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The purpose of this paper is to study the evolution of financial contagion between Eurozone banks, observing the credit default swaps (CDSs) market during the period 2009–2017.

The authors use a dynamic spatial Durbin model that enables to explore the direct and indirect effects over the short and long run and the transmission channels of the contagion.

The results show how contagion emerges through physical and financial market links between banks. This finding implies that a bank can fail because people expect other related financial institutions to fail as well (self-fulfilling crisis). The study provides statistically significant evidence of the presence of credit risk spillovers in CDS markets. The findings show that equity market dynamics of “neighbouring” banks are important factors in risk transmission.

The research provides a new contribution to the analysis of EZ banking risk contagion, studying CDS spread determinants both under a temporal and spatial dimension. Considering the cross-dependence of credit spreads, the study allowed to verify the non-linearity between the probability of default of a debtor and the observed credit spreads (credit spread puzzle). The authors provide information on the transmission mechanism of contagion and, on the effects among the largest banks. In fact, through the study of short- and long-term impacts, direct and indirect, the paper classify banks of systemic importance according to their effect on the financial system.

This research paper aims to explore asymmetric market efficiency of the 13 Euro countries, i.e. Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherland, Portugal, Slovakia, Slovenia and Spain, concerning the period before global financial crisis (GFC), after GFC and period of COVID-19 pandemic.

Multifractal detrended fluctuation analysis (MF-DFA) is applied to examine the persistence and anti-persistency. It also discusses the random walk behavior hypothesis of these 13 countries non-stationary time series. Additionally, generalized Hurst exponents are applied to estimate the relative efficiency between short- and long-run horizons and small and large fluctuations.

The current study results suggest that most countries' markets are multifractal and exhibit long-term persistence in the short and long run. Moreover, the results with respect to full sample confirm that Portugal is the most efficient country in short run and Austria is the least efficient country. However, in long run, Austria appeared to be highly efficient, and Slovakia is the least efficient. In the pre-GFC period, Greece is said to be the relatively most efficient market in the short run, whereas Austria is the most efficient market in the long run. In the case of Post-GFC, Netherland and Ireland are the most efficient markets in short and long run, respectively. Lastly, COVID-19 results indicate that Finland's stock market is the most efficient in short run. Whereas, in the long run, the high efficiency is illustrated by Germany. In contrast, the most affected stock market due to COVID-19 is Belgium.

This study will add value to the present knowledge on efficient market hypothesis (EMH) with the MF-DFA approach. Also, with the MF-DFA approach, potential investors will be capable of ranking the stock markets of Eurozone countries based on their efficiency in the period before and after GFC and then specifically in the period of COVID-19.

本研究旨在探討13個歐元區國家在環球金融危機前後, 以及2019新型冠狀病毒病肆虐時期之不對稱市場效率; 這13個國家包括: 奧地利、比利時、芬蘭、法國、德國、希臘、愛爾蘭、義大利、荷蘭、葡萄牙、斯洛伐克、斯洛維尼亞和西班牙。

研究人員使用多重分形去趨勢波動分析法、來探討持續性與反持續性。這分析法也用來討論正在研究中的13個國家的非平穩時間序列的隨機漫步假說; 而且, 廣義赫斯特指數被用來估算長期/短期投資與大/小波動之間的相對效率。

研究結果間接表明了大部份國家的市場都是多重分形的; 而且, 它們無論以短期抑或以長期來審視觀察, 均能展示持久性。再者, 就整體樣本而言, 研究結果確認了在短期來看, 葡萄牙是效率最高的國家, 而奧地利則效率最低。唯以長期來審視觀察, 奧地利則似乎效率很高, 而效率最低的則是斯洛伐克。在環球金融危機爆發前, 就短期而言, 希臘被認為是相對效率最高的市場, 而長期而言, 效率最高的則是奧地利。至於在環球金融危機爆發後, 就短期而言, 荷蘭是效率最高的市場, 而就長期而言, 效率最高的則是愛爾蘭。最後, 2019新型冠狀病毒病的結果顯示, 就短期而言, 荷蘭的股票市場是效率最高的, 而長期而言, 德國則展示了其高效率性。而受疫情影響最大的股票市場則是比利時。

