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Macro stress testing has become an increasingly important part of central banks' and macroprudential authorities' toolkits in the wake of the Global Financial Crisis. One of the most important parts of the stress testing framework is the estimation of credit risk losses under adverse circumstances. However, standard satellite models based on econometrics of time series may not be well suited to estimate credit risk losses for countries with short time series, incomplete credit cycle or structural breaks, as in the case of Slovakia. Incorporating micro data into the stress testing framework becomes important for such countries. In this paper, we show that using micro data leads to more plausible results compared to time series in form of higher estimated share of nonperforming loans. For the estimations, we use a unique set of individual retail loan data collected from banks operating in Slovakia. As the Slovak banking sector did not face a rapid worsening of the credit quality of retail loans during the Global Financial Crisis, the recent Covid-19 pandemic in 2020 is the only reference period of increased economic and financial tensions. This period also confirms our approach, as using micro data leads to nonperforming loan ratios that are closer to the ratio of indebted households asking for loan payment deferral during the pandemic. [ABSTRACT FROM AUTHOR]

Increasing global concern about climate change and the circular economy have successfully established itselves in international and national policies over the last decade, with the aim of reshaping the production and consumer behavior. The circular economy is one of the core pillars of European Union policy and its success depends on the energy efficiency, reducing production costs, and maintaining employment levels by ensuring continuous strong economic independency of the region. While crises are unavoidable and continue to appear, this paper aims to project the impact of any crisis on sustainability transitions using data analysis of the Global Financial crisis from 2008 to 2009 and discuss how the success of the circular economy implementation and environmental policies could be affected. The paper notes that the global financial crisis of 2008–2009 had a short-term positive impact on environmental degradation and that economic interests overshadowed environmental goals. Due to the recent events of the ongoing Russia and Ukraine war, COVID-19 societal and industrial behavior has shifted from sustainable to linear and has taken a step backward in reducing environmental pollution and achieving Sustainable Development Goals. Analysis of already present data and the context of the 2008–2009 global financial crisis, reviewing of COVID-19 impact on the global economy, health sector, and environmental policies allows us to predict the consequences, as it relates to the future of circular economy policy. [ABSTRACT FROM AUTHOR]

This paper contributes to the ongoing debate on the nature and characteristics of the volatility transmission channels of major crash events in international stock markets between 03 July 1997 and 09 March 2021. Using dynamic conditional correlations (DCC) for conditional correlations and volatility clustering, GARCH-BEKK for the direction of transmission of disturbances, and the Diebold-Yilmaz spillover index for the level of volatility contagion, the paper finds that the climbs in external shock transmissions have long-lasting impacts in domestic markets due to the contagion effect during crisis periods. The findings also reveal that the heavier magnitude of financial stress is transmitted between Asian countries via the Hong Kong stock market. Additionally, the degree of volatility spillovers between advanced and emerging equity markets is smaller compared to the pure spillovers between advanced markets or emerging markets, offering a window of opportunity for international market participants in terms of portfolio diversification and risk management applications. Furthermore, the study introduces a novel early warning system created by integrating DCC correlations with a state-of-the-art deep learning model to predict the global financial crisis and COVID-19 crisis. The experimental analysis of long short-term memory network finds evidence of contagion risk by verifying bursts in volatility spillovers and generating signals with high accuracy before the 12-month crisis period. This provides supplementary information that contributes to the decision-making process of practitioners, as well as offering indicative evidence that facilitates the assessment of market vulnerability for policymakers. [ABSTRACT FROM AUTHOR]

The association between economic growth and immigration has been a long-time debatable area among economists. Yet, the asymmetric connection stays somewhat ignored area in this strand of the literature. The investigation of a nonlinear and asymmetric relationship between economic growth and immigration is motivated by empirical insights. The structural change and resulted nonlinear behavior in the real GDP per capita and immigration series is due to idiosyncratic shocks in data. Events such as the global financial crisis (2008–2009), Asian currency crisis (1997–98), Dot-com bubble burst (2001), and sudden extreme events (terrorist attack on September 11, 2001) can cause structural breaks in the series and exhibit nonlinear behavior. Thus, in this paper we examine the asymmetric association of the immigration-GDP per capita nexus via utilizing the nonlinear autoregressive distributed lag model (NARDL). The asymmetric influence of GDP was generated by the disintegrations of GDP into positive and negative changes. The paper finds evidence of long-run relationship (cointegration), using annual data from 1947- 2018. The empirical analysis presents verification of long- and short-run asymmetric effect. The paper finds that positive shocks of real GDP per capita affects immigration, while no such effect is found for the negative changes, both in the short- and long-run. Finally, the vector error correction model (VECM) illustrates significant long-and short-run unidirectional causality running from positive change of GDP per capita to immigration. However, the VECM model suggests a significant long-run bidirectional causality between immigration and GDP per capita decrease. [ABSTRACT FROM AUTHOR]

