Using a dynamic panel threshold model, we find a nonlinear effect of financial development on participation in the global value chains for 92 countries. The effect is positive below a threshold and turns negative above it. We provide evidence supporting our explanation that when a country’s...

Purpose – Bounce-back effect of stock market returns has been found empirically using different approaches. However, few paper explains the underlying mechanism. The paper aims to discuss these issues. Design/methodology/approach – This paper fills this gap and provides an explanation for...

This paper investigates the relationship between financial centrality and capital flow waves from a network perspective. Using the BIS CBS dataset on bilateral banking flows from 2000 Q1 through 2021 Q4, we construct several financial centrality measures. Then we discover that financial network...

This paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial markets cycle. The econometric analysis is based on a simple vector autoregression setup. Using quarterly data from 1970Q4 to 2008Q3, it turns out that the k-year VaR of French...