All Outputs (25)

The impact of COVID-19 related policy interventions on international systemic risk (2023)
Journal Article

We examine the relationship between systemic risk, its traditional financial and economic determinants, and the COVID-19 related policy interventions in an international framework. The COVID-19 outbreak period represents for us an ideal hub to test t... Read More about The impact of COVID-19 related policy interventions on international systemic risk.

ESG complementarities in the US economy (2022)
Journal Article

This paper investigates ESG from the perspective of changes in input elasticities of substitution and complementarity. Rather than compute these elasticities from the cost function, we compute them from the Input Distance Function (IDF). Our data are... Read More about ESG complementarities in the US economy.

Herding by corporates in the US and the Eurozone through different market conditions (2020)
Journal Article

In this study, we test the herding towards a market consensus in the main financial industries of the United States and the Eurozone equity markets. We find that herding is more likely to be present in high quantiles that reflects turbulent market co... Read More about Herding by corporates in the US and the Eurozone through different market conditions.

Monitoring market participants, externals and financial transactions in a global financial stability environment (2020)
Journal Article

The existing economic and financial literature has documented the importance of informed trades, volatility spreads and the stock market response to key financial events that can threaten domestic and global financial stability. After the Global Fina... Read More about Monitoring market participants, externals and financial transactions in a global financial stability environment.

Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk (2020)
Journal Article

This study analyses overratings and underratings in sovereign credit risk. The analysis uses partial frontier methods, a technique rarely applied in this literature. By combining a robust variant of the free disposal hull (FDH) estimator, we measure... Read More about Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk.

Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants (2020)
Journal Article

The worldwide financial crisis (WFC) of 2007-09 has shown the importance of cross-sectional dependencies of assets, credit exposures and volatility, which can threaten domestic and global financial stability through cascades in financial networks. A... Read More about Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants.

Bankruptcy prediction with financial systemic risk (2019)
Journal Article

Financial systemic risk-defined as the risk of collapse of an entire financial system vis-à-vis any one individual financial institution-is making inroads into academic research in the aftermath of the late 2000s Global Financial Crisis. We shed ligh... Read More about Bankruptcy prediction with financial systemic risk.

Modeling Price Volatility based on a Genetic Programming Approach (2019)
Journal Article

Business profitability is highly dependent on risk management strategies to hedge future cash flow uncertainty. Commodity price shocks and fluctuations are key risks for companies with global supply chains. The purpose of this paper is to show how Ar... Read More about Modeling Price Volatility based on a Genetic Programming Approach.

Derivatives pricing with liquidity risk (2019)
Journal Article

This paper develops a novel, general derivative pricing model which introduces a liquidity risk factor. The model variants we outline offer a sufficient degree of flexibility so as to enable the valuation of various types of derivative classes includ... Read More about Derivatives pricing with liquidity risk.

Dividend policy of Indonesian listed firms: the role of families and the state (2018)
Journal Article

We investigate factors influencing the dividend policy of the listed Indonesian firms by focusing on agency costs and ownership structure. Our study finds that firms with higher conflicts of interest among managers and shareholders pay lower dividend... Read More about Dividend policy of Indonesian listed firms: the role of families and the state.

Institutions, governance and finance in a globally connected environment (2018)
Journal Article

Board independence, corruption and innovation: some evidence on UK subsidiaries (2018)
Journal Article

In this paper we test the hypothesis that independent boards can insulate a company from the detrimental impact of corruption on its performance (proxied by innovation). To this purpose, we have estimated an innovation production function that links... Read More about Board independence, corruption and innovation: some evidence on UK subsidiaries.

World productivity growth: a model averaging approach (2017)
Journal Article

Policy makers and the economic researchers who provide them estimates of economic activity need to have an informative and scientifically-based method to develop a consensus estimate for the most basic of the productivity measures, total factor produ... Read More about World productivity growth: a model averaging approach.

Corporate pension plans and investment choices: bargaining or conforming? (2017)
Journal Article

This paper investigates the impacts of defined-benefit (DB) pension plans on the corporate investment choices between diversifying and non-diversifying investments. We find a firm’s DB plan coverage is negatively associated with its propensity of mak... Read More about Corporate pension plans and investment choices: bargaining or conforming?.

Religiosity versus rationality: depositor behavior in Islamic and conventional banks (2017)
Journal Article

This study investigates the behavioral aspects of Islamic bank depositors in a dual banking system. By categorizing depositors into groups based on the amount of their deposited funds, we estimate the responses of these groups to interest rate change... Read More about Religiosity versus rationality: depositor behavior in Islamic and conventional banks.

Political connections, bailout in financial markets and firm value (2016)
Journal Article

The paper shows that politically motivated interventions in the financial market in the form of bailing out borrowing firms reduce banks’ incentives to gather valuable information about firms’ projects. This loss of information is a hidden cost which... Read More about Political connections, bailout in financial markets and firm value.

Measuring productivity and efficiency: a Kalman filter approach (2016)
Journal Article

In the Kalman filter setting, one can model the inefficiency term of the standard stochastic frontier composed error as an unobserved state. In this study a panel data version of the local level model is used for estimating time-varying efficiencies... Read More about Measuring productivity and efficiency: a Kalman filter approach.

The cost efficiency of water utilities: when does public ownership matter? (2016)
Journal Article

This study explores the impact of different ownership types on the efficiency of water utilities. Theories and evidence have shown a puzzling relationship between ownership and performance. Moreover, relatively recent contributions (Andrews et al. 20... Read More about The cost efficiency of water utilities: when does public ownership matter?.

Did the global financial crisis hit Africa? Insights from a multi-country firm level survey (2016)
Journal Article

In order to craft the most appropriate policy responses, it is imperative to identify the degree to which the firms in sub-Saharan Africa (SSA) were affected by the global financial crisis, despite the common perception amongst macro analysts that th... Read More about Did the global financial crisis hit Africa? Insights from a multi-country firm level survey.

The role of sovereign credit ratings in fiscal discipline (2016)
Journal Article

This paper investigates several aspects of the relationship between sovereign credit ratings and fiscal discipline. The analysis of over one thousand country–year observations for 93 countries during the 1999–2010 period reveals that a country’s debt... Read More about The role of sovereign credit ratings in fiscal discipline.