Internet Banking has become an important alternative to traditional banks. This article studies h... more Internet Banking has become an important alternative to traditional banks. This article studies how Internet Banking’s use influenced European banks’ profitability and if the phenomenon of the branches’ strong contraction (started in 2009 and consolidated from 2011 to 2016) depended on using these technologies or the economic crisis of the period. The exclusion of the COVID-19 crisis derived from the voluntariness to analyze the branches’ reduction in your primitive form and not as a consequence of the event’s extreme. The sample data comprises 3679 European banks from 2011 to 2016. The methodology used is the instrumental variables. This approach can control internal validity threats, such as confounding variables, measurement error, spuriousness, simultaneity and reverse causality. The results show that Internet Banking has positively influenced the net interest income and negatively affected the distribution of the branches, justifying the strong reduction. Surprisingly, the insi...
The Paris Agreement (COP21) sets out a global framework to limit global warming below 2C. Therefo... more The Paris Agreement (COP21) sets out a global framework to limit global warming below 2C. Therefore, the target of carbon neutrality has a key role. In this context, countries have implemented cap-and-trade markets of carbon emissions allowances to manage the impact of CO2 released by companies. Over recent years, cryptocurrencies have given a new drive to pollution because of the massive energy consumption of mining activity. This paper investigates the tail relationship between the carbon credit market and the price of Bitcoin. For this purpose, we use two novel econometric models: the multivariate-quantile conditional autoregressive (MVMQ-CAViaR) model and Granger causality across quantiles. The results suggest that there is a downside risk spillover, i.e., tail co-dependence. We find that Bitcoin spillovers have a stronger impact on the carbon market. On the other hand, we show that the carbon market does not Granger-cause Bitcoin. The results of the Granger analysis confirm the multivariate quantile model's findings, i.e., Bitcoin influences the carbon market in the lower quantiles. We deem our results useful for policymakers to improve the framework of carbon emissions allowances.
China has accelerated its banking sector reform in recent years, paying particular attention to n... more China has accelerated its banking sector reform in recent years, paying particular attention to non-performing loans (NPLs). The paper’s scope is to analyse the relationship between NPLs and macroeconomic variables in China using quarterly data from 2008/Q1 to 2021/Q1 applying wavelet analysis, which allows the study to scan both short- and long-term causal relationships and connections. The analysis produces interesting results. The GDP does not appear to be as important and as much of a driving force in the dynamics of NPLs as in other emerging countries. On the other hand, inflation shows a highly dynamic dependence on NPLs as it varies over time; however, the most interesting data is the relationship between NPLs and economic policy uncertainty. In the short term, the variables are in phase. In the long term, an increase of EPU has a reduction effect on NPLs, indicating that it affects commercial bank loan sizes by reducing enterprise demand for and bank supply of credit resources.
Purpose The purpose of this paper is to study the evolution of financial contagion between Eurozo... more Purpose 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. Design/methodology/approach 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. Findings 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. Originality/value The research provides a new contribution to the analysis of EZ banking risk contagion, studying CDS spread dete...
Since the financial crisis in 2007, policy makers and regulators have had an increasing interest ... more Since the financial crisis in 2007, policy makers and regulators have had an increasing interest in credit derivatives, in particular in credit default swap (CDS) agreements. The main point concerns the fears that speculative operations of these instruments on the market continue to generate and increase the tensions in the financial markets. The purpose of this paper is to examine the factors which define the changes of CDS premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. In detail, the empirical analysis is focused on a sample of 18 European corporate listed on the Stock Exchange holding five-year CDS spreads. The timeline considered is from 1st January 2005 to 31st December 2011, taking into account both the period before the financial crisis and that immediately after. Data has been elaborated from Datastream and Bloomberg. The choice to analyze the European companies has been made to verify the behaviour of the determinants of CDS in a ...
Do tail events in the oil market trigger extreme responses by the clean-energy financial market (... more Do tail events in the oil market trigger extreme responses by the clean-energy financial market (and vice versa)? This paper investigates the relationship between oil price and clean-energy stock with a novel methodology, namely extreme events study. The aim is to investigate an asymmetry effect between the response to good versus bad days. The results show how the two markets influence each other more negatively, i.e., extreme negative events significantly impact the other market. Furthermore, we document how the impact of the shock transmitted by oil prices to clean-energy stocks is less than the amount of shock transmitted oppositely. These findings have important implications for investor and renewable energy policies.
