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Correlation Analysis of Financial Contagion: What One Should Know before Running a Test
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2001
This paper presents a general test of contagion in financial markets based on bivariate correlation analysis � a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not …
Persistent link: https://www.econbiz.de/10005467302
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A Primer on Financial Contagion
Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2001
shocks. We first review the different definitions and measures of contagion used in the literature. We then use a simple … multi-country asset pricing model to cast the main elements of the current debate on contagion and provide a stylized … classification, we survey the results obtained in the empirical literature on contagion. …
Persistent link: https://www.econbiz.de/10005609346
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Emerging market spreads in the recent financial turmoil
Ciarlone, Alessio; Piselli, Paolo; Trebeschi, Giorgio - Banca d'Italia - 2008
This work examines how much of the variation in emerging market economies' (EMEs) spreads can be ascribed to 'country-specific' factors rather than to 'common' factors, once the existence of an interaction between the state of macroeconomic fundamentals and global financial conditions is...
Persistent link: https://www.econbiz.de/10005196853
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Emerging Markets Spreads and Global Financial Conditions
Ciarlone, Alessio; Piselli, Paolo; Trebeschi, Giorgio - Banca d'Italia - 2007
In this article, we analyse how much of the reduction in emerging markets spreads can be ascribed to specific factors - linked to the improvement in the 'fundamentals' of a given country - rather than to common factors - linked to global liquidity conditions and agents� degree of risk...
Persistent link: https://www.econbiz.de/10005113674
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Simultaneous Stochastic Volatility TransmissionAcross American Equity Markets
Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
Information ows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...
Persistent link: https://www.econbiz.de/10005860498
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Globalisation and monetary policy in emerging markets
2005
Persistent link: https://www.econbiz.de/10003000780
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Promoting the Use of Capital Markets for Infrastructure Financing : Lessons for Securities Markets Regulators in Emerging Market Economies
World Bank Group - 2017
This Note provides guidance to securities markets regulators in emerging market economies (EMEs) about key regulatory issues that could affect the issuance of debt instruments for infrastructure financing over which they have some control. The Note focuses on three areas (placement regime,...
Persistent link: https://www.econbiz.de/10012645509
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Promoting Competition in the Distribution of Mutual Funds : Lessons for Securities Markets Regulatory Authorities in Emerging Market Economies
World Bank Group - 2017
This Policy Note focuses on distribution channels, the role they play in product diversification and costs, and how regulation can promote competition in mutual funds (MFs) distribution. In many emerging market economics (EMEs) where both the capital markets and the MFs have reached certain...
Persistent link: https://www.econbiz.de/10012645510
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Capital Markets and SMEs in Emerging Markets and Developing Economies : Can They Go the Distance?
World Bank Group - 2020
Small and medium enterprises (SMEs) face significant financing gaps that stifle innovation and economic growth. The credit gap alone is estimated at dollar 4.5 trillion as of 2017 for emerging markets and developing economies (EMDEs) only. Bank financing has been the traditional source of...
Persistent link: https://www.econbiz.de/10012646892