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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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Realignment expectations and the US dollar, 1890 - 1897 : was there a "Peso problem"?
Hallwood, Paul; MacDonald, Ronald; Marsh, Ian - In: Journal of monetary economics 46 (2000) 3, pp. 605-620
Persistent link: https://www.econbiz.de/10001527303
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Security fungibility and the cost of capital : evidence from global bonds
Miller, Darius P. (contributor);  … - 2005
This paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of Global bonds. Unlike other debt securities, Global bonds’ fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear and settle...
Persistent link: https://www.econbiz.de/10002811369
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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
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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/10012996468
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America First? : a US-centric view of global capital flows
McQuade, Peter; Schmitz, Martin - 2019
Both academic researchers and policymakers posit a unique role for the US in the inter-national financial system. This paper investigates the characteristics and determinants of US cross-border financial flows and examines how these contrast with those of the rest of the world. We analyse the...
Persistent link: https://www.econbiz.de/10011975553
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The pricing of sovereign risk and contagion during the European sovereign debt crisis
Beirne, John; Fratzscher, Marcel - 2013
Persistent link: https://www.econbiz.de/10010233234
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What explains global exchange rate movements during the financial crisis?
Fratzscher, Marcel - 2009
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...
Persistent link: https://www.econbiz.de/10003867020
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The euro area sovereign debt crisis : safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal
De Santis, Roberto A. - 2012
Persistent link: https://www.econbiz.de/10009765237
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano - 2020
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/10012823085