The term structure of return volatility is estimated for both UK and US direct and securitised commercial real estate, using vector autoregressions. In a similar manner to the general stock market, returns of UK…
Last year’s European bank stress tests were faulty to say the least. For example, those tests failed to find problems with any of the Irish Banks that soon afterwards dragged Ireland into its current crisis.…
The lack of market confidence in European banks is fed by the uncertainty about Eurozone sovereign debt. This column argues governments and banking supervisors should agree a recapitalisation package well before…
This paper examines the broader effects of the U.S. financial crisis on global lending to retail customers. In particular we examine retail bank lending in Germany taking advantage of a unique dataset of German…
Using a new data set of U.K. syndicated loans, we document a significant loan cost disadvantage incurred by privately-held firms. For identification, we use the distance of a firm’s headquarters to London’s…
In this paper, we analyze if the integration of the European mutual funds industry has brought advantages to private and institutional investors. Moreover, we examine the possible determinants of fund fees as…