In this paper, we compare the dynamics of the growth rates of the original Divisia monetary aggregates, the credit card-augmented Divisia monetary aggregates, and the credit card-augmented Divisia inside monetary aggregates. This analysis is based on the methods of recurrence plots, recurrence quantification analysis, and visual boundary recurrence plots which are phase space methods designed to depict the underlying dynamics of the system under study. We identify the events that affected Divisia money growth and point out the differences among the different Divisia monetary aggregates based on the recurrence and visual boundary recurrence plots. We argue that the broad Divisia monetary aggregates could be used for monetary policy and business cycle analysis as they are exhibiting less fluctuation compared to the narrow Divisia monetary aggregates. They could positively affect policy decisions regarding environmental choices and sustainability. We also point out the changes in the monetary dynamics locating the 2008 global financial crisis and the Covid-19 pandemic. [ABSTRACT FROM AUTHOR]

The special drawing right (SDR) is issued by the International Monetary Fund (IMF). The SDR has the potential to strengthen dramatically the international monetary system. Established in 1969 and allocated twice during its first decade, the SDR was in the institutional closet from 1980 until 2009 when $250 billion in SDRs were allocated to members of the IMF to help address the global financial crisis. In 2021, another $650 billion in SDRs were allocated to help address the Coronavirus pandemic. The SDR has proved itself as a crisis instrument. This paper proposes regular annual SDR allocations. [ABSTRACT FROM AUTHOR]

This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al. (J Risk Financ Manag 13(4):84, 2020). The results suggest that market interconnectedness increased slightly following the outbreak of COVID-19, although this increase was lower and less persistent than that observed after the Global Financial Crisis of 2008. Furthermore, we find that crude oil was the main net transmitter of shocks before COVID-19 while heating oil, gold, and silver were the main net transmitters of shocks during the COVID-19 pandemic. In contrast, natural gas and palladium were the main net receivers of shocks during the entire sample period, making these two commodities attractive hedging and safe haven options for investors during the pandemic. Overall, our results suggest that hedging and diversification opportunities decrease during crises. Furthermore, they indicate that accurate forecasts of the volatility of several commodities, such as natural gas and different metals, can be obtained by exploiting the information content of crude oil. However, they also reveal that crude oil lost its leading position as a net shock transmitter during the COVID-19 pandemic. [ABSTRACT FROM AUTHOR]

This paper uncovers an inverted U-shaped relationship between firm exit and total factor productivity (TFP) growth using Spanish data. At low levels of firm exit, Schumpeterian cleansing effects dominate and the effect of firm destruction on TFP is positive, but when exit rates are very high, this effect turns negative. In order to rationalize this finding, we build on Asturias et al. (Firm entry and exit and aggregate growth, Technical report, National Bureau of Economic Research, 2017) and develop a model of firm dynamics with exit spillovers calibrated to match the nonlinearity found in the data. This reduced-form spillover captures amplification effects from very high destruction rates that might force viable firms to exit, for example, due to disruptions in the production network and a generalized contraction in credit supply. Armed with the calibrated model, we perform counterfactual scenarios depending on the severity of the shock to firm's outcomes. We find that when the shock is mild and firm destruction rates at impact are similar to those observed during the Global Financial Crisis (GFC), TFP growth increases, and the recovery is faster. However, when the shock is severe and firm exit is well above that of the GFC, TFP growth decreases, since high-efficiency firms are forced out of the market, which makes the recovery much slower. [ABSTRACT FROM AUTHOR]

The physical condition of an occupant's home represents a significant factor in determining the dweller's overall quality of life. This paper provides a statistical framework for measuring housing quality in an urban area through a standardized index. This index is constructed using principal component analysis, incorporating demographic, geographic, and economic factors from the New York City Housing and Vacancy Survey. This metric allows for investigating differences in housing quality based upon ownership status. Analysis of the index demonstrates that renters face more housing quality issues than owners. Several of the index's input variables driving these differences were found to exhibit varying effects on housing quality over time, possibly due to events such as the 2008 financial crisis. Implementing this novel statistical framework, housing quality indices can be constructed for other cities to examine housing disparities and inform policies aimed at improving quality of life for urban residents. [ABSTRACT FROM AUTHOR]

This paper studies the causes of movements in inflation and output in Switzerland over 160 years between 1855 and 2015. Aggregate supply and demand shocks are identified in a structural VAR, and their evolution and effect on prices and output are discussed. Shocks to the Swiss economy have generally, although not uniformly, declined in magnitude over the sample period. The World Wars, the deflation of the 1920s and the Great Depression represented much larger shocks than either of 1970s break-up of Bretton Woods and move to floating exchange rates or the Global Financial Crisis. [ABSTRACT FROM AUTHOR]

The recent home bias is primarily related to the equity bias as measured by the international capital asset pricing model (CAPM); this measure has declined over the past two decades amid financial globalization, but remains high in most developed countries. The key to understanding this puzzling phenomenon lies in how accurately this indicator can be predicted. In this paper, we propose to use the savings retention coefficient estimated by the Feldstein–Horioka (F–H) regression as a cross-country measure of home bias. We re-estimate the savings retention coefficient based on an estimation model in which the FH regression is embedded in the model derived from Tobin's q-theory of saddle-road dynamics of investment under convex adjustment costs. We then use dynamic panel estimation to estimate the new measure in OECD countries. The main empirical results are as follows. The new measure of home country bias, such as the equity bias measure, declined steadily until 2008, but recovered to the level of the 60 s and 70 s after the 2008 financial crisis. Interestingly, people expected home country bias to be very high after the financial crisis, but in fact it simply returned to its previous level. [ABSTRACT FROM AUTHOR]