The purpose of this article is to examine the factors which define the changes of credit default ... more The purpose of this article is to examine the factors which define the changes of credit default swap (CDS) premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. The value of the ‘indicator’ of CDS spreads in the credit market has been recently highlighted due to the ‘failure’ of the rating agencies as an indicator to represent and ‘monitor’ the credit risk associate to an established reference entity. In detail, the empirical analysis is focused on a sample of 308 European corporates listed on the stock exchange holding five-year CDS spreads. The timeline considered is from 1 April 2005 to 31 March 2015, taking into account both the period pre- and post-financial crisis. Data has been elaborated from Bloomberg. The choice to analyse the European companies has been made to verify the behaviour of the determinants of CDS in a market that has very different characteristics compared to the USA (both structural and regulatory). In total period analys...
The purpose of this article is to examine the factors which define the changes of credit default ... more The purpose of this article is to examine the factors which define the changes of credit default swap (CDS) premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. The value of the ‘indicator’ of CDS spreads in the credit market has been recently highlighted due to the ‘failure’ of the rating agencies as an indicator to represent and ‘monitor’ the credit risk associate to an established reference entity. In detail, the empirical analysis is focused on a sample of 308 European corporates listed on the stock exchange holding five-year CDS spreads. The timeline considered is from 1 April 2005 to 31 March 2015, taking into account both the period pre- and post-financial crisis. Data has been elaborated from Bloomberg. The choice to analyse the European companies has been made to verify the behaviour of the determinants of CDS in a market that has very different characteristics compared to the USA (both structural and regulatory). In total period analys...
Since the financial crisis in 2007, policy makers and regulators have had an increas... more Since the financial crisis in 2007, policy makers and regulators have had an increasing interest in credit derivatives, in particular in credit default swap (CDS) agreements. The main point concerns the fears that speculative operations of these instruments on the market continue to generate and increase the tensions in the financial markets. The purpose of this paper is to examine the factors which define the changes of CDS premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. In detail, the empirical analysis is focused on a sample of 18 European corporate listed on the Stock Exchange holding five-year CDS spreads. The timeline considered is from 1st January 2005 to 31st December 2011, taking into account both the period before the financial crisis and that immediately after. Data has been elaborated from Datastream and Bloomberg. The choice to analyze the European companies has been made to verify the behaviour of the determinants of CDS in a market that has very different characteristics compared to the U.S (both structural and regulatory). An aspect that deserves special attention is the loss of significance of the "leverage" variable, as it is not consistent with the finding of the Merton’s Model.
Internet Banking has become an important alternative to traditional banks. This article studies h... more Internet Banking has become an important alternative to traditional banks. This article studies how Internet Banking’s use influenced European banks’ profitability and if the phenomenon of the branches’ strong contraction (started in 2009 and consolidated from 2011 to 2016) depended on using these technologies or the economic crisis of the period. The exclusion of the COVID-19 crisis derived from the voluntariness to analyze the branches’ reduction in your primitive form and not as a consequence of the event’s extreme. The sample data comprises 3679 European banks from 2011 to 2016. The methodology used is the instrumental variables. This approach can control internal validity threats, such as confounding variables, measurement error, spuriousness, simultaneity and reverse causality. The results show that Internet Banking has positively influenced the net interest income and negatively affected the distribution of the branches, justifying the strong reduction. Surprisingly, the insi...
The Paris Agreement (COP21) sets out a global framework to limit global warming below 2C. Therefo... more The Paris Agreement (COP21) sets out a global framework to limit global warming below 2C. Therefore, the target of carbon neutrality has a key role. In this context, countries have implemented cap-and-trade markets of carbon emissions allowances to manage the impact of CO2 released by companies. Over recent years, cryptocurrencies have given a new drive to pollution because of the massive energy consumption of mining activity. This paper investigates the tail relationship between the carbon credit market and the price of Bitcoin. For this purpose, we use two novel econometric models: the multivariate-quantile conditional autoregressive (MVMQ-CAViaR) model and Granger causality across quantiles. The results suggest that there is a downside risk spillover, i.e., tail co-dependence. We find that Bitcoin spillovers have a stronger impact on the carbon market. On the other hand, we show that the carbon market does not Granger-cause Bitcoin. The results of the Granger analysis confirm the multivariate quantile model's findings, i.e., Bitcoin influences the carbon market in the lower quantiles. We deem our results useful for policymakers to improve the framework of carbon emissions allowances.
China has accelerated its banking sector reform in recent years, paying particular attention to n... more China has accelerated its banking sector reform in recent years, paying particular attention to non-performing loans (NPLs). The paper’s scope is to analyse the relationship between NPLs and macroeconomic variables in China using quarterly data from 2008/Q1 to 2021/Q1 applying wavelet analysis, which allows the study to scan both short- and long-term causal relationships and connections. The analysis produces interesting results. The GDP does not appear to be as important and as much of a driving force in the dynamics of NPLs as in other emerging countries. On the other hand, inflation shows a highly dynamic dependence on NPLs as it varies over time; however, the most interesting data is the relationship between NPLs and economic policy uncertainty. In the short term, the variables are in phase. In the long term, an increase of EPU has a reduction effect on NPLs, indicating that it affects commercial bank loan sizes by reducing enterprise demand for and bank supply of credit resources.
