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crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and …, China and Japan. Findings – There is empirical evidence of contagion in all markets with the US market through various … EMU markets have been directly affected from the crisis. However, while China's equity market has been mainly unaffected …
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This paper assesses the impact of exchange of information on foreign-owned bank deposits in international financial centres (IFCs). Based on a dataset with extended jurisdiction coverage and sample length, foreign-owned IFC deposits declined globally by 24% or USD 410 billion during the period...
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We empirically explore the fragility of wholesale funding of banks, using transaction level data on short-term, unsecured certificates of deposits in the European market. We do not observe any market-wide freeze during the 2008-2014 period. Yet, many banks suddenly experience funding dry-ups....
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