This paper examines the relationship between stock returns and the sources of corporate debt during the financial crisis of 2008. In particular, using data on large-capitalization Russian firms, we investigate whether dependence on either bank debt or bonds affected stock returns during the...

We introduce a minimal agent model to explain the emergence of heavy-tailed return distributions as a result of self-organized criticality. The model assumes that agents trade their economic outputs with each other composing a complex network of agents and connections. Further, the incoming...

The last financial and economic crisis demonstrated the dysfunctional long-term effects of aggressive behaviour in financial markets. Yet, evolutionary game theory predicts that under the condition of strategic dependence a certain degree of aggressive behaviour remains within a given population...

The weighted and directed network of countries based on the number of overseas banks is analyzed in terms of its fragility to the banking crisis of one country. We use two different models to describe transmission of shocks, one local and the other global. Depending on the original source of the...

An empirical research on Chinese stock markets is conducted using statistical tools. First, the multifractality of stock price return series, ri(ri=ln(Pt+1)−ln(Pt)) and trading volume variation series, vi(vi=ln(Vt+1)−ln(Vt)) is confirmed using multifractal detrended fluctuation analysis....

This study draws attention to the proliferation of extreme risks in financial markets prior to and during the course of the recent global financial crisis. It examines the level of such “tail” risks in selected equity, interbank lending and foreign exchange markets in selected EU Member...

In this paper, we look at how the pre-crisis health of banks is related to the probability of receiving and repaying TARP capital. We find that financial performance characteristics that are related to the probability of receiving TARP funds differ for the healthiest (“over-achiever”) versus...

We use an E-GARCH model to estimate the wealth effects of Federal Reserve lending during the financial crisis to Investment banks (I-Banks), “Too Big to Fail” (TBTF) banks, and “traditional” commercial banks. Borrowing from the Term Auction Facility program has negative wealth effects...

Deteriorating public finances around the world raise doubts about countries’ abilities to bail out their largest banks. For an international sample of banks, this paper investigates the impact of bank size and government deficits on bank stock prices and CDS spreads. We find that a bank’s...

Emerging countries are held to be subject to more frequent and more pronounced external and internal shocks than their developed counter-parts. This suggests that key variables pertaining to their markets, including their exchange rates, will be marked by greater likelihood of extreme...