This study examines the nexus between sovereigns and banks during a crisis with a focus on the effects of PSI, the voluntary exchange program of Greek sovereign bonds with private sector involvement. The effectiveness of the program is evaluated through its impact on credit default swaps of 8...

This paper examines the changes in the interdependence between sovereign and bank credit risk, that were noticed, after the announcement of the voluntary exchange program of Greek bonds, with the participation of the private sector (Private Sector Involvement - PSI). More precisely, we...

Aim: A problem in efficiency and productivity studies in banking is that some of the input and output prices used in the estimation of cost, revenue and profit functions are proxies of questionable quality with obvious impact on the reliability of performance measures. We address this issue...

We use the ten years of experience in inflation-targeting in New Zealand since 1989 to test whether monetary policy appears to conform to the simple rules that have been recommended for it in the literature. Of the inflation targeting central banks, the Reserve Bank of New Zealand has both the...

This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this model to examine the explanatory...

We investigate the role of governance on performance and risk-taking for European banks focusing on board diversity and bank culture. We first examine the relationship between governance, performance and risk-taking employing a difference-in-difference approach centered around the 2012 EC...

This paper examines how retail petrol prices in seven Australia’s capital cities respond to changes in wholesale prices (measured by the terminal gate price (TPG) in each capital city) using dynamic panel cointegration analysis and an asymmetric error correction model. Our results show that in...

Ten years of inflation targeting in New Zealand is used to test whether monetary policy conforms to the simple rules that have been recommended in the literature. While a Taylor rule with the standard parameters used in the US describes New Zealand monetary policy quite well, the Reserve Bank...

This study examines the nexus between sovereigns and banks during a crisis with a focus on the effects of PSI, the voluntary exchange program of Greek sovereign bonds with private sector involvement. The effectiveness of the program is evaluated through its impact on credit default swaps of 8...