The expansion in financial sector "safe" assets, largely in the form of structured products from the U.S. and the Caribbean, in the lead-up to the global financial crisis has by now been fairly well documented. Using a unique dataset derived from security-level data on U.S. portfolio holdings of...

In this paper we investigate the price, volatility and micro-level effects of central bank swap lines during the 2020 pandemic. These policies lowered the ceiling on covered interest rate parity violations and reduced volatility following settlement of swap line auctions. We then combine...

This paper examines the time-varying conditional correlations between seventeen metal future markets and Malaysian Islāmic bonds. We apply twelve six variate dynamic conditional correlation (DCC) FIGARCH models in order to capture potential contagion effects between the markets for the period...

In the study of economic and financial panel data it is often important to differentiate between time-series and cross-sectional effects. We present two estimation procedures that can do so and illustrate their application by examining international variations in expected equity premia and...

The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

Qatar and Dubai have established financial centres which have been based upon the common law jurisdiction of England and Wales because of the advantages such a system can give to the development of their respective financial services industries. The Qatar Financial Centre (QFC) and the Dubai...

For the last two decades, non-US firms have lower valuations than similar US firms. We study the evolution of this valuation gap to assess whether financial markets are less integrated after the 2008 global financial crisis (GFC). The valuation gap for firms from developed markets increases by...

Despite the measures that have already been put in place to strengthen the international financial architecture in the wake of the Asian financial crisis, still much remain to be done. This paper tried to distinguish developing economies' views, in general, and East Asian views, in particular,...

The theory of relationship lending is based on the idea that close ties between borrowers and banks may be economically beneficial. Information asymmetries on the part of the bank introduce adverse selection and moral hazard problems into the lending process and may lead to lengthy decision...