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Have Financial Markets Become More Informative?
Bai, Jennie - 2014
The finance industry has grown, financial markets have become more liquid, information technology has undergone a revolution. But have market prices become more informative? We derive a welfare-based measure of price informativeness: the predicted variation of future cash flows from current...
Persistent link: https://www.econbiz.de/10013053306
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Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets
Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67
Persistent link: https://www.econbiz.de/10011813162
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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/10013045650
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Transparency, Risk Management and International Financial Fragility
Draghi, Mario - 2003
Discussions of financial risk often fail to distinguish between risks that are consciously borne and those that are not. To understand the breeding conditions for financial crises the prime focus of concern should not be simply on large risk-taking per se, but on the unintended, or unanticipated...
Persistent link: https://www.econbiz.de/10012786498
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Financial Globalization, Financial Crises and Contagion
Mendoza, Enrique G. - 2010
Two observations suggest that financial globalization played an important role in the recent financial crisis. First, more than half of the rise in net borrowing of the U.S. nonfinancial sectors since the mid 1980s has been financed by foreign lending. Second, the collapse of the U.S. housing...
Persistent link: https://www.econbiz.de/10013150545
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Emerging Market Crises : an Asset Markets Perspective
Caballero, Ricardo J. - 2010
Although internal policy mismanagements can be cited in most recent emerging market crises, they seldom account fully for the severity of these crises. The reluctance of international investors to provide the resources that would limit the extent of the reversal almost invariably plays a key...
Persistent link: https://www.econbiz.de/10012763359
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Eurozone crisis and BRIICKS stock markets : contagion or market interdependence?
Ahmad, Wasim; Sehgal, Sanjay; Bhanumurthy, N. R. - In: Economic modelling 33 (2013), pp. 209-225
Persistent link: https://www.econbiz.de/10010191987
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Financial crises and sudden stops : was the European monetary union crisis different?
Albonico, Alice; Tirelli, Patrizio - In: Economic modelling 93 (2020), pp. 13-26
Persistent link: https://www.econbiz.de/10012429836
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Is the survival of the euro area at risk? : an economic analysis of exit and contagion possibilities
Canofari, Paolo; Messori, Marcello - In: Economic modelling 69 (2018), pp. 58-66
Persistent link: https://www.econbiz.de/10012016083
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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/10013098138