研究採用了多重分形去趨勢波動分析法、來探討股票市場的效率, 並以此分析法來討論有關國家的非平穩時間序列的隨機漫步假說, 這使我們對效率市場假說有進一步的認識; 就此而言, 本研究為有關的探討增添價值; 而且, 有意投資者在使用多重分形去趨勢波動分析法下, 能夠基於歐元區國家的股票市場在環球金融危機前後, 以及更明確地在2019新型冠狀病毒病肆虐時期的效率, 來把這些股票市場分等級。

環球金融危機、2019新型冠狀病毒病、效率市場假說、多重分形去趨勢波動分析.

This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank interest rates from each market.

To the volatility of interest rates returns, the study used models of auto-regressive conditional heteroscedasticity, autoregressive conditional heteroscedasticity (ARCH), generalized autoregressive conditional heteroscedasticity (GARCH), exponential generalized autoregressive conditional heteroscedasticity (EGARCH), threshold generalized autoregressive conditional heteroscedasticity (TGARCH) and periodic generalized autoregressive conditional heteroscedasticity (PGARCH), and a combination of these with autoregressive integrated moving average (ARIMA) models, checking which of these processes were more efficient in capturing volatility of interest rates of each of the sample countries.

The results suggest that for most markets, studied volatility is best modelled by asymmetric GARCH processes – in this case the EGARCH – demonstrating that bad news leads to a higher increase in the volatility of these markets than good news. In addition, the causes of increased volatility seem to be more associated with events occurring internally in each country, as changes in macroeconomic policies, than the overall external events.

It is expected that this study has contributed to a better understanding of the volatility of interest rates and the main factors affecting this market.

Este estudio analiza la volatilidad del mercado de renta fija de once países (Brasil, Rusia, India, China, Sudáfrica, Argentina, Chile, México, Estados Unidos, Alemania y Japón) de enero de 2000 a diciembre de 2011, mediante el examen de las tasas de interés interbancarias de cada mercado.

Para la volatilidad de los retornos de las tasas de interés, se utilizaron modelos de heteroscedasticidad condicional autorregresiva: ARCH, GARCH, EGARCH, TGARCH y PGARCH, y una combinación de estos con modelos ARIMA, comprobando cuáles de los procesos eran más eficientes para capturar la volatilidad de interés de cada uno de los países de la muestra.

Los resultados sugieren que para la mayoría de los mercados estudiados la volatilidad es mejor modelada por procesos GARCH asimétricos —en este caso el EGARCH— demostrando que las malas noticias conducen a un mayor incremento en la volatilidad de estos mercados que las buenas noticias. Además, las causas de una mayor volatilidad parecen estar más asociadas a eventos que ocurren internamente en cada país, como cambios en las políticas macroeconómicas, que los eventos externos generales.

Se espera que este estudio contribuya a un mejor entendimiento de la volatilidad de las tasas de interés y de los principales factores que afectan a este mercado.

Ingreso fijo, Volatilidad, Países emergentes, Modelos ARCH-GARCH

Artículo de investigación

This paper aims at examining the co-movement dependent regime and causality relationships between conventional and Islamic returns for emerging, frontier and developed markets from November 2008 to August 2020.

First, the authors used the Markov-switching autoregression (MS–AR) model to capture the regime-switching behavior in the stock market returns. Second, the authors applied the Markov-switching regression and vector autoregression (MS-VAR) models in order to study, respectively, the co-movement and causality relationship between returns of conventional and Islamic indexes across market states.

Results show the presence of two different regimes for the three studied markets, namely, stability and crisis periods. Also, the authors found evidence of a co-movement relationship between the conventional and Islamic indexes for the three studied markets whatever the regime. For the Granger causality, it is proved only for emerging and developed markets and only during the stability regime. Finally, the authors conclude that Islamic indexes can act as diversifiers, or safe-haven assets are not strongly supported.

