This study uses the VAR-BEKK methodology to examine the relationship between equity returns and currency exposure for a sample of U.S., U.K. and Japanese banks and insurance firms during 2003-2011. The findings indicate that banks' equity returns are negatively related to changes in foreign...

We contribute to the current regulatory debate by examining the wealth and risk effects of the Dodd-Frank Act on U.S. financial institutions. We measure the effects of key legislative events of the Act by means of a multivariate regression model using the seemingly unrelated regression (SUR)...

The current study investigates the time-varying interest rate exposure of financial intermediaries (bank/insurance) across four major markets (i.e. U.S., UK, Japan and Europe) from October 2002 to December 2012. We use the two-factor term structure model to measure the changes in the level and...