The energy sector occupies a mainstay role in overall growth the modern worldwide economy. Therefore, it is essential to examine network structures and dynamics of leading companies world through complex methods. Because, methods are significant tools studying static properties stock market, which allows us better comprehend market. We use daily prices 147 stocks belonging 34 countries from 200...

We introduce endogenous information acquisition in an otherwise standard business cycle model. In our framework, information is a productive input, which is essentially specialized labor, so information acquisition is linked to the labor market and thereby the macroeconomic condition. Our model demonstrates that strategic complementarity (substitutability) in information acquisition coincides w...

I investigate the relation between returns and volatility at daily to 1-min intervals for VIX ETNs (like ETFs) and futures. As VIX is the implied volatility index and also known as “fear gauge”, this study is on relation between returns of volatility and volatilities of volatility. I find that, contrary to equity and commodity markets, volatility’s return and volatility exhibit positive relatio...

The recent crisis has demonstrated the close linkages between various asset classes within a country as well as the association between assets internationally. The aim of this research is to provide for a better understanding of some of these linkages by conducting an empirical investigation of the channels underlying the risk of contagion between real estate and financial markets in the United...

Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank loans, re‡ected in one-month and three-month LIBOR. We explain such stress by modeling leveraged banks’precautionary demand for liquidity. Asset shocks impair a bank’s ability to roll over debt because of agency problems associated with high leverage. In turn, banks hoard liquidity and decrease ...

This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. Recoveries from recessions associated with a financial crisis...

We analyze extreme movements of the main stocks market indexes in the European Union. We find that the Sweden and UK markets are the preferred ones for risk averse investors since they present the best risk-return performance. Moreover, the UK market is found to have a very low dependence with the rest of the European financial cycles, being the best one (in terms of risk-return) available for ...

In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common factors. We account for interdependenci...