This theoretical model analyzes the impact of interbank credit market dynamics on the resilience of the financial system. Based on a stochastic model of interbank market credit flows, lending in the interbank market is restricted by the availability of liquidity. Following a shock...

Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...

Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...

We investigate whether credit rating agencies systematically follow each other's rating decisions. Therefore we rely on the rotation of rating analysts within credit rating agencies and their impact on the rating. Using this institutional setup we can disentangle causal herding behavior from...

This theoretical model analyzes the impact of interbank credit market dynamics on the resilience of the financial system. Based on a stochastic model of interbank market credit flows, lending in the interbank market is restricted by the availability of liquidity. Following a shock...

We investigate whether credit rating agencies systematically follow each other's rating decisions. Therefore we rely on the rotation of rating analysts within credit rating agencies and their impact on the rating. Using this institutional setup we can disentangle causal herding behavior from...

We use recently released bilateral locational banking statistics of the BIS to show the full circle of international tax evasion via tax havens. White-washed money from tax havens is withdrawn from banks in non-havens if an information treaty is signed. This complements the stylized fact of such...

The paper estimates the financial transmission between bond and equity markets within and between across the four largest global financial markets - the United States, the Euro area, Japan, and the United Kingdom. In a globalized world, where the complex transmission process across various...

This paper extends the stochastic dominance rules for normal mixture distributions derived by Levy and Kaplanski (2015). First, the portfolios under consideration are allowed to follow different regime-switching processes. Second, the results are extended from second- to fourth-order stochastic...

We propose a refined way of forecasting the equity premium. Our approach rests on the sum-of-parts approach which disaggregates the equity premium into four components. Each of these components is predicted separately, following the approach of Ferreira and Santa-Clara (2011). We extend the set...