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Shift-Volatility Transmission in East Asian Equity Markets

Aloy, Marcel; Truchis, Gilles De; Dufrénot, Gilles; … - HAL - 2013

This paper attempts to provide evidence of "shift-volatility" transmission in the East Asian equity markets. By shift-volatility, we mean the volatility shifts from a low level to a high level, corresponding respectively to tranquil and crisis periods. We examine the interdependence of equity...

Persistent link: https://www.econbiz.de/10010933832

Business Cycles Synchronization in East Asia: A Markov-Switching Approach

Dufrénot, Gilles; Keddad, Benjamin - HAL - 2013

This paper attempts to analyze the relationships between the ASEAN-5 countries' business cycles. We examine the nature of business cycles correlation trying to disentangle between regional spillover effects (expansion and recession phases among the ASEAN-5 are correlated) and global spillovers...

Persistent link: https://www.econbiz.de/10010933854

The use of accounting and stock market data to predict bank financial distress: the case of East Asian banks

Distinguin, Isabelle; Tarazi, Amine; Trinidad, Jocelyn - HAL - 2011

This paper investigates whether market information could add to accounting information in the prediction of bank financial distress in Asia. A stepwise logit model is first estimated to isolate the optimal set of accounting indicators and then extended to include market indicators. Dummy...

Persistent link: https://www.econbiz.de/10010607934

Are early market indicators of financial deterioration accurate for Too Big To Fail banks? Evidence from East Asia

Distinguin, Isabelle; Tarazi, Amine - HAL - 2010

This paper investigates whether market information is reliable to predict financial deterioration of large Too Big To Fail banks in Asia. A stepwise