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An empirical study to identify shift contagion during the Asian crisis
Marais, Elise; Bates, Samuel - Université Paris-Dauphine (Paris IX) - 2006
The paper is an empirical study on contagion during the 1997–1998 Asian crisis. In line with Sander and Kleimeier … [Sander, H., Kleimeier, S., 2003. Contagion and causality: an empirical investigation of four Asian crisis episodes … market is tested. Using a new measure of causality, we attempt to show the existence of shift contagion defined as …
Persistent link: https://www.econbiz.de/10010905171
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Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe
Vinhas de Souza, Lúcio - Deutsche Bundesbank - 2004
This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of ?emerging...
Persistent link: https://www.econbiz.de/10005083257
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Project Finance at the World Bank: An Overview of Policies and Instruments.
Benoit, P. - World Bank Group - 1996
Private and public sector sponsors of infrastructure, industrial and other commercial projects in developing countries are looking increasingly to the project finance structure to fund these operations. The World Bank has an array of financial instruments to support these projects. This paper...
Persistent link: https://www.econbiz.de/10005780263
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World Bank Lending for Small Enterprises 1989-1993.
Webster, L.M.; Riopelle, R.; Chidzero, A.M. - World Bank Group - 1996
The main objective of this report is to evaluate World Bank lending for small enterprises between FY89 and FY93, including both small and medium enterprises and microenterprises. There has been a marked shift in the Bank's work in this area, and this review details the nature and content of this...
Persistent link: https://www.econbiz.de/10005639100
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Finance internationale
Lautier, Delphine; Simon, Yves; Morel, Christophe - Université Paris-Dauphine (Paris IX) - 2009
L'ouvrage présente une vision globale de la finance internationale. Avec les techniques financières, le marché des changes, la gestion des risques internationaux ou les places financières internationales.
Persistent link: https://www.econbiz.de/10010707979
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Finance internationale et gestion des risques : questions et exercices corrigés
Simon, Yves; Roy, Sébastien - Université Paris-Dauphine (Paris IX) - 2013
La finalité de cet ouvrage est pédagogique. Il est destiné à faciliter l’acquisition des connaissances dans le domaine de la finance internationale et celui de la gestion des risques. Cette nouvelle édition, actualisée et rénovée, regroupe tous les thèmes importants de ces deux...
Persistent link: https://www.econbiz.de/10011072929
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German bank lending during emerging market crises: A bank level analysis
Heid, Frank; Nestmann, Thorsten; Mauro, di; Weder, Beatrice - Deutsche Bundesbank - 2004
This paper studies German bank lending during the Asian and Russian crises, using a bank level data set, which has been compiled from credit data at the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We...
Persistent link: https://www.econbiz.de/10005082775
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Volatility returns with vengeance: Financial markets vs. commodities
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2015
To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of...
Persistent link: https://www.econbiz.de/10011205311
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010956052
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Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - Institut für Weltwirtschaft (IfW) - 2012
The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10010956076