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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

Financial Vulnerability and Risks to Growth in Emerging Markets

Acharya, Viral V. - 2020

This paper introduces a new financial vulnerability index for emerging market economies by exploiting key differences in their business cycles relative to those of advanced economies. Information on the domestic price of risk, cost of dollar hedging and market-based measures of bank...

Persistent link: https://www.econbiz.de/10012481606

For a Few Dollars More : Reserves and Growth in Times of Crises

Bussière, Matthieu - 2014

Based on a dataset of 112 emerging economies and developing countries, this paper addresses two key questions regarding the accumulation of international reserves: first, has the accumulation of reserves effectively protected countries during the 2008-09 financial crisis? And second, what...

Persistent link: https://www.econbiz.de/10012458872

Dollar Funding and the Lending Behavior of Global Banks

Ivashina, Victoria - 2012

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

Optimal Currency Area : A 20th Century Idea For the 21st Century?

Aizenman, Joshua - 2016

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

A Distant Mirror of Debt, Default, and Relief

Reinhart, Carmen M. - 2014

We take a first pass at quantifying the magnitudes of debt relief achieved through default and restructuring in two distinct samples: 1979-2010, focusing on credit events in emerging markets, and 1920-1939, documenting the official debt hangover in advanced economies that was created by World...

Persistent link: https://www.econbiz.de/10012458088

A Cure Worse Than the Disease? Currency Crises and the Output Costs of IMF-Supported Stabilization Programs

Hutchison, Michael M. - 2001

This paper investigates the output effects of IMF-supported stabilization programs, especially those introduced at the time of a severe balance of payments/currency crisis. Using a panel data set over the 1975-97 period and covering 67 developing and emerging-market economies (with 461 IMF...

Persistent link: https://www.econbiz.de/10012470419

Exchange Rates in Emerging Countries : Eleven Empirical Regularities from Latin America and East Asia

Edwards, Sebastian - 2011

In this paper I discuss some of the most important lessons on exchange rate policies in emerging markets during the last 35 years. The analysis is undertaken from the perspective of both the Latin American and East Asian nations. Some of the topics addressed include: the relationship between...

Persistent link: https://www.econbiz.de/10012461584

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

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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