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Contagion effect of natural disaster and financial crisis events on international stock markets
Lee, Kuo-Jung; Lu, Su-Lien; Shih, You - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-25
In the contemporary world bustling with global trade, a natural disaster or financial crisis in one country (or region …
Persistent link: https://www.econbiz.de/10011855248
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Is Corruption Contagious? An Econometric Analysis
Attila, Joseph - 2008
In this paper, I analyze how corruption in one country may be affected by its neighbors' corruption. It seeks to … explain why corruption is perpetuating in large geographical areas populated by developing countries despite anticorruption … efforts made in the single country. In our empirical approach, we capture the spatial dependency by regional corruption. Three …
Persistent link: https://www.econbiz.de/10012723025
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The state dependent impact of bank exposure on sovereign risk
Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...
Persistent link: https://www.econbiz.de/10011436025
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Volatility spillovers and systemic risk across economies : evidence from a global semi-structural model
Gómez-Pineda, Javier G. - 2018 - This version: September 5, 2017
The paper presents some evidence on the overwhelming relevance of systemic risk and the lesser importance of US interest rates in the global transmission of shocks. This evidence suggests that the literature could benefit from incorporating global confidence variables into global frameworks in...
Persistent link: https://www.econbiz.de/10011927550
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Volatility contagion : new evidence from market pricing of volatility risk
Raczko, Marek - 2015
Persistent link: https://www.econbiz.de/10011402736
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Endogenous crisis dating and contagion using smooth transition structural GARCH
Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - 2012
Persistent link: https://www.econbiz.de/10009624405
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Endogenous crisis dating and contagion using smooth transition structural GARCH
Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - 2012
Persistent link: https://www.econbiz.de/10009626036
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Identification and estimation in an incoherent model of contagion
Massacci, Daniele (contributor) - 2007
Persistent link: https://www.econbiz.de/10003535851
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An investigation of financial contagion between cryptocurrency and equity markets : evidence from developed and emerging markets
Niyitegeka, Olivier; Zhou, Sheunesu - In: Cogent economics & finance 11 (2023) 1, pp. 1-21
The present study conducts a dynamic conditional cross-correlation and time-frequency correlation analyses between cryptocurrency and equity markets in both advanced and emerging economies. The purpose of the study is twofold. First, the study investigates the presence of the pure (narrow) form...
Persistent link: https://www.econbiz.de/10014500791
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Market Integration and Contagion
Bekaert, Geert - 2010
to providing new insights on contagion during crisis periods, we document patterns through time in world and regional …
Persistent link: https://www.econbiz.de/10012762856