We examine the informative value of the 2016 and 2018 supervisory EU stress tests on the basis of the bank stock and CDS abnormal returns they have caused. Our conclusions are based on results from event study analysis and from regressions on the determinants of bank stocks’ abnormal returns....

This paper re-examines the Cagan model of German hyperinflation during the 1920s under the twin hypotheses that the system contains variables that are I(2) and that a linear trend is required in the cointegrating relations. Using the recently developed I(2) cointegration analysis developed by...

In this paper we analyze the implications for the identification of common stochastic trends among stock price indices of using data transformed on a ”real dollar” basis. By applying a “general” VAR model where all the relevant variables (stock indices, consumer price indices and the...

This paper re-examines the long-run properties of the monetary exchange rate model in the presence of a parallel or black market for U.S. dollars in two Latin American countries under the twin hypotheses that the system contains variables that are I(2) and that a linear trend is required in the...

In a recent line of research the low interest-rate environment of the early to mid 2000s is viewed as an element that triggered increased risk-taking appetite of banks in search for yield. This paper uses approximately 18,000 annual observations on euro area banks over the period 2001-2008 and...

Using a number of theoretical considerations, we define distinct periods of anxiety for key economic agents that are involved in lending decisions; namely, consumers, CEOs, and banks. The main characteristic of anxious periods is that the perceptions and expectations about economic conditions...

This paper examines the short- and long-term relationships between seven Central Eastern European (CEE) stock markets and two developed stock markets, namely the German market and the US market. Application of the Gonzalo and Granger (1995) methodology indicates that the examined stock markets...

In a recent line of research the low interest-rate environment of the early to mid 2000s is viewed as an element that triggered increased risk-taking appetite of banks in search for yield. This paper uses approximately 7,000 annual observations on banks of the CEE countries over the period...