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Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
Ehrmann, Michael; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2015
tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … same time, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion …
Persistent link: https://www.econbiz.de/10011276387
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Bank Networks: Contagion, Systemic Risk and Prudential Policy
Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - C.E.P.R. Discussion Papers - 2015
traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …
Persistent link: https://www.econbiz.de/10011252622
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Sovereign spreads in the Euro area: Which prospects for a Eurobond?
Favero, Carlo A.; Missale, Alessandro - C.E.P.R. Discussion Papers - 2011
In this paper, we provide new evidence on the determinants of sovereign yield spreads and contagion effects in the euro … contagion driven by shifts in market sentiment. This evidence points to a discontinuity in the disciplinary role of financial …
Persistent link: https://www.econbiz.de/10009367426
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Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis
Bayoumi, Tamim; Vitek, Francis - C.E.P.R. Discussion Papers - 2011
This paper analyzes past and possible future spillovers from the Euro Area Sovereign Debt Crisis, both within the Euro Area and to the rest of the world. This analysis is based on a structural macroeconometric model of the world economy, disaggregated into fifteen national economies. We find...
Persistent link: https://www.econbiz.de/10009207522
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Cross-Country Causes and Consequences of the 2008 Crisis: International Linkages and American Exposure
Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2009
This paper models the causes of the 2008 financial crisis together with its manifestations, using a Multiple Indicator Multiple Cause (MIMIC) model. Our analysis is conducted on a cross-section of 85 countries; we focus on international linkages that may have allowed the crisis to spread across...
Persistent link: https://www.econbiz.de/10008528523
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Looking for Contagion: the Evidence from the ERM
Favero, Carlo A.; Giavazzi, Francesco - C.E.P.R. Discussion Papers - 2000
This paper applies a full-information technique to test for the presence of contagion across the money markets of ERM … members. We show that whenever it is possible to estimate a model for interdependence, a test for contagion based o a full … information technique is more powerful. We test for the presence of contagion after having identified episodes of country …
Persistent link: https://www.econbiz.de/10005123753
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Currency Crises: A Perspective on Recent Theoretical Developments
Jeanne, Olivier - C.E.P.R. Discussion Papers - 1999
This paper puts recent theoretical developments in the literature on currency crises in perspective by comparing two theoretical approaches, one based on the speculative attack model of Krugman-Flood-Garber and the other approach, which evolved following the 1992-93 crisis of the European...
Persistent link: https://www.econbiz.de/10005123792
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Coordination, Cooperation, Contagion and Currency Crises
Loisel, Olivier; Martin, Philippe - C.E.P.R. Discussion Papers - 1999
improving, makes countries more dependent on other countries' fundamentals so that it may induce more contagion: a negative …
Persistent link: https://www.econbiz.de/10005124321
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Bonds and Brands: Lessons from the 1820s
Flandreau, Marc; Zendejas, Flores; Huitzilihuitl, Juan; … - C.E.P.R. Discussion Papers - 2007
How does sovereign debt emerge and become sustainable? This paper provides a new answer to this unsolved puzzle. Focusing on the early 19th century, we argue that intermediaries' market power served to overcome information asymmetries and sustained the development of sovereign debt. Relying on...
Persistent link: https://www.econbiz.de/10005136631
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Measuring Co-Movements Between US and European Stock Markets
Bonfiglioli, Alessandra; Favero, Carlo A. - C.E.P.R. Discussion Papers - 2000
stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By … equilibrium for US shares? Is there short-term interdependence and contagion between US and European stock markets, i.e. do short … volatility episodes? …
Persistent link: https://www.econbiz.de/10005067572