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The Greek Debt Crisis: Likely Causes, Mechanics and Outcomes

Arghyrou, Michael G.; Tsoukalas, John D. - CESifo - 2010

fiscal guarantees, respectively occurring in November 2009 and February/March 2010. We argue that the risk of contagion to …

Persistent link: https://www.econbiz.de/10008799726

Findings of the Signal Approach for Financial Monitoring in Kazakhstan

Abberger, Klaus; Nierhaus, Wolfgang; Shaikh, Shynar - CESifo - 2009

This study concentrates on the signal approach for Kazakhstan. It focuses on the properties of individual indicators prior to observed currency crises. The indicators are used to build composite indicators. An advanced approach uses principal components analysis for the construction of composite...

Persistent link: https://www.econbiz.de/10008572474

Debt Financing and Sharp Currency Depreciations: Wholly vs. Partially Owned Multinational Affiliates

Hebous, Shafik; Weichenrieder, Alfons - CESifo - 2009

This paper provides empirical evidence on two potential costs of shared ownership of German affiliates abroad. First, in periods of currency crises, wholly-owned affiliates, in contrast to partially-owned affiliates, seem to circumvent financial constraints by accessing capital from their parent...

Persistent link: https://www.econbiz.de/10008572531

Lender of Last Resort and Bank Closure Policy

Freixas, Xavier; Parigi, Bruno Maria - CESifo - 2008

of last resort and other safety net issues. We devote particular emphasis to the analysis of systemic risk and contagion …

Persistent link: https://www.econbiz.de/10005405802

Econometric Issues in the Analysis of Contagion

Pesaran, M. Hashem; Pick, Andreas - CESifo - 2004

This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …

Persistent link: https://www.econbiz.de/10005406044

Contagion in Financial Networks: A Threat Index

Demange, Gabrielle - CESifo - 2015

Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit...

Persistent link: https://www.econbiz.de/10011257674

A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds

Borensztein, Eduardo R.; Gelos, R. Gaston - CESifo - 2001

This paper explores the behavior of emerging market mutual funds using anovel database covering the holdings of individual funds over the periodJanuary 1996 to March 1999. An examination of individual crises shows that,on average, funds withdrew money one month prior to the events. Thedegree of...

Persistent link: https://www.econbiz.de/10005094343

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009

transmission mechanism—contagion—during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

Persistent link: https://www.econbiz.de/10005765747

Reform, Uncertainty and Spillovers - A Gravity Model Approach

Fidrmuc, Jan; Karaja, Elira; Tichit, Ariane - CESifo - 2012

Reforms often occur in waves, seemingly cascading from country to country. We argue that such reform waves may be driven by informational spillovers: uncertainty about the outcome of reform is reduced by learning from the experience of similar countries. We motivate this hypothesis with a simple...

Persistent link: https://www.econbiz.de/10009651184

Financial Contagion and the European Debt Crisis

Missio, Sebastian; Watzka, Sebastian - CESifo - 2011

findings show that there is contagion within the Euro Area. Additionally, contagious effects generated by rating announcements …

Persistent link: https://www.econbiz.de/10009278131