This paper analyses the volatility transmission between European Global Systemically Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model is applied to determine the dynamic correlation between returns of Europe's GSIBs and the world's most prominent measure of market "fear", the CBOE Volatility Index (VIX). The results identify a higher negative co-relationship between the VIX and GSIB returns during the COVID-19 period compared with the Global Financial Crisis (GFC), with one-day lagged changes in the VIX negatively Granger-causing bank returns. The asymmetric impact of changes in implied volatility is examined by quantile regressions, with the findings showing that in the lower quartile–where extreme negative bank returns are present–jumps in the VIX are highly significant. This effect is more pronounced during COVID-19 than during the GFC. Additional robustness analysis shows that these findings are consistent during the periods of the Swine Flu and Zika virus epidemics. [ABSTRACT FROM AUTHOR]

In the aftermath of the global financial crisis and ongoing COVID-19 pandemic, investors face challenges in understanding price dynamics across assets. This paper explores the performance of the various type of machine learning algorithms (MLAs) to predict mid-price movement for Bitcoin futures prices. We use high-frequency intraday data to evaluate the relative forecasting performances across various time frequencies, ranging between 5 and 60-min. Our findings show that the average classification accuracy for five out of the six MLAs is consistently above the 50% threshold, indicating that MLAs outperform benchmark models such as ARIMA and random walk in forecasting Bitcoin futures prices. This highlights the importance and relevance of MLAs to produce accurate forecasts for bitcoin futures prices during the COVID-19 turmoil. [ABSTRACT FROM AUTHOR]

The objective of the paper is to examine the asymmetric relationships between ICT, globalization, and human development in India by analysing the annual data from 1991 to 2019 through the non-linear autoregressive distributed lag (NARDL) model. The result shows that positive (negative) change in globalization leads to a decline (increase) in human development in the long run. Further, a positive change in mobile density increases human development in the long run. A decline in internet density has a negative impact on human development in the long run. In the short run, a positive shock in globalization with one lag has a positive impact on human development. Moreover, a previous year positive shock in internet density has a positive effect on human development while the previous 2 years positive shock in internet density has a negative effect on human development in the short run. A negative shock in internet density with lag one has a negative effect on human development while with lag two it has a positive effect on human development. It is also found that the global financial crisis of 2008 has a negative impact on human development. Thus, it is suggested that India has to promote both globalization and ICT judiciously and consciously in order to improve human development. [ABSTRACT FROM AUTHOR]

In this paper we provide a stock price model that explicitly incorporates credit risk, under a stochastic optimal control system. The stock price model also incorporates the managerial control of credit risk through a control policy in the stochastic system. We provide explicit conditions on the existence of optimal feedback controls for the stock price model with credit risk. We prove the continuity of the value function, and then prove the dynamic programming principle for our system. Finally, we prove the Viscosity Solution of the Hamilton–Jacobi–Bellman equation. This paper is particularly relevant to industry, as the impact of credit risk upon stock prices has been prominent since the commencement of the Global Financial Crisis. [ABSTRACT FROM AUTHOR]

We analyse the economic conditions (the "shocks") behind currency movements and show how that analysis can help address a range of questions, focussing on exchange rate pass-through to prices. We build on a methodology previously developed for the UK and adapt this framework so that it can be applied to a diverse sample of countries using widely available data. The paper provides three examples of how this enriched methodology can be used to provide insights into pass-through and other questions. First, it shows that exchange rate movements caused by monetary policy shocks consistently correspond to significantly higher pass-through than those caused by demand shocks in a cross-section of countries, confirming earlier results for the UK. Second, it shows that the underlying shocks (especially monetary policy shocks) are particularly important for understanding the time-series dimension of pass-through, while the standard structural variables highlighted in the previous literature are most important for the cross-section dimension. Finally, the paper explores how the methodology can be used to shed light on the effects of monetary policy and the debate on "currency wars": it shows that the role of monetary policy shocks in driving the exchange rate has increased moderately since the global financial crisis in advanced economies. [ABSTRACT FROM AUTHOR]

This paper investigates the role of nuclear energy in promoting ecological sustainability in India, focusing on three ecological indicators: ecological footprint (EF), CO2 emissions (CO2), and load capacity factor (LF). In addition to nuclear energy, the study considers the influence of gas consumption and other drivers of ecological sustainability using data spanning from 1970 to 2018. The analysis also takes into account the impact of the 2008 global financial crisis on the model, employing the autoregressive distributed lag (ARDL) and frequency domain causality approaches to assess the relationships. Unlike previous studies, this research evaluates both the Environmental Kuznets Curve (EKC) and load capacity curve (LCC) hypotheses. The ARDL results support the validity of both the EKC and LCC hypotheses in the Indian context. Furthermore, the findings reveal that nuclear energy and human capital contribute positively to ecological quality, while gas consumption and economic growth have a negative impact on ecological sustainability. The study also highlights the increasing effect of the 2008 global financial crisis on ecological sustainability. Additionally, the causality analysis demonstrates that nuclear energy, human capital, gas consumption, and economic growth can serve as predictors of long-term ecological sustainability in India. Based on these findings, the research presents policy recommendations that can guide efforts towards achieving SDGs 7 and 13. [ABSTRACT FROM AUTHOR]

An introduction is presented in which the editor discusses topics including job creation during the 2008 global financial crisis, migration by Polish employees and monetary policy issues during the crisis discussed at the 12th Annual Conference of European Economics and Finance Society.

