Due to the recent financial crisis, the interest in econometric models that allow to incorporate binary variables (such as the occurrence of a crisis) experienced a huge surge. This paper evaluates the performance of the Qual VAR, i.e. a VAR model including a latent variable that governs the...

This paper aims to examine whether the shaping of Greece’s sovereign yield spreads in the last two years (1/2010 – 11/2011) under extreme pressure from the financial markets was affected, inter alia, by the statements of political and institutional factors related to the Greek crisis. By...

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the...

Does local banking development stimulate firms' propensity to export? This is the question on which we try to shed light in this article. Indeed, the purpose of our paper is twofold. From a theoretical point of view we aim at demonstrating that in a country with an industrial structure...