Purpose The purpose of this paper is to study the evolution of financial contagion between Eurozo... more Purpose 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. Design/methodology/approach 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. Findings 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. Originality/value The research provides a new contribution to the analysis of EZ banking risk contagion, studying CDS spread dete...
Since the financial crisis in 2007, policy makers and regulators have had an increasing interest ... more Since the financial crisis in 2007, policy makers and regulators have had an increasing interest in credit derivatives, in particular in credit default swap (CDS) agreements. The main point concerns the fears that speculative operations of these instruments on the market continue to generate and increase the tensions in the financial markets. The purpose of this paper is to examine the factors which define the changes of CDS premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. In detail, the empirical analysis is focused on a sample of 18 European corporate listed on the Stock Exchange holding five-year CDS spreads. The timeline considered is from 1st January 2005 to 31st December 2011, taking into account both the period before the financial crisis and that immediately after. Data has been elaborated from Datastream and Bloomberg. The choice to analyze the European companies has been made to verify the behaviour of the determinants of CDS in a ...
Do tail events in the oil market trigger extreme responses by the clean-energy financial market (... more Do tail events in the oil market trigger extreme responses by the clean-energy financial market (and vice versa)? This paper investigates the relationship between oil price and clean-energy stock with a novel methodology, namely extreme events study. The aim is to investigate an asymmetry effect between the response to good versus bad days. The results show how the two markets influence each other more negatively, i.e., extreme negative events significantly impact the other market. Furthermore, we document how the impact of the shock transmitted by oil prices to clean-energy stocks is less than the amount of shock transmitted oppositely. These findings have important implications for investor and renewable energy policies.
The purpose of this article is to examine the factors which define the changes of credit default ... more The purpose of this article is to examine the factors which define the changes of credit default swap (CDS) premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. The value of the ‘indicator’ of CDS spreads in the credit market has been recently highlighted due to the ‘failure’ of the rating agencies as an indicator to represent and ‘monitor’ the credit risk associate to an established reference entity. In detail, the empirical analysis is focused on a sample of 308 European corporates listed on the stock exchange holding five-year CDS spreads. The timeline considered is from 1 April 2005 to 31 March 2015, taking into account both the period pre- and post-financial crisis. Data has been elaborated from Bloomberg. The choice to analyse the European companies has been made to verify the behaviour of the determinants of CDS in a market that has very different characteristics compared to the USA (both structural and regulatory). In total period analys...
The purpose of this article is to examine the factors which define the changes of credit default ... more The purpose of this article is to examine the factors which define the changes of credit default swap (CDS) premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. The value of the ‘indicator’ of CDS spreads in the credit market has been recently highlighted due to the ‘failure’ of the rating agencies as an indicator to represent and ‘monitor’ the credit risk associate to an established reference entity. In detail, the empirical analysis is focused on a sample of 308 European corporates listed on the stock exchange holding five-year CDS spreads. The timeline considered is from 1 April 2005 to 31 March 2015, taking into account both the period pre- and post-financial crisis. Data has been elaborated from Bloomberg. The choice to analyse the European companies has been made to verify the behaviour of the determinants of CDS in a market that has very different characteristics compared to the USA (both structural and regulatory). In total period analys...
Since the financial crisis in 2007, policy makers and regulators have had an increas... more Since the financial crisis in 2007, policy makers and regulators have had an increasing interest in credit derivatives, in particular in credit default swap (CDS) agreements. The main point concerns the fears that speculative operations of these instruments on the market continue to generate and increase the tensions in the financial markets. The purpose of this paper is to examine the factors which define the changes of CDS premiums, therefore, to analyse the indicator ability of CDS spreads on the credit market. In detail, the empirical analysis is focused on a sample of 18 European corporate listed on the Stock Exchange holding five-year CDS spreads. The timeline considered is from 1st January 2005 to 31st December 2011, taking into account both the period before the financial crisis and that immediately after. Data has been elaborated from Datastream and Bloomberg. The choice to analyze the European companies has been made to verify the behaviour of the determinants of CDS in a market that has very different characteristics compared to the U.S (both structural and regulatory). An aspect that deserves special attention is the loss of significance of the "leverage" variable, as it is not consistent with the finding of the Merton’s Model.
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