency market. Specifically, in the Mexican financial crises during 1990's, the peso suffered significant depreciation processes, which has important...