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Contagion in the European Sovereign Debt Crisis
Glover, Brent - 2014
We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit...
Persistent link: https://www.econbiz.de/10012458098
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Imported or Home Grown? The 1992-3 EMS Crisis
Eichengreen, Barry; Naef, Alain - National Bureau of Economic Research - 2021
Using newly assembled data on foreign exchange market intervention, we construct a daily index of exchange market pressure during the 1992-3 crisis in the European Monetary System, allowing us to pinpoint when and where the crisis was most severe. Our analysis focuses on a neglected factor in...
Persistent link: https://www.econbiz.de/10012696397
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano - 2013
This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...
Persistent link: https://www.econbiz.de/10012459921
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U.S. Banks, Crises, and Bailouts : From Mexico to LTCM
Stulz, Rene M. - 2000
This paper investigates the impact on bank stock prices of emerging market currency crises and bailouts. The stock market distinguishes between banks with exposure to a crisis country and other banks. In general, banks with exposures to a crisis country are affected adversely by currency events...
Persistent link: https://www.econbiz.de/10012471245
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Political Contagion in Currency Crises
Drazen, Allan - 1999
Existing models of contagious currency crises are summarized and surveyed, and it is argued that more weight should be put on political factors. Towards this end, the concept of political contagion introduced, whereby contagion in speculative attacks across currencies arises solely because of...
Persistent link: https://www.econbiz.de/10012471578
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Identification of Non-Additive Fixed Effects Models : Is the Return to Teacher Quality Homogeneous?
Hahn, Jinyong; Singleton, John D.; Yildiz, Neşe - National Bureau of Economic Research - 2023
additively and interacts with treatment variables. We present identification and estimation methods for parameters of interest in …
Persistent link: https://www.econbiz.de/10014322772
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Transmission of the U.S. Subprime Crisis to Emerging Markets : Evidence on the Decoupling-Recoupling Hypothesis
Dooley, Michael P. - 2009
We find that emerging markets appeared to be somewhat insulated from developments in U.S. financial markets from early 2007 to summer 2008. From that point on, however, emerging markets responded very strongly to the deteriorating situation in the U.S. financial system and real economy. Policy...
Persistent link: https://www.econbiz.de/10012463530
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Will Subprime be a Twin Crisis for the United States?
Dooley, Michael P. - 2008
We identify incentives generated by the Bretton Woods II system that may have contributed to the sub-prime liquidity crisis now working its way through the international monetary system. We then evaluate the persistent conjecture that the liquidity crisis is or will become a balance of payments...
Persistent link: https://www.econbiz.de/10012464668
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ABS Inflows to the United States and the Global Financial Crisis
Bertaut, Carol - 2011
securities contributed to the decline in their spreads over Treasury yields. Through a combination of empirical estimation and …
Persistent link: https://www.econbiz.de/10012461308
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Productivity and the Euro-Dollar Exchange Rate Puzzle
Alquist, Ron - 2002
This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985 … the Johansen (1988) and Stock-Watson (1993) procedures. We find that each percentage point in the US-Euro area … estimation methodology, the variables included in the regression, and the sample period. We conjecture that productivity …
Persistent link: https://www.econbiz.de/10012469891