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Cross-border interbank contagion in the European banking sector.
Gabrieli, S.; Salakhova, D.; Vuillemey, G. - Banque de France - 2015
This paper studies the scope for cross-border contagion in the European banking sector using true bilateral exposure … propagation from 2008 to 2012. We study the distribution of contagion outcomes after a common shock and an exogenous bank default … propagation of losses. An econometric analysis of the determinants of contagion shows that the position of a bank in the network …
Persistent link: https://www.econbiz.de/10011212945
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Stock exchanges industry consolidation and shock transmission.
Idier, J. - Banque de France - 2006
. Therefore, following Forbes and Rigobon (2002) we distinguish convergence (as interdependence) from contagion. Long run …
Persistent link: https://www.econbiz.de/10005082520
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Domestic Savings and Foreign Capital: the Complementarity Channel.
Kharroubi, E. - Banque de France - 2008
Recent empirical work has shown that current account deficits have been associated with lower growth in developing countries while they have been associated with higher growth in developed countries. This paper shows that this can be rationalized in an environment where firms face (i)...
Persistent link: https://www.econbiz.de/10008528503
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Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models.
Idier, J. - Banque de France - 2008
Empirical techniques to assess market comovements are numerous from cointegration to dynamic conditional correlations. This paper uses the fractal properties of asset returns and presents estimations of Markov switching multifractal models [as MSM] to give new insights about short and long run...
Persistent link: https://www.econbiz.de/10004979468
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Financial (Dis)Integration.
Kharroubi, E. - Banque de France - 2006
This paper addresses the macroeconomic impact of international financial integration. I first provide empirical evidence that foreign banking penetration can be associated with a contraction of banking credit, especially in countries with poor credit markets. Second I present a model in which...
Persistent link: https://www.econbiz.de/10004998820
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Is there Evidence of Shift-Contagion in International Housing Markets?
de Bandt, O.; Malik, S. - Banque de France - 2010
The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e …
Persistent link: https://www.econbiz.de/10008682873
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Une mesure de la persistance dans les indices boursiers.
Avouyi-Dovi, S.; Guégan, D.; Ladoucette, S. - Banque de France - 2002
We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the...
Persistent link: https://www.econbiz.de/10005056504
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What is the Best Approach to Measure the Interdependence between Different Markets?
Avouyi-Dovi, S.; Guégan, D.; Ladoucette, S. - Banque de France - 2002
In order to measure the interdependence between different markets, we investigate and compare different measures of dependence including cross-correlation, conditional correlation, concordance and correlation in tails. In the latter case, we use the notion of copula and we define two kinds of...
Persistent link: https://www.econbiz.de/10005056531
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The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.
Jondeau, E.; Rockinger, M. - Banque de France - 1999
In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is...
Persistent link: https://www.econbiz.de/10005036215
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The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.
Jondeau, E.; Rockinger, M. - Banque de France - 1999
In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is...
Persistent link: https://www.econbiz.de/10005671921