This paper investigates spillovers between the latent factors of the term structure of the interest rates of the United States and selected South American countries. We show how interest rates of different maturities of these countries interact. The term structure of the interest rate is estimated using the Dynamic Nelson-Siegel model, extracted through the Kalman filter. The main contribution of this

The relationship between sovereign risk and indebtedness level is an important guide for evaluating the probability of a debt default. The market discipline hypothesis establishes that the risk premium increases with debt-to-GDP ratio. According to this hypothesis` strong version, this relation would be non-linear, and there would be a threshold - here called debt limit - from which the credit access

Investment portfolio performance can improve with the addition of alternative assets such as commodities or by using styles such as sector investing. How volatility is transmitted between individual commodities and specific industry sectors, however, is not well understood. The dynamics of volatility transmission matters for risk management and asset allocation, given increases in commodity-equity

This paper offers an empirical analysis of how public and private debt jointly influence economic growth. We consider the endogeneity and interlink of two debt variables which are subject to regime switch in a dynamic panel data model. Using data from 29 OECD countries, the threshold effect of the interaction of the public and private debt on economic growth is found to be negative and significant

Banks' role as underwriters has gained relevance, fostering competition for market share in this traditional investment banking activity. This paper explores the effects of competitive pricing and non-pricing factors on banks’ market share as underwriters. Using a panel of active-underwriters in the European corporate bond markets during a highly competitive period (2007–2013), we find that pricing

The banking industries of South-East European (SEE hereafter) countries are the main channel through which financial resources are distributed across the region and over the last decades they have witnessed deep structural changes such as privatisations, consolidation and cross-border acquisitions. The purpose of this study is to shed further light on how concentration, competition and the financial

This paper examines the effects of commodity demand and supply shocks as well as international liquidity shocks on the small open economy of Brazil using an SVAR model. The paper highlights the importance of modeling both types of shocks in the commodity sector. Including only commodity prices overstates the effect of commodity price shocks on the output of Brazil. Commodity demand shocks are much

The early literature on inflation targeting (IT) regime argues that adopting an IT regime in itself reduces the exchange rate pass-through (ERPT). The basic logic behind this argument is that pursuing a credible and independent monetary policy will help to anchor the inflation expectations and stabilize the exchange rate volatility. In this study, we investigate whether the ERPT has increased in the

We analyze the effect of the Bank of Israel monetary surprises on key variables in the Israeli economy, in the view of professional forecasters, by exploiting a unique daily dataset. We found that although the effect of monetary surprises on the exchange rate was stable over the whole sample, the pass-through from the exchange rate to inflation significantly declined after 2007. We found stability

This study examines the relationship between the price volatility of cryptocurrencies and investor attention. Using a large dataset of approximately 25 million tweets about 23 of the largest cryptocurrencies, I show that investor attention, as proxied by the number of tweets, retweets, and favorites, corresponds to greater cryptocurrency price volatility. I use a Vector Autoregression (VAR) framework

Revenge consumption, the situation in which the demand for specific goods and services suddenly skyrockets and remains high for an extended period of time, is a relatively new economic phenomenon observed recently in many cities around the world after the easing of restrictions associated with the coronavirus pandemic in 2020 and 2021. We study welfare implications of revenge consumption in a model

Understanding differences in business cycle phenomena between Emerging Market Economies (EMEs) and industrialized countries has been at the center of recent research on macroeconomic fluctuations. We investigate whether these are linked to credit market imperfections. To this end, we develop a small open economy Dynamic Stochastic General Equilibrium (DSGE) framework featuring both permanent and transitory

This paper analyzes the volatility patterns of oil and natural gas prices in the United States and how they have changed due to economic policy uncertainty in the pre- and post-shale era. Using Markov-Switching GARCH models, we find evidence of heterogeneous volatility regimes for both commodities (i.e., high vs. low volatility). While the volatility persistence for oil is similar during the two sub-periods

In this study, it was analyzed whether the export dynamics affected net exports in fourteen emerging countries and eight developed countries between the years of 1995–2019. Export sophistication, export product diversification, export market diversification, export product concentration, export market concentration, and real effective exchange rate were used as the proxy of export dynamics. Panel data

This study extends the findings of previous research concerning the correlation and volatility transmission between equity and commodity markets and attempts to document evidence of contagion between these markets during four crises using the International Capital Asset Pricing Model (ICAPM). Indeed, we examine the contagion transmission mechanism between regional equity markets including the USA,

We empirically examine the relation between risk, ambiguity, and market equity premium in 21 international stock markets. After estimating each country's degree of ambiguity from intraday data of iShares country ETFs (exchange-traded funds), we find a positive risk-return tradeoff. Investors' attitudes toward ambiguity is conditional on their expectations of probability of gains, but its relationship

