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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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Bilateral Exposures and Systemic Solvency Risk.
Gourieroux, C.; Heam, J.C.; Monfort, A. - Banque de France - 2012
consequences of exogenous shocks on the banking system and we measure contagion phenomena. This approach is illustrated by an …
Persistent link: https://www.econbiz.de/10010815986
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Monitoring the European CDS Market through Networks: Implications for Contagion Risks.
Clerc, L.; Gabrieli, S.; Kern, S.; El Omari, Y. - Banque de France - 2014
spreaders” of financial contagion, identified as the most interconnected participants, consist mostly of banks. For some of them …
Persistent link: https://www.econbiz.de/10010753778
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Bank incentives and optimal CDOs
Pagès, H. - Banque de France - 2009
displaying “contagion.” Moral hazard prevents the bank from monitoring continuously unless it is compensated with the right …
Persistent link: https://www.econbiz.de/10008531418
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Contagion Effects in the Aftermath of Lehman’s Collapse: Evidence from the US Financial Services Industry.
Dumontaux, N.; Pop, A. - Banque de France - 2013
The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer 2007. Through the use of stock market data and Credit Default Swap (CDS) spreads, this paper examines the...
Persistent link: https://www.econbiz.de/10010631356
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The confidence channel for the transmission of shocks
Fei, S. - Banque de France - 2011
of a contagion of confidence from “large countries” to “small countries”. I apply instrumental-variable regressions to …
Persistent link: https://www.econbiz.de/10008800897
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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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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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Shock Transmission through International Banks – Evidence from France
Bussière, M.; Camara, B.; Castellani, F.-D.; Potier, V.; … - Banque de France - 2014
As part of the International Banking Research Network, the Banque de France contribution to the research project on liquidity risk transmission concentrates on the “outward”' transmission of shocks affecting French banking groups. Using a rich dataset on their international positions, we...
Persistent link: https://www.econbiz.de/10010781569
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What is the information content of the SRISK measure as a supervisory tool?
Tavolaro, S.; Visnovsky, F. - Banque de France - 2014
The SRISK measure is advertised as measuring the recapitalization needed by a financial institution in the event of a financial crisis. It is computed from the estimated reaction of the institution’s share price in the event of a sharp drop in market prices. This indicator relies both on an...
Persistent link: https://www.econbiz.de/10010929760