This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood of individual institutions financial distress as well...

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...

This study expands the empirical specification of Cerra and Saxena (2008), and allows short-termoutput growth regimes to be determined by globalization. Relying on a non-linear dynamic panelrepresentation, it reconciles the earlier results in the literature regarding the two oppositenarratives...

Commodity price booms, as those recorded in the last decade, may have a significant economic impact in small, commodity exporting, developing countries. Whether the impact on output is positive or negative is still unclear. It depends on various factors, notably on the impact that commodity...

In recent years, the Credit Rating Agencies (“CRAs”) have been in the eye of the storm. Some argue that CRA rating errors — symptomatized by rating inflation or deflation — originate in excessive competition. This paper argues that the low level of competition in credit rating is a...

What role does polyarchy (and thus increased democracy) play in aiding the development of an international financial centre? We find support for decades of theorising that some jurisdictions use autocracy (less polyarchy) to help grow out their financial centres. We look at the growth of these...