This paper presents a case study of how communication on monetary policy rules in Israel allows for discretionary deviations within a rule-like policy framework without impairment to central bank credibility. We quantitatively analyze a monetary policy rule that has described Bank of Israel policy formally since 2012 and informally since 2007. We demonstrate the value of a policy rule as a tool of

The extant literature examines the impact of US uncertainty on international stock markets without paying much attention to the inherent spillovers between the US and the stock markets. This study investigates the role of US uncertainty in driving global stock market spillover from the US. To this end, we consider a wide range of stock markets around the world and three news-based uncertainties from

In a static Lucas tree economy, we propose a model that the representative agent is sensitive to regret, that is, the agent is affected by not only the actual outcome but also value-differences between actual and foregone consequences. Our model generalizes the classical simple regret model pioneered by Bell (1982) and Loomes and Sugden (1982), and makes it possible to derive the equilibrium asset

This study examines the impact of SEC enforcement actions on the turnovers of culpable CEOs and CFOs named in the enforcement actions, following their violations of the SOX provisions. We compare the impact on CEO turnover with that on CFO turnover. The impact in the pre-SOX period and that in the post-SOX period are also compared. Findings of this study provide evidence that the SEC enforcement actions

What affects inflation synchronization? To answer this question I employ a two-step approach. First, with the means of dynamic conditional correlations I quantify time-varying price co-movements. Second, I disentangle their sources using panel regressions on a heterogeneous sample of countries. Estimation results indicate that various factors affects inflation synchronization, both in time and across

This study examines whether U.S. international equity mutual funds provide out-of-sample diversification benefits in the presence of no short selling constraints. Ignoring the economic state, international mutual funds do not provide out-of-sample diversification benefits. However international mutual funds do provide out-of-sample diversification benefits in certain economic states. The benefits are

This paper reexamines the issue of the heterogeneity of the speed of capital structure adjustment in firms. In contrast to previously documented contemporaneous results, we test the issue by making a distinction between default and non-default firms and employ two measures of the speed of adjustment (cumulative versus marginal). Our empirical results show that the speed of adjustment is non-uniform

Hedge funds go beyond their statements on the transaction purpose in Schedule 13D by stating their activism objectives in a letter to the corporate management. Anyhow, prior work does not examine the impact of the communication channel systematically. The content of the letters aims at enabling corporate management to understand the activism goals better. Therefore, the communication channel might

This study is aimed at examining the dynamic relationship between real housing prices (RHP) return and economic policy uncertainty (EPU) using a panel vector autoregressive (PVAR) approach and annual data for a panel of panel of 16 countries over the period 2004–2018. The study includes economic growth, short-term interest rate, and population as additional covariates. Empirical results show that a

This study investigates dynamic frequency connectedness for volatility differences among eight popular cryptocurrencies (Bitcoin, Ethereum, Litecoin, Dash, Monero, Ripple, Nem and Stellar). It employs the methodologies of Diebold and Yilmaz (2014; 2016) and Baruník and Křehlík (2018). Furthermore, an analysis of diversification benefits and downside risk reductions is carried out. The results demonstrated

To what extent can firm, industry- and country-level factors explain firm-level R&D spending? Using a comprehensive dataset, which consists of 94,178 firm-year observations covering 42 countries and spanning 1981–2013, we examine this question by capturing multiple dimensions of the market and institutional characteristics. Our findings suggest that firm, industry- and country-level determinants jointly

From a modeling point of view, our work provides a novel approach to better use XGBoost for bank failure prediction, determining the essential technical aspects that can improve the predictive accuracy. Of these technical aspects, the two crucial factors are assigning correct values to target variables and careful predictor selection (through ANOVA, correlation, information value tests, and weight

There is considerable interest in the impact of investor attention on investment returns, especially for cryptocurrencies. However, previous research does not distinguish between search-engine attention and social-media forms of attention—even though this distinction is emphasized by marketing professionals. Professional marketers emphasize that attention is optimized by combinations of social-media

This paper analyzes the effect of different types of uncertainty by implementing an in-depth case study of Mexican peso US dollar exchange rate volatility. The paper exploits unique data from the Banco de México's Survey of Professional Forecasters to construct four distinct, direct knightian uncertainty measures, and two macro surprise measures. These measures, as well as text-based and financial

The ongoing debate on optimal capital structure is one of the core issues of corporate finance literature since it is initially and academically presented by Modigliani and Miller (M-M theorem 1958 & 1963). Nonetheless, the existing corporate finance literature hardly provides global empirical evidence on the impact of financial leverage on firm value. To address the issue, based on cross-country panel