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Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-9

Adrian, Tobias - 2012

The financial crisis of 2007-9 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending to firms declines...

Persistent link: https://www.econbiz.de/10013101282

No Contagion, Only Interdependence : Measuring Stock Market Co-Movements

Forbes, Kristin J. - 2001

This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure...

Persistent link: https://www.econbiz.de/10012788161

The Asian Flu and Russian Virus : Firm-Level Evidence on How Crises are Transmitted Internationally

Forbes, Kristin J. - 2022

This paper uses firm-level information to evaluate how crises are transmitted internationally. It constructs a new data set of financial statistics, industry information, geographic data, and stock returns for over 10,000 companies in 46 countries to test what types of firms were most affected...

Persistent link: https://www.econbiz.de/10013322873

The "Big C" : Identifying Contagion

Forbes, Kristin J. - 2012

contagion, highlighting contagion risks in the euro area. The paper defines "interdependence" as high correlations across … increased dramatically over time, especially within the euro area, even after controlling for global shocks and changes in … analyzing policies designed to mitigate contagion, especially for the current crisis in the euro area …

Persistent link: https://www.econbiz.de/10013099134

Contagion in Latin America : Definitions, Measurement, and Policy Implications

Forbes, Kristin J.; Rigobon, Roberto - 2021

This paper analyzes bond and stock markets in Latin America and uses these patterns to investigate whether contagion occurred in the 1990's. It defines shift-contagion' as a significant increase in cross-market linkages after a shock to one country or region. Several coin-toss examples and a...

Persistent link: https://www.econbiz.de/10013219176

Are Trade Linkages Important Determinants of Country Vulnerability to Crises?

Forbes, Kristin J. - 2021

This paper measures whether trade linkages are important determinants of a country's vulnerability to crises that originate elsewhere in the world. It explains that trade can transmit crises internationally via three distinct, and possible counteracting, channels: a competitiveness effect (when...

Persistent link: https://www.econbiz.de/10013313643

Capital Flow Waves—Or Ripples? Extreme Capital Flow Movements Since the Crisis

Forbes, Kristin J.; Warnock, Francis E. - 2022

Has the occurrence of “extreme capital flow movements”—episodes of sudden surges, stops, flight and retrenchment—changed since the Global Financial Crisis (GFC)? This paper addresses this question by updating and building on the dataset and methodology introduced in Forbes and Warnock...

Persistent link: https://www.econbiz.de/10013321647