This paper discusses the development of international flow of funds accounts; it compiles and analyzes such accounts with a focus on the global financial crisis. For this purpose, we compile from-whom-to-whom financial stock tables for Japan, Korea, the United States, and China and combine these tables to generate a four-country international from-whom-to-whom financial stock table. Input–output analyses reveal that nonfinancial corporations in the four countries have the largest liability power-of-dispersion and that the Japanese government's liability power-of-dispersion is large. In contrast, the financial institution sector in Japan has the largest asset power-of-dispersion. In the future, the table could be expanded to include other major Asia–Pacific countries and linked to Euro-area from-whom-to-whom financial stock tables to provide a global from-whom-to-whom financial stock table. [ABSTRACT FROM AUTHOR]

This paper examines the performance of Chinese commercial banks before, during and after the 2007–2008 global financial crisis and China's 4 trillion renminbi stimulus plan during 2008–2010. Fully nonparametric methods are used to estimate technical efficiencies. Recently-developed statistical results are used to test for changes in efficiencies as well as productivity over time, and to test for changes in technology over time. We also test for differences in efficiency and productivity between big and small banks, and between domestic and foreign banks. We find evidence of non-convexity of banks' production set. Our results suggest that technical efficiency declined at the start of the global financial crisis and again during 2011–2012 after enactment of the stimulus plan. Although efficiency recovered somewhat during 2013–2014, China's banks ended with lower technical efficiency on average in 2014 than in 2007. We find that productivity declined during 2008–2009, increased during 2013–2014, but as with efficiency ended lower on average in 2014 than in 2007. We find compelling evidence that big banks were more efficient than small banks throughout 2007–2014, and in most years also were more productive. Finally, domestic banks were on average more efficient than foreign banks in 2007, but foreign banks were more efficient than domestic banks in 2014. Similarly, foreign banks were on average more productive than domestic banks in 2007, but less productive than domestic banks in 2012–2014. [ABSTRACT FROM AUTHOR]

Scholars have long investigated the organizational antecedents of resilience, but less is known about CEO-level antecedents. This is surprising, since upper echelons research suggests that a CEO influences major firm decisions. Addressing this gap in our knowledge, we suggest that a CEO prepares for and adjusts to unexpected events in the environment on the basis of the individual future temporal depth (FTD). It reflects the temporal distance into the future that a CEO usually takes into consideration when contemplating future events. Our study of CEOs of 462 S&P500 firms during the Global Financial Crisis and the COVID-19 pandemic shows that a CEO's longer FTD is associated with less severe economic losses but with a longer recovery time from adversity. If such a CEO can draw on a functionally diverse TMT, the losses are less severe, while prior organizational crisis experience reduces the recovery time. Our paper contributes to organizational resilience research by uncovering its cognitive underpinnings and offering a contextual learning perspective on organizational resilience. We also contribute to upper echelons research by unveiling a CEO's role in preparing for and adjusting to adversity. [ABSTRACT FROM AUTHOR]

Recently, financial crisis occurred frequently, such as Asian crisis, sub-prime loan crisis and so on. And, financial contagion behavior analysis is an important subject in the field of international finance. This paper analyzes the financial contagion behavior of US subprime crisis and describes the co-movement behavior between US stock index return and the stock index returns of tested countries by complex network approach. The co-movement modes are defined by a coarse graining procedure, and then by weighted complex network models and evolutionary models transformation characteristics between the modes are analyzed. In order to analyze the sub-prime loan crisis contagion from US to other countries, we selected three main stock market indexes (China, Japan and Germany), S&P 500 index to present an empirical analysis, and the stock market index data is from 2006.1.1 to 2009.3.31. To analyze the contagion effect of the sub-prime crisis, the data is divided into three segments to be analyzed based on complex network approach. The empirical result shows that the co-movement modes of the S&P 500 index and the stock indexes of other countries are clustered around a few critical modes during the evolution. The co-movement modes have the characteristic of grouping, and the conversion of the co-movement modes requires an average of 3-5 days. This paper confirms the sub-prime crisis contagion behavior by comparing the parameters including degree, clustering coefficient and betweenness centrality in three stages. This research may provide further information between S&P 500 index and other stock indexes for the co-movement. More importantly, a new approach is provided for testing the financial contagion effect in this paper. [ABSTRACT FROM AUTHOR]

The cohesion policy of the European Union has become its primary instrument promoting development in the peripheral member states. The enduring consequences of the 2007-2008 crisis and the economic governance agenda requiring fiscal discipline from the member states have raised the policy’s significance further. However, similar economic inequalities characterize the EU nowadays as several decades ago. The cohesion policy is by no means alone responsible for this, but the reasons for its ambiguous performance deserve further scrutiny. Empirical studies explain variation in fund performance with domestic institutional quality and absorption capacity, but the member states’ fund spending strategies have not been addressed so far. This is puzzling because they are important determinants of the economic effects of EU funds. The paper fills this gap by investigating the spending strategies of the Southern and the Eastern members in two recent programming cycles (2007-2013 and 2014-2020). Assessed on five expenditure categories, the paper reveals that physical infrastructure investments enjoyed priority over long-term growth-generating R&D and human capital projects and that the allocation of EU funds did not reflect domestic development needs. [ABSTRACT FROM AUTHOR]

