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Euro area cross-border financial flows and the global financial crisis

Forster, Katrin; Vasardani, Melina A.; Ca' Zorzi, Michele - European Central Bank - 2011

This paper analyses the impact of the global financial crisis on euro area cross-border financial flows by comparing recent developments with the main pre-crisis trends. Two prominent features of the period of turmoil were (i) the sizeable deleveraging of external financial exposures by the...

Persistent link: https://www.econbiz.de/10009216679

Explaining EU citizens’ trust in the ECB in normal and crisis times

Ehrmann, Michael; Soudan, Michel; Stracca, Livio - European Central Bank - 2012

We study the determinants of trust in the ECB as measured by the European Commission's Eurobarometer survey. The formulation of the corresponding question in this survey is very general, and compatible with very different notions of "trust" by respondents. In particular, the survey does not ask...

Persistent link: https://www.econbiz.de/10010686791

Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis

Chudik, Alexander; Fratzscher, Marcel - European Central Bank - 2012

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR methodology, the findings reveal fundamental differences in the transmission strength and pattern between the 2007-08 financial crisis and the 2010-11 sovereign debt crisis....

Persistent link: https://www.econbiz.de/10010686821

Euro area cross-border financial flows and the global financial crisis

Forster, Katrin; Vasardani, Melina A.; Ca' Zorzi, Michele - European Central Bank - 2011

Persistent link: https://www.econbiz.de/10010688341

Systemic risk in alternative payment system designs

Galos, Peter; Soramäki, Kimmo - European Central Bank - 2005

payment system designs. We assess the exposures and the contagion by a counterfactual analysis assuming that payments …

Persistent link: https://www.econbiz.de/10005530706

Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe

Claeys, Peter; Vašíček, Bořek - European Central Bank - 2014

test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. JEL Classification: G12, C14, E43 …

Persistent link: https://www.econbiz.de/10011067242

Understanding bank-run contagion

Brown, Martin; Trautmann, Stefan T.; Vlahu, Razvan - European Central Bank - 2014

We study experimental coordination games to examine through which transmission channels, and under which information conditions, a panic-based depositor-run at one bank may trigger a panic-based depositor-run at another bank. We find that withdrawals at one bank trigger withdrawals at another...

Persistent link: https://www.econbiz.de/10011067254

Cross-border bank contagion in Europe

Gropp, Reint; Lo Duca, Marco; Vesala, Jukka - European Central Bank - 2006

This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …

Persistent link: https://www.econbiz.de/10005004534

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - European Central Bank - 2003

JEL Classification: C11, C15, F41, F42, G15

Persistent link: https://www.econbiz.de/10005816160

Interbank contagion at work: evidence from a natural experiment

Iyer, Rajkamal; Peydró, José-Luis - European Central Bank - 2010

This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden … contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the … linkages act as an important channel of contagion and hold important policy implications. JEL Classification: G21, G28, E58 …

Persistent link: https://www.econbiz.de/10008545907