This paper is the first study that examines the co-movement and the causal relationship between conventional and Islamic indexes not only across different financial markets' regimes but also during the COVID-19 period. The findings may help investors in making educated decisions about whether or not to add Islamic indexes to their portfolios especially during the recent outbreak.

The purpose of this paper is to extend the literature on the spillovers across economic policy uncertainty (EPU) and cryptocurrency uncertainty indices.

This paper uses cross-country economic policy uncertainty indices and the novel data measuring the cryptocurrency price uncertainties over the period 2013–2021 to construct a sample of 946 observations and applies the time-varying parameter vector autoregression (TVP-VAR) model to do an empirical study.

The findings suggest that there are cross-country spillovers of economic policy uncertainty. In addition, the total uncertainty spillover between economic policies and cryptocurrency peaked in 2015 before gradually decreasing in the following periods. Concomitantly, the cryptocurrency uncertainty has acted as the “receiver.” More importantly, the authors found the predictive power of economic policy uncertainty to predict the cryptocurrency uncertainty index. This paper’s results hold robust when using alternative measurement of cryptocurrency policy uncertainty.

This study is the first research that deeply investigates the association between two uncertainty indicators, namely economic policy uncertainty and the cryptocurrency uncertainty index. We provide fresh evidence about the dynamic connectedness between country-level economic policy uncertainty and the cryptocurrency index. Our work contributes a new channel driving the variants of uncertainties in the cryptocurrency market.

The purpose of this paper is to explore the impact of having minor children on parents' life satisfaction. Given the demands on working parents in terms of their time and financial resources, the authors suspect a complex interaction between employment and parenthood and explore the effect of parenthood on life satisfaction of mothers and fathers, working parents and those with children of various ages.

Data from three rounds of the European Social Survey (R3 2006/07, R5 2010/11 and R8 2016/17) are used to account for Ireland's changing economic landscape. Three ordered probit models are estimated examining parents, and mothers and fathers separately.

The findings indicate that any life satisfaction benefits derived from having children appear to be eroded for working parents. There is a negative association between life satisfaction for working mothers with child(ren) aged between 5 and 12 years. Furthermore, when both parents are working, mothers' life satisfaction is also significantly reduced.

Family policies and supports can shape the effects of parenthood on individual wellbeing and decisions regarding parenthood. Such policies need to be purposeful for working parents of school going children and consistent with economic strategy and labour market goals.

Much of the existing economic research on individual wellbeing and parenthood are focused on the fertility decision rather than examining the factors affecting the life satisfaction of different cohorts of parents thus leading to more targeted and informed policies. Contemporary weighting methodology is employed.

The purpose is to analyze the spatially varying impacts of corruption and public debt as % of GDP (proxies of government failures) on non-performing loans (NPLs) in European countries; comparing two periods: one prior to the crisis of 2007 and another one after that. The authors first modeled the NPLs with an ordinary lest square (OLS) regression and found clear evidence of spatial instability in the distribution of the residuals. As a second step, the authors utilized the geographically weighted regression (GWR) to explore regional variations in the relationship between NPLs and the proxies of “Government failures”.

The authors first modeled the NPL with an OLS regression and found clear evidence of spatial instability in the distribution of the residuals. As a second step, the author utilized the Geographically Weighted Regression (GWR) (Fotheringham et al., 2002) to explore regional variations in the relationship between NPLs and proxies of “Government failures” (corruption and public debt as % of GDP).

The results confirm that corruption and public debt as % of GDP, after the crisis of 2007, have affected significantly on NPLs of the EU countries and the following countries neighboring the EU: Switzerland, Iceland, Norway, Montenegro, and Turkey.