This paper documents the evolution of international financial integration since the global financial crisis using an updated dataset on external assets and liabilities, covering 212 economies for the period 1970-2015. It finds that the growth in cross-border positions in relation to world GDP has come to a halt. This reflects much weaker capital flows to and from advanced economies, with diminished cross-border banking activity, and an increase in the weight of emerging economies in global GDP, as these economies have lower external assets and liabilities than advanced economies. Cross-border FDI positions have continued to expand, unlike positions in portfolio instruments and other investment. This expansion reflects primarily positions vis-à-vis financial centers, suggesting that the complexity of the corporate structure of large multinational corporations is playing an important role. The paper also explores the cross-country drivers of foreign ownership of domestic debt securities, highlighting in particular the role of the euro debt crisis in explaining its evolution. [ABSTRACT FROM AUTHOR]

This paper examines the effects of the interaction between the oil market and measures of global liquidity on the Brazilian real against the US dollar, using an SVAR framework. The results show that approximately 15% of the variance of the real exchange rate is associated with oil-specific demand shocks in the long run. Supply and aggregate demand shocks are less important. The recovery of the Brazilian currency in the aftermath of the global financial crisis is more related to global liquidity than oil prices. Oil price changes affect the interest rate spread, which puts further pressure on the real exchange rate. Our results shed light on the impact of oil price shocks on the Brazilian economy by providing important insights into the foreign exchange policy in Brazil. [ABSTRACT FROM AUTHOR]

U.S. money market mutual funds (MMFs) are an important source of dollar funding for global financial institutions, particularly those headquartered outside the United States. MMFs proved to be a source of considerable instability during the financial crisis of 2007-09, resulting in extraordinary government support to help stabilize the funding of global financial institutions. In light of the problems that emerged during the crisis, a number of MMF reforms have been proposed, which are analyzed in this paper. The paper assumes that the main goal of MMF reform is safeguarding global financial stability. In light of this goal, reforms should reduce the ex ante incentives for MMFs to take excessive risk and increase the ex post resilience of MMFs to system-wide runs. The analysis suggests that requiring MMFs to have subordinated capital buffers could generate significant financial stability benefits. Subordinated capital provides MMFs with loss absorption capacity, lowering the probability that an MMF suffers losses large enough to trigger a run, and reduces incentives to take excessive risks. Other reform alternatives based on market forces, such as converting MMFs to a floating net asset value, may be less effective in protecting financial stability. The analysis sheds light on the fundamental tensions inherent in regulating the shadow banking system. [ABSTRACT FROM AUTHOR]

This paper applies the meta-frontier Data Envelopment Analysis and the main concepts of convergence from the economic growth literature (β-convergence and σ-convergence) to analyze integration and convergence both in efficiency and in technology gap of European Union (EU) insurance markets. We evaluate 10 EU life insurance markets over the 17-year-period 1998–2014. Results show convergence in cost/revenue efficiency among major EU life insurance markets during the sample period. These findings indicate that the least efficient countries in 1998 have shown a higher improvement in cost/revenue efficiency than the most efficient countries in the same year as well as that the dispersion of the mean efficiency scores among EU life insurance markets decreased over the sample period. We also find convergence in cost/revenue technology gap among these markets, suggesting that they become more technologically homogeneous during the sample period. However, results show that the global financial crisis has led to a slowdown in the progress of integration and convergence in efficiency and technology gap of EU life insurance markets in terms of cost efficiency but not in terms of revenue efficiency. [ABSTRACT FROM AUTHOR]

Financial models are based on the standard assumptions of frictionless markets, complete information, no transaction costs and no taxes and borrowing and short selling without restrictions. Short-selling bans around the world after the global financial crisis and in several exchanges during the COVID 19 period, become more and more important. This paper bridges the gap by providing for the first time in the literature a model that accounting explicitly and simultaneously for inflation, information costs and short sales in the portfolio performance with regime switching. Our model can be used by portfolio managers to assess the impact of these market imperfections on portfolio decisions. [ABSTRACT FROM AUTHOR]

Islamic indices encompass different fundamental principles to those held by conventional ones, which directs attention onto comparative financial performance. This paper offers a comprehensive performance comparison between Islamic indices and conventional indices, based on four main markets: worldwide, the US, Europe and Asia–Pacific for the period of 2007 and 2017 through financial ratio comparison and also the CAPM-EGARCH model. The main finding shows that Islamic indices yield higher average returns and lower risks during the 2007–2009 and 2013–2017 periods for all four markets, compared with respective conventional markets. During 2009–2013 period, the comparison proves inconclusive, since Islamic indices demonstrate better performance in European and Asia–Pacific markets, while conventional indices operate at an enhanced level within other markets. Overall, Islamic indices outperformed conventional indices during the global financial crisis period (2007–2009) and the latter post-crisis phase (2013–2017), especially in the European and Asia–Pacific markets. [ABSTRACT FROM AUTHOR]

