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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
in which such banks cut dollar lending more than euro lending in response to a shock to their credit quality. Because … these banks rely on wholesale dollar funding, while raising more of their euro funding through insured retail deposits, the … dollar funding, there were significant violations of euro-dollar CIP. Moreover, dollar lending by Eurozone banks fell …
Persistent link: https://www.econbiz.de/10012460132
We take stock of the history of the European Monetary Union and pegged exchange-rate regimes in recent decades. The post-Bretton Woods greater financial integration and under-regulated financial intermediation have increased the cost of sustaining a currency area and other forms of fixed...
Persistent link: https://www.econbiz.de/10012456577
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
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
additively and interacts with treatment variables. We present identification and estimation methods for parameters of interest in …
Persistent link: https://www.econbiz.de/10014322772
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
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
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
, euro area and UK data points to a substantial deviation from that invariance prediction: expectations of interest rate …
Persistent link: https://www.econbiz.de/10012479321