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Financial contagion: Spillovers through banking centers

Van Rijckeghem, Caroline; Weder, Beatrice - Center for Financial Studies - 1999

This paper presents evidence that spillovers through shifts in bank lending can help explain the pattern of contagion … incidence of a currency crisis. In the Russian crisis, the common bank lender helps to predict the incidence of contagion but … may be more important in explaining contagion than similarities in macro-economic fundamentals and even than trade …

Persistent link: https://www.econbiz.de/10010958810

Economic integration and the exchange rate regime: How damaging are currency crises?

Weber, Axel A.; Beck, Günter W. - Center for Financial Studies - 2003

We use consumer price data for 205 cities/regions in 21 countries to study PPP deviations before, during and after the major currency crises of the 1990s. We combine data from industrialized nations in North America (Unites States, Canada and Mexico), Europe (Germany, Italy, Spain and Portugal),...

Persistent link: https://www.econbiz.de/10010986453

Did fair-value accounting contribute to the financial crisis?

Laux, Christian; Leuz, Christian - Center for Financial Studies - 2009

The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we...

Persistent link: https://www.econbiz.de/10010958489

Measuring financial asset return and volatilty spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - Center for Financial Studies - 2008

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10010958505

The dynamics of spillover effects during the European sovereign debt turmoil

Alter, Adrian; Beyer, Andreas - Center for Financial Studies - 2012

transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …

Persistent link: https://www.econbiz.de/10010958562

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - Center for Financial Studies - 2007

Persistent link: https://www.econbiz.de/10010958768

Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero

Coenen, Günter; Orphanides, Athanasios; Wieland, Volker - Center for Financial Studies - 2003

This paper employs stochastic simulations of a small structural rational expectations model to investigate the consequences of the zero bound on nominal interest rates. We find that if the economy is subject to stochastic shocks similar in magnitude to those experienced in the U.S. over the...

Persistent link: https://www.econbiz.de/10010986364

The reform of October 1979: How it happened and why

Lindsay, David E.; Orphanides, Athanasios; Rasche, Robert H. - Center for Financial Studies - 2004

This study offers a historical review of the monetary policy reform of October 6, 1979, and discusses the influences behind it and its significance. We lay out the record from the start of 1979 through the spring of 1980, relying almost exclusively upon contemporaneous sources, including the...

Persistent link: https://www.econbiz.de/10010986369

A quantitative exploration of the opportunistic approach to disinflation

Aksoy, Yunus; Orphanides, Athanasios; Small, David; … - Center for Financial Studies - 2005

Under a conventional policy rule, a central bank adjusts its policy rate linearly according to the gap between inflation and its target, and the gap between output and its potential. Under the opportunistic approach to disinflation a central bank controls inflation aggressively when inflation is...

Persistent link: https://www.econbiz.de/10010986427

Exchange-rate policy and the zero bound on nominal interest

Wieland, Volker; Coenen, Günter - Center for Financial Studies - 2004

In this paper, we study the effectiveness of monetary policy in a severe recession and deflation when nominal interest rates are bounded at zero. We compare two alternative proposals for ameliorating the effect of the zero bound: an exchange-rate peg and price-level targeting. We conduct this...

Persistent link: https://www.econbiz.de/10010986434