This paper analyzes efficiency and profitability in the Swiss banking sector over the period 1997–2019. We find strong evidence for scale economies: for most banks in the sample, efficiency and profitability increase with bank size. Using an instrumental variables strategy for a subset of geographically restrained banks, we find that the effect of size on efficiency and profitability is likely causal. Scale economies have been more pronounced since 2010 than in the years prior to the global financial crisis. There is little evidence for scale economies for the largest (systemically important) banks; their relatively lower efficiency and lower profitability appear driven by certain aspects of their business model. Our results further indicate that good capitalization and high efficiency and profitability are compatible. [ABSTRACT FROM AUTHOR]

This paper adds to the existing body of literature that explores the effect of the Global Financial Crisis of 2007–2009 on the countries of the former Soviet bloc. It traces differences in the impact of the crisis, as measured by the Country Risk and a newly constructed Cumulative Crisis Index, to the initial conditions. The regression analysis suggests that building a market-based system and opening the economies to the world's financial system made some transition economies particularly vulnerable to the crisis. The empirical results also indicate that countries with more favorable initial conditions prior to the crisis (greater ethnic homogeneity, lower Country Risk and lower real gross domestic product) and a shorter duration of the socialist regime prior to the transition were more likely to exhibit resiliency during the global downturn. [ABSTRACT FROM AUTHOR]

This short theoretical paper elucidates a plausible theory about the Global Financial Crisis and the role of senior financial corporate directors in that crisis. The paper presents a theory of the Global Financial Crisis which argues that psychopaths working in corporations and in financial corporations, in particular, have had a major part in causing the crisis. This paper is thus a very short theoretical paper but is one that may be very important to the future of capitalism because it discusses significant ways in which Corporate Psychopaths may have acted recently, to the detriment of many. Further research into this theory is called for. [ABSTRACT FROM AUTHOR]

This paper constructs and uses the global input–output (GIO) table with 35 industries, 29 endogenous countries and 59 exogenous countries, and develops new indices to measure the degree of shock transmission in terms of intermediate goods and value-added embodied in production induced by negative global demand shock to finished goods. After the Global Financial Crisis (GFC) in 2008, China did not experience a large decline in economic growth, even though China's gross exports fell most severely among Asian countries. In contrast, a sharp decrease in Japanese GDP in 2009 is a consequence of a substantial decline in finished goods exports, especially in the transport equipment industry. In Japan, the shock effect tends to be absorbed in its domestic sector and is not transmitted to other foreign countries. An asymmetric pattern of shock transmission between Japan and other Asian countries can explain why Japan was more affected by GFC than other Asian countries. [ABSTRACT FROM AUTHOR]

In this paper we analyze the effect of shocks in production networks. Our work is based on a rich dataset that contains information about companies from Slovenia right after the financial crisis of 2008. The processed data spans for 8 years and covers the transaction history as well as performance indicators and various metadata of the companies. We define sales shocks at different levels, and identify companies impacted by them. Next we investigate stress, the potential immediate upstream and downstream impact of a shock within the production network. We base our main findings on a matched pairs analysis of stressed companies. We find that both shock and stress are associated with reporting bankruptcy in the future and that stress foremost impacts the future sales of customers. Furthermore, we find evidence that stress not only results in performance losses but the reconfiguration of the production network as well. We show that stressed companies actively seek for new trading partners, and that these new links often share the industry of the shocked company. These results suggest that both stressed customers and suppliers react quickly to stress and adjust their trading relationships. [ABSTRACT FROM AUTHOR]

After the outbreak of the global financial crisis, some governments in the EU experienced serious fiscal problems, while others were less affected. This paper seeks to shed light on the divergent fiscal performance in the EU countries before and after the outbreak of the crisis. Fiscal reaction functions of the primary balance are estimated for different groups of EU countries using quarterly data for the pre-crisis period 2001-2008 and for the crisis period 2009-2014. The pre-crisis estimations reveal some differences in persistence and cyclical reaction between different groups of countries, but in most cases little feedback from the debt stock to the primary balance. The fiscal reaction functions of the countries that eventually developed fiscal problems do not stand out. The estimations on data from the crisis period show largely unchanged persistence and counter-cyclicality but much more feedback from the debt stock, and this applies both to the crisis countries and those less affected. In spite of large deficits and accumulation of debt, the underlying fiscal reaction has become more prudent after the outbreak of the European debt crisis. [ABSTRACT FROM AUTHOR]

This paper studies the bivariate HEAVY system of volatility regression equations and its various extensions that are directly applicable to the day-to-day business treasury operations of trading in foreign exchange and commodities, investing in bond and stock markets, hedging out market risk, and capital budgeting. We enrich the HEAVY framework with powers, asymmetries, and long memory that improve its forecasting accuracy significantly. Other findings are as follows. First, hyperbolic memory fits the realized measure better, whereas fractional integration is more suitable for the powered returns. Second, the structural breaks applied to the bivariate system capture the time-varying behavior of the parameters, in particular during and after the global financial crisis of 2007/2008. [ABSTRACT FROM AUTHOR]

