25 years of volatility research has left the macroeconomic environment playing a minor role. This paper proposes modeling equity volatilities as a combination of macroeconomic effects and time series dynamics. High frequency return volatility is specified to be the product of a slow moving deterministic component, represented by an exponential spline, and a unit GARCH. This deterministic compon...

Social stratification theories articulate the processes by which social hierarchies are generated and perpetuated. This paper contributes to that literature, exploring the relationship between macroeconomic outcomes and racial/ethnic and gender inequalities in industrial and developing economies. A key factor in the relationship between the macroeconomy and intergroup inequality is that inequal...

OBJECTIVE We test whether macroeconomic conditions affect individuals' willingness to pay for environmental quality improvements. BACKGROUND Improvements in environmental quality, like everything, come at a cost. Individuals facing difficult economic times may be less willing to make trade-offs required for improvements in environmental quality. Using somewhat different methodologies and shor...

Reply : We think that the Tunisian case is also interesting for a broad audience. Tunisia has made important progress over the last decade toward establishing a sound bank intermediation, deepening its financial market, mobilizing domestic financing, and using indirect market-based monetary policy instruments. Monetary policy is useful to obtain a stable macroeconomic environment in favor of a ...

The issue of retail banking is extremely important and topical. Across the globe, retail lending has been a spectacular innovation in the commercial banking sector in recent years. The growth of retail lending, especially, in emerging economies, is attributable to the rapid advances in information technology, the evolving macroeconomic environment, financial market reform, and several micro-lev...

The purpose of this paper is to examine the determinants of the timing of bank failure/merger in 10 Asian countries over the period of 1999-2007 using a multivariate logit model and a split population duration analysis. Apart from bank-specific information, we also focus on the effects of macroeconomic and financial characteristics. The following empirical findings are obtained. First, the resu...

models aim to generate precisely that distribution, often through simulation, so that a bank may, among other things, set the level of capital it needs to hold to withstand losses to a certain degree of confidence, i.e. a tail region in the loss distribution. Most credit portfolio models link the portfolio loss distribution to states of the world; they differ in how specifically they are linked...