Competition and credit procyclicality in European banking
This paper empirically assesses how competition in the banking sector affects credit procyclicality by estimating both an interacted panel VAR model using macroeconomic data and a single-equation model with bank-level data.
Do Spot Prices Predict Futures Prices?
This article examines issues of linear and non-linear causality between energy (oil) prices and agricultural commodities spot and futures prices.
Measuring network systemic risk contributions: A leave-one-out approach
The aim of this paper is to propose a new network measure of systemic risk contributions that combines the pair-wise Granger causality approach with the leave-one-out concept.