In recent years, researchers have increasingly studied the association between the stock market and economic policy uncertainty (EPU). To have more profound knowledge, this paper investigates the evolution of the mean spillover effects between EPU and BRICS stock markets by employing both the multivariate DECO-GARCH model proposed by Engle and Kelly (J Bus Econ Stat 30(2):212–228, 2012) and the spillover index of Diebold and Yilmaz (Int J Forecast 26(1):57–66, 2012). The results uncover that the average return equicorrelation between the BRICS stock indices and EPU is positive. In addition, there is a bidirectional return spillover between EPU and BRICS stock returns in the aftermath of the recent European debt crises and the global financial crisis. Overall, our results reveal the existence of the short term, the pass-through impact of EPU via stock price fluctuation in BRICS countries. These findings might provide significant implications for portfolio managers, investors, and government agencies. [ABSTRACT FROM AUTHOR]

The paper examines the determinants of cross-border interbank and intragroup funding across crisis and noncrisis periods. Using a previously unexplored data set spanning 25 banking systems, it finds that aggregate intragroup funding is unrelated to fluctuations in either global or local macroeconomic fluctuations, while flightier interbank funding responds procyclically to both worldwide and domestic economic trends. This feature of the data means intragroup funding remains comparatively stable when global conditions deteriorate-even during the global financial crisis. During 'normal' times the paper finds that intragroup funding responds countercyclically to global interest rate changes, with parent banks using affiliates to offset tighter global funding conditions. More generally, it finds that intragroup funding has a closer relationship with domestic banking system profitability and solvency, being used to support banks in weaker banking systems during the global financial crisis. [ABSTRACT FROM AUTHOR]

This paper asks why peripheral European countries have been particularly vulnerable to housing and mortgage booms in recent decades; how these booms have shaped their exposure to the global financial crisis (GFC), and how the GFC has affected peripheral housing finance. To answer these questions, it explores the interaction between European processes of financial integration and domestic housing (finance) policies in four peripheral countries. It argues that the EU framework for free movement of capital and financial service provision as well as the availability of cheap credit has induced a trajectory of housing financialization, which has taken two forms: funding from wholesale markets and direct penetration of foreign financial institutions. These two forms attest to a core-periphery relationship in housing financialization, whose hierarchical character came to the fore in the crisis. Peripheral European countries experienced sudden stops and reversals of capital flows, which badly affected their banking systems. Unable to solve the looming banking crises on their own, they had to turn to creditors to gain access to much needed capital. A combination of international conditionality and domestic policy responses, and the original level of mortgage debt result in different trajectories in housing finance after the crisis. [ABSTRACT FROM AUTHOR]

In this paper, we draw on the notions of breadth and depth of internationalization speed in an attempt to examine the performance implications for multinational enterprises (MNEs) that rapidly and concurrently internationalize in new and existing foreign markets. Specifically, we examine the organizational paradox which suggests that firms which grow internationally by concurrently expanding rapidly in both new foreign markets (breadth) and in foreign markets they currently operate (depth), are better off than firms which do not adopt such an approach. Since past research has not examined the interaction between the breadth and depth of MNE internationalization speed on firm performance, we contribute to the temporal dimension of the internationalization process by developing a novel, yet paradoxical approach. Our analysis is based on a longitudinal sample of the world's largest retail MNEs covering the period 2003–2012, which includes the 2008 financial crisis that had a significant effect on the global economy. We find that concurrent internationalization speed positively relates to firm performance during periods of stability. Further, we draw from the upper-echelons theory and find that the aforementioned relationship can be strengthened by the level of CEO international experience and CEO education. [ABSTRACT FROM AUTHOR]

This paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt. Based on this methodology, it introduces a data set for 24 major advanced economies that tracks sovereign debt holdings on a quarterly basis over 2004-11. The increased reliance on foreign investors by most sovereign borrowers may have helped reduce their borrowing costs, but it can imply higher future refinancing risks. Meanwhile, advanced economy banks' exposure to their own government debt has begun to increase after the global financial crisis, strengthening sovereign-bank linkages. [ABSTRACT FROM AUTHOR]

The paper investigates the importance of banks' business classification in shaping the risk profile of financial institutions on a global scale. We employ a rare-event logit model based on a state-of-the-art list of major global distress events from the global financial crisis. When clustering banks by their business strategies using a community detection approach, we show that (i) capital enhanced resilience only for traditional banks that were on average less capitalized than other banks; (ii) boosting ROE, usually associated with riskier exposures, improved resilience for stable funded and asset diversified banks; (iii) conversely, higher levels of ROA exacerbated banks' vulnerability when associated with concentrated (not-diversified) investment structures; (iv) size in terms of total assets contributed to instability only for wholesale-funded institutions due to their high levels of unstable funding. Liquidity, on the contrary, reduced the institution likelihood of being in distress, regardless of its business classification. Although our findings refer to the recent financial crisis, they provide evidence that a tailored risk monitoring based on a proper peer group identification can facilitate banks' distresses prediction. [ABSTRACT FROM AUTHOR]

