The high growth rate of mortgage debt in various emerging and developed economies has captured headlines following the financial crisis. In this paper, we investigate how mortgage debt impacts household consumption behavior and various components of household consumption. Utilizing a...

This paper aims at investigating the dynamic dependence and extreme risk comovement of oil price and exchange rates in seven oil-importing and seven oil-exporting countries. For this purpose, we use six representative time- varying copula models and four types of tail dependences to assess the...