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The aim of this paper is to study the contagion effects of the subprime financial crisis on the real economy of … developed countries. The contagion of this crisis will be measured by increased linkages between markets after a shock has taken … place (the stock market shocks, the interbank spread). The VAR model is utilized to examine the relationship between the U …
Persistent link: https://www.econbiz.de/10010935036
contagion effect on the surviving financial institutions. The empirical analysis indicates that (i) the collateral damages were …
Persistent link: https://www.econbiz.de/10010899300
a Panel VAR on annual data for European countries from 1986-2010. Our results provide evidence for a significant two …
Persistent link: https://www.econbiz.de/10009647502
The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries (US, Italy, Germany, Netherland and France) and exporter ones (Emirate Arab Units, Kuwait Saudi Arabia and Venezuela). The dataset...
Persistent link: https://www.econbiz.de/10010899622
The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC stock markets in the aftermath of the 2007/2008 crisis be explained by the worsening financial environment in the US markets? To this end, we rely on a time-varying transition...
Persistent link: https://www.econbiz.de/10009004294
An intricate web of claims and obligations ties together the balance sheets of a wide variety of financial institutions. Under the occurrence of default, these interbank claims generate externalities across institutions and possibly disseminate defaults and bankruptcy. Building on a simple model...
Persistent link: https://www.econbiz.de/10010739081
moyen terme. Dans cette étude, nous parvenons au moyen d'un VAR Structurel à mettre en évidence des phénomènes de contagion … perturbations de grande envergure et à étudier les phénomènes de contagion qui se sont manifestés lors de ces deux épisodes afin d …
Persistent link: https://www.econbiz.de/10010899672
This paper aims to study the contagion effects of the subprime financial crisis on the real economy of the USA. The … contagion of this crisis is measured by increased linkages between markets after a shock has taken place (the stock market … shocks, the interbank spread). The VAR model is utilized to examine the relationship between the U.S. markets on two sub …
Persistent link: https://www.econbiz.de/10010933785
Within a forward forecast test on Dynamic Conditional Correlation (DCC), we investigate the contagion of the subprime … will employ "One step" and "N-step" forecast test to check the contagion effect. The results we have found show the … categories of contagion, ''positive'' and ''negative'' among different markets. …
Persistent link: https://www.econbiz.de/10010933789
This review of the book "The Challenge of Financial Stability: A New Model and its Applications" by Goodhart C.A.E. and Tsomocos D.P. highlights the potential of the framework of strategic partial default of banks with credit chain on the interbank market for further theoretical and applied...
Persistent link: https://www.econbiz.de/10011025863