Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by the hidden Markov Chain...

We examine the international transmission of liquidity shocks from multinational bank holding companies to their subsidiaries during the financial crisis of 2008. Our results demonstrate that a subsidiary's reduction in lending is strongly related to its parent bank's lending via the interbank...

Systemic banking crises have placed enormous pressure on national governments to intervene. The empirical literature, however, is inconclusive on what an optimal bailout program should look like to mitigate the negative consequences of government interventions in the banking sector. We find...