We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the network method gives more useful information about the formation of clusters as compared to results obtained from eigenvectors corresponding to second largest eige...

This paper investigates the effect of the 2008 financial crisis on informational efficiency by carrying out a long-memory analysis of European corporate bond markets. We compute the Hurst exponent for fifteen sectorial indices to scrutinise the time-varying behaviour of long-range memory, applying a shuffling technique to avoid short-term correlation. We find that the financial crisis has uneve...

Using a spillover index approach, we investigate volatility spillovers across China’s stock, bond, commodity futures, and foreign exchange (FX) markets and their evolution during the period 2005–2015. We find that these four financial markets are weakly integrated. The stock market is the largest net sender of volatility spillovers to other markets, followed by the bond market, and the FX and c...

This paper aims to propose a new form of financial market regulation based on the visibility of the risk rate of financial products. The applicability of this framework is studied by exploiting a Mean Field Analysis model that allows to intuitively describe systems characterized by a large number of interacting objects. A qualitative result is illustrated in order to show how the visibility of ...

This paper develops a non-linear DSGE model to assess the interaction between ex-post interventions in credit markets and the build-up of risk ex ante. During a systemic crisis, bailouts to the financial sector relax balance sheet constraints and accelerate the economic recovery. Ex ante, the anticipation of such bailouts leads to an increase in risk-taking, making the economy more vulnerable t...

This paper develops a non-linear DSGE model to assess the interaction between ex-post interventions in credit markets and the build-up of risk ex ante. During a systemic crisis, bailouts to the financial sector relax balance sheet constraints and accelerate the economic recovery. Ex ante, the anticipation of such bailouts leads to an increase in risk-taking, making the economy more vulnerable t...

This paper develops a non-linear DSGE model to assess the interaction between ex-post interventions in credit markets and the build-up of risk ex ante. During a systemic crisis, bailouts to the financial sector relax balance sheet constraints and accelerate the economic recovery. Ex ante, the anticipation of such bailouts leads to an increase in risk-taking, making the economy more vulnerable t...

At the turn of the century Turkish economy was meltdown due to the one of the harshest crises experienced throughout her history. Since then, thanks to very strict measures taken by Turkish government, the economy proceeded to the recovery period. This period, however, seems to be interrupted once more again by 2008-2009 global financial crisis. In this study, we assess the financial performanc...

The 2008-2012 global financial crisis began with the global recession in December 2007 and exacerbated in September 2008, during which the U.S. stock markets lost 20% of value from its October 11 2007 peak. Various studies reported that financial crisis are associated with increase in both cross-correlations among stocks and stock indices and the level of systemic risk. In this paper, we study ...

"HISTORY," JAWAHARLAL NEHRU famously observed, "is almost always written by the victors. " I Financial history, it seems, is written by the creditors. When a financial crisis arises, it is the debtors who are asked to take the blame. This is odd, since a loan agreement invariably has two parties. The failure of a loan usually represents miscalculations on both sides of the transaction or distor...