This paper analyzes the long-run relationship between gold and silver prices. We closely follow Escribano and Granger (1998) and extend their study. First, we use a 40-year sample period from 1970-2010 and examine the existence and stability of a long-run relationship between gold and silver...

We estimate quantile autoregression (QAR) models to analyze variations in the autoregressive coefficients of 55 international stock index returns and demonstrate that it is important to allow the autoregressive parameters to vary with quantiles. The empirical results identify distinctively...

Since 2007, monetary authorities around the globe have reduced their key policy interest rates to unprecedented low levels and intervened with non-standard policy measures (i.e., monetary easing and liquidity provision) to support funding conditions for banks, enhance lending to the private...

This paper studies the impact of the Global Financial Crisis of 2008 on Japanese exports, focusing on international production networks in machinery sectors. For our survival analysis, we estimate a Cox proportional hazards model. Consequently, we find that Japanese exports to Asian countries,...

In this paper, we identify initial macroeconomic and financial market conditions that help explain the distinct response of the real economy of a particular country to the recent global financial crisis. Using four measures of crisis severity, we examine a data set with over 90 potential...

In this paper we construct financial conditions indices (FCIs) for the euro area, for the period 2003 to 2011, using a wide range of prices, quantities, spreads and survey data, grounded in the theoretical literature. One FCI includes monetary policy variables, whilst two versions without...

We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...

The paper presents some crucial fiscal and monetary actions proposed by John M. Keynes in order to struggle with the consequences of the Great Depression. The recent world financial crisis lasting since 2007–2008 restored their significance and efficiency. Nowadays, Keynes’s proposals are...

The financial crisis that has already settled in our society began with the activities performed in the USA by the financial entities that conceived and innovated new financial products in order to move and socialize their risks to the rest of the system. Globalization has allowed these risks to...

We develop a VAR-GRACH approach to invesigate shock and volatility transmissions between bank stock returns in Romania during the 2007-2009 international financial crisis.Our findings provide eveidence of significant shock and volatility transmissions between Romanian bank returns.We also show...