The authors address the issue of foreign exchange risk and its macroeconomic determinants in several Central European (CE) economies. The joint distribution of excess returns in the foreign exchange market and observable country-specific macroeconomic factors is modeled using the stochastic...

This study provides evidence on the level of integration within the European Monetary Union mortgage markets between 1995 and 2008. The relationships between national mortgage markets are analyzed and an assessment is made of the extent to which these co-integrate with one another and with the...

This paper uses the abolition of children’s doctor-visit co-payments effective since April 2009 as a natural experiment to estimate the effect of those co-payments on the number of doctor visits made by children. As the policy change involved only children, we are able to use the adult part of...

This study examines the impact of credit and market risks in the wake of the 2008 financial crisis. In the seven-year period before the collapse of the housing market in 2007, credit risk premiums rose steadily in an apparent reflection of the mounting household debt. However, the equity market...

The interpretation of the Fama and French SMB and HML factors (Fama and French, 1993) as risk factors is an unresolved question that has carried a lot of controversy in the asset-pricing literature and it is far from being solved. The aim of this study is to contribute to the understanding of...

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price assets or to determine the cost of capital. We...

Growing shares of health care sectors in national income in the OECD countries have been observed for decades. Rising demand for health care coupled with medical advances may generate a significant burden on public finance in the ageing Europe in the coming years. We explore European public...

In this paper, we perform Granger causality analysis on stock market indices from several Asian, European, and U.S. markets. Using daily data, we point out the potential problems caused by the presence of nonsynchronous trading effects. We deal with two kinds of nonsynchronicity – one induced...

The authors analyze commercial banks’ profitability (return on equity, ROE) at different levels of creditor rights and an aggregate score of information sharing in terms of credit bureaus. After controlling for bank size and some macroeconomic variables, the results indicate that profitability...

In this paper the authors propose a new approach to the assessment of excessive risk-taking by a banking sector. They use the portfolio approach to assess the optimal risk-return combination of a bank’s portfolio, based on data for 32 categories of loans. It provides a benchmark for the...