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 analyzes US interest rate swap spreads in relation to the sovereign crisis of the Euro zone. The results reveal that swap spreads of 5and 10-years incorporate default risk positively in accordance with the theory. According to Ito (2010) which analyzed the period of global financial crisis stemming from subprime loan problem in the US, the default risk is negatively incorporated in t...

Using the introduction of Arrowhead low latency trading platform by Tokyo Stock Exchange as a natural experiment, I analyze the impact of high frequency trading on market quality of JREITs, in terms of liquidity, volatility, and systemic risks. I also analyze the impact of the 2008 financial crisis. The results document that while the crisis has significantly deteriorated the market quality, th...

This paper investigates empirically the main determinants of firm competitiveness under conditions of economic turmoil, with the use of panel data techniques. The study is based on firm-level financial data of 693 firms from the high and medium technology manufacturing sectors in Greece, and covers the time period 1996-2011, distinguishing between the pre-crisis (1996-2007) and the post-crisis ...

This paper studies in utero exposure to the 2008 financial crisis. Exploiting the sudden and unexpected collapse of the Icelandic economy, I find that first-trimester exposure to the crisis led to a sizable and significant reduction in birth weight, increased the probability of a low birth weight ( < 2500 g), and decreased the probability of a high birth weight ( > 4000 g). I also find evidence...

This project aims to explain why the 2008 crisis was more severe and different. To model this, I use the agent-based model and network analysis. In the model, I want to show that risk can move around between highly interconnected networks. Risk of the financial network can hiddenly spread in other networks. By this spreading, the bank failures resemble popping corn. Thus, more severe systemic r...

In reaction to the monetary turmoil created by the financial crisis of September 2008, both legislative and constitutional reforms have been proposed in different Countries to introduce Commodity Money alongside existing National Fiat Currency. A thorough evaluation of the Economic consequences of these new proposals is warranted. This paper surveys some of the existing knowledge in Monetary an...

Central banks were forced to use extraordinary policy measures to combat the macroeconomic consequences of the 2008–09 financial crisis. The experience also raised fundamental questions about existing monetary policy frameworks, causing central banks to revisit issues that were long thought to be resolved. Some critical observers even suggested that inflation targeting and the pursuit of price ...

The aim of this paper is to identify the main factors responsible for 2007–2008 crisis development and transmission across 10 developed European Union (EU) countries. In order achieve objective, trade financial linkages, contagion from United States EU countries countries' internal external economic vulnerabilities are examined. results logistic regression model covering period 2002 2012 presen...