In this article, we investigate the hypothesis of efficiency of central bank intervention policies within the current global financial crisis. We firstly discuss the major existing interventions of central banks around the world to improve liquidity, restore investor confidence and avoid a...

This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important...

This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important...

This paper tests a conditional International Asset Pricing Model (ICAPM) using an asymmetric multivariate GARCH specification and investigates evolutions of ex ante benefits from world market diversification. The model is estimated simultaneously for 8 markets: the world market, 4 developed...

The development of microfinance programs in Europe has increased due to the establishment of a large number of small businesses, increase in unemployment, high inflation rates and an impoverished population, which all constitute stimulating conditions of microfinance development. In addition,...

This paper is the introduction to the forthcoming book, Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications, Proceedings of Second International Symposium in Computational Economics and Finance. The conference was held in Tunis, Tunisia, March 15-17, 2012....

We use daily short-term interbank interest rates of France, the United Kingdom, and the United States to examine the dynamic links of international monetary markets from 2004 to 2009. Results from vector error-correction models and smooth-transition error-correction models show strong evidence...

This paper examines the wealth effects on consumption for the US, the UK and the Euro area using linear models and quantile regression approaches. We find that the elasticity of consumption with respect to aggregate wealth is largest for the UK, but housing wealth effects do not seem to be...

Within a nonlinear framework, this article studies the market integration hypothesis between the French and American stock markets, on a short- and long-term basis. We use two nonlinear Error Correction Models (ECM): the Exponential Switching Transition ECM (ESTECM) and the nonlinear...