We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in China. Although these measures show different patterns, our...

This paper analyzes the development of the banking sector in European transition countries. We find that, although bank assets increased during the 1990s, credit to the private sector remained relatively low. Foreign-owned banks have become major players in the financial system of these...

We analyze the effects of socially responsible investment and public abatement on environmental quality and the economy in a continuous-time dynamic growth model featuring optimizing households and firms. Environmental quality is modelled as a renewable resource. Consumers can invest in...

We analyze the effects of socially responsible investment and public abatement on environmental quality and the economy in a continuous-time dynamic growth model featuring optimizing households and firms. Environmental quality is modelled as a renewable resource. Consumers can invest in...

We present a model to test the null hypothesis that firms organize their corporate governancearrangements optimally given the constraints they face. Following the literature, the modelrejects the null if the conditional correlation between governance and performance issignificantly different...

This paper analyzes the development of the banking sector in European transition countries. We find that, although bank assets increased during the 1990s, credit to the private sector remained relatively low. Foreign-owned banks have become major players in the financial system of these...

We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...

This paper investigates (i) whether growth and profitability persist in banking firms, (ii) whether the level and volatility of growth and profitability are bank-size dependent, and (iii) the relationship between growth and profitability of a bank. Using a dynamic panel model estimated by GMM...

We examine the classical Gibrat's law or Law of Proportionate Effects (LPE) using Blundel and Bond (1998)'s two-step Generalized Method of Moments dynamic panel model for a mixed sample of more than 1500 banks in 29 OECD and 36 non-OECD countries. Our analysis show that size distribution of...