In a spatial prospective, unprecedented in the literature, this research focused on the impact of corruption and public debt as % of GDP on NPLs in European countries. The positive correlation, as expected, between public debt and NPLs highlights that fiscal problems in Eurozone countries have led to an important rise of problem loans. The impact of institutional corruption on NPLs reports that the higher the corruption, the higher is the level of NPLs.

The goal of this paper is twofold: to assess the influence of specific corporate and market features on automobiles and parts sector's profitability in Euro area and to identify this particular sector's optimum debt level.

For the paper's purposes, the authors applied a panel data analysis on an annual basis for the period 2005–2017.

There is a strong statistical significance of debt ratio, growth domestic product per capita growth, E.C.'s economic sentiment index (ESI), the European Central Bank key interest rate and the Euro area crisis on sector's profitability, while weak statistical significance appears to emerge for the firm's size. Moreover, the authors find average 14.4% profitability for the entire sector of the Euro area, without significant fluctuations among firms and/or during the examined time period. Another interesting finding of this study is that results are consistent with the theory of Modigliani Miller that financial leverage at a “low” level is beneficial for the firm, but beyond a turning point, it becomes counterproductive. This turning point for the automobiles and parts sector in Euro area has been computed at 47.3%.

The paper focuses on issues of profitability, capital structure and optimal debt ratio of an important sector of the economy, the automotive sector. As regards the Euro area automotive sector, it is a dynamic sector with a significant multiplier effect for the European economy as it is strongly correlated with other industrial sectors as chemicals, steel, textiles, information technology and so forth, having an outstanding multiplier effect on the economy.

This study aims to analyze the impact of cooperation between banking supervisory entities on maintaining financial stability, using Single Supervisory Mechanism evolution and performance as instance. Then banking supervisory cooperation and financial stability in Egypt are reviewed.

The qualitative method is used to study and analyze the practices that contributed to financial instability and raised the need for supervisory cooperation. Descriptive qualitative method is used to study the interrelations between supervisory authorities on various levels and its impact on financial stability.

Findings show that maintaining financial stability through strong, consistent complete or semi unified supervisory framework faces challenges. Providing cooperation between different supervisory authorities, effective information sharing, gained experience in the long run contributes to financial stability.

The originality of this research paper arises from the fact that it encompasses the academic aspect through interpreting the developments that occurred to the cooperation in banking supervision in relation to the financial instability times in the Eurozone that led to the establishment of Single Supervisory mechanism, and the challenges it faced. The supervisory cooperation in Egypt is studied as well at international, regional levels and its role in contributing to financial stability. To the best of the authors' knowledge this is the first study that studies the banking supervisory cooperation between Egyptian supervisory authorities and other international and regional authorities.

The credit ratings issued by the Big 3 ratings agencies are inaccurate and slow to respond to market changes. This paper aims to develop a rigorous, transparent and robust credit assessment and rating scheme for sovereigns.

This paper develops a regression-based model using credit default swap (CDS) data, and data on financial and macroeconomic variables to estimate sovereign CDS spreads. Using these spreads, the default probabilities of sovereigns can be estimated. The new ratings scheme is then used in conjunction with these default probabilities to assign credit ratings to sovereigns.

The developed model accurately estimates CDS spreads (based on RMSE values). Credit ratings issued retrospectively using the new scheme reflect reality better.

This paper reveals that both macroeconomic and financial factors affect both systemic and idiosyncratic risks for sovereigns.

The developed credit assessment and ratings scheme can be used to evaluate the creditworthiness of sovereigns and subsequently assign robust credit ratings.

The transparency and rigor of the new scheme will result in better and trustworthy indications of a sovereign’s financial health. Investors and monetary authorities can make better informed decisions. The episodes that occurred during the debt crisis could be avoided.

This paper uses both financial and macroeconomic data to estimate CDS spreads and demonstrates that both financial and macroeconomic factors affect sovereign systemic and idiosyncratic risk. The proposed credit assessment and ratings schemes could supplement or potentially replace the credit ratings issued by the Big 3 ratings agencies.