This paper investigates the role of innovative activity and other micro determinants, on firms' investment behaviour. The empirical analysis is based on a large representative and cross-country comparative sample of manufacturing firms across seven European countries during the global financial crisis 2007–2009. It is argued that innovative activities, measured either by an input variable (R&D) or by an output variable (innovative products sales), may boost additional investment in equipment and machinery. Given the significant share of firms which did not carry out any investment, a tobit procedure is adopted. Successively, in order to account for the potential simultaneity between investment decision and innovation activity variables, a seemingly unrelated regression equation methodology is applied. The results reveal that both R&D and innovative sales positively affect investment decisions, with the former having a stronger impact on investments, compared to the latter. The analysis also suggests that, after checking for a firm's characteristics, firms in Germany and Spain are more likely to invest than those in France, Italy, and the UK. [ABSTRACT FROM AUTHOR]

The literature on the political economy of remittances largely agrees that as households receive income from migrants abroad they will be less dependent on government goods and patronage. The underlying assumption is that remittance inflows are stable and increasing. The global economic recession of 2008 and 2009 led to major declines in remittance inflows. This paper asks two different but related questions: (1) Do remittance recipients support redistribution? and (2) Do preferences for redistribution change following a negative shock to remittances? Using three waves of survey data, I find that remittance recipients diverge from non-recipients in favoring redistribution following the sudden decline in remittances. I test for possible mechanisms such as dependence on remittances and relative income levels to explain this change in preferences. I find that remittance recipients who are more dependent on remittances or not inclined to emigrate are more likely to favor redistribution following the negative shock. [ABSTRACT FROM AUTHOR]

This paper investigates how much of the current account adjustment after the global financial crisis in Spain can be explained by cyclical factors. For this purpose, we extend the IMF's external balance assessment methodology to allow for country-specific slopes and intercepts. The good fit of these cross-country regressions implies negligible residuals for most countries, and, as a result, the positive analysis of current account decompositions provides a more informative assessment of the external balance drivers. According to our findings, around 60% of the 11 pp. adjustment of the Spanish external imbalance over the years 2008–2015 can be explained by transitory factors such as the output gap, the oil balance, and the financial cycle—a share that diminished down to 50% during the more recent recovery period. The remaining adjustment of the Spanish external balance is explained by factors such as the cyclically adjusted fiscal consolidation, population ageing, lower growth expectations, or competitiveness gains, which can all be considered as more permanent phenomena. [ABSTRACT FROM AUTHOR]

This paper revisits the claim that flexible exchange rates facilitate external adjustment. While previous studies have used exchange rate regime as a proxy for exchange rate flexibility, in this study there is evidence of ARCH effects in exchange rate, and thus GARCH models are employed to estimate volatility. A dynamic panel data model is then specified, and the Arellano-Bond estimator and the Blundell-Bond estimator are employed to estimate the effect of exchange rate flexibility on the speed of adjustment of current account in a panel of 28 emerging and developing economies. There is robust evidence that flexible exchange rates indeed facilitate smoother adjustment of current account imbalances. [ABSTRACT FROM AUTHOR]

The paper concentrates on the issue of currency convertibility in the context of Chinese strategy of the RMB internationalization. It argues that the motive for that strategy was ignited by China's dissatisfaction with the long lasting unstable international monetary system. Recent global financial crisis intensified China's urge to get rid of 'dollar trap' and look for a diversified international reserve currency system where the Chinese yuan could take a place. The paper investigates the step-by-step approach from the trade settlement to more comprehensive policy measures. It also emphasizes the importance of domestic financial reforms for the RMB full convertibility, including flexible exchange rate, market determined interest rate and deepened domestic financial market. [ABSTRACT FROM AUTHOR]

In 2010, EU adopted a new growth strategy which includes three growth priorities and five headline targets to be reached by 2020. The aim of this paper is to investigate the current performance of the EU member and candidate states in achieving these growth priorities and the overall strategy target by allocating the headline targets into the priorities and the priorities into the strategy by the use of a composite indicator methodology. The paper determines how far away each member and candidate state is from the targeted levels of the priorities and the strategy by making a distinction between EU 15 and relatively new member states as well. The developed composite indices enable the observation of the performances of the member and candidate states in a single indicator for the overall strategy and each growth priority. The results of the strategy index and three growth priority indices show that Nordic states possess the highest index scores already having reached many of the targets; many new member states performed as good as EU 15 and some EU 15 states are placed at the bottom of the ranking with quite poor performance in reaching the EU 2020 strategy. [ABSTRACT FROM AUTHOR]

This paper examines the financial crisis of 2007/9 and the downturn in the U.S. We argue that effective demand over the 2001-2006 expansion was maintained by credit. The role of credit in a Vector Error Correction Model and Granger-causality between aggregate spending, credit, disposable income, and profits are examined. We show that credit itself is determined by factors outside the circular flow of income. The results raise new hypotheses about the crucial relationships in macroeconomics that sustain aggregate spending. We then compute the generalized impulse responses in the VECM to demonstrate the severity of the downturn and show that legislative changes that dismantled the restrictions placed on the financial sector and the consequent structural changes after 1980 enabled the growth of new debt instruments and credit. The overexpansion of credit when profits and house prices were declining in 2005/06 and informational asymmetries on the quality of credit and its sudden withdrawal in 2007 paralyzed the economy and led to the Great Recession. [ABSTRACT FROM AUTHOR]