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Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis
Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009
. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin …
Persistent link: https://www.econbiz.de/10008596577
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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
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Bank Bailouts, International Linkages and Cooperation
Niepmann, Friederike; Schmidt-Eisenlohr, Tim - CESifo - 2011
intervention have stronger effects beyond borders. We provide a model of international contagion allowing for bank bailouts. While …
Persistent link: https://www.econbiz.de/10008872219
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Spillovers from Systemic Bank Defaults
Mink, Mark; Haan, Jakob de - CESifo - 2014
We examine to what extent banks’ stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...
Persistent link: https://www.econbiz.de/10010877758
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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
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Stock Market Integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 2010
This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three … Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining …
Persistent link: https://www.econbiz.de/10008583722
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Iceland: How Could This Happen?
Gylfason, Thorvaldur - CESifo - 2014
This paper reviews economic developments in Iceland following its financial collapse in 2008, focusing on causes and consequences of the crash. The review is presented in the context of the Nordic region, with broad comparisons also with developments elsewhere on the periphery of Europe, in...
Persistent link: https://www.econbiz.de/10010877635
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Gold, Oil, and Stocks: Dynamic Correlations
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10011272625
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Monetary Policies of Large Industrialised Countries, Emerging Market Credit Cycles and Feedback Effects
Hoffmann, Andreas; Schnabl, Gunther - CESifo - 2014
This paper explores the link between monetary policies of large industrial countries and international credit cycles. Based on an overinvestment framework, we show that in the prevailing asymmetric world monetary system, monetary policies of large centre countries can fuel credit booms in...
Persistent link: https://www.econbiz.de/10010756160
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Political Booms, Financial Crises
Herrera, Helios; Ordonez, Guillermo; Trebesch, Christoph - CESifo - 2014
We show that political booms, measured by the rise in governments’ popularity, predict financial crises above and beyond other better-known early warning indicators, such as credit booms. This predictive power, however, only holds in emerging economies. We show that governments in emerging...
Persistent link: https://www.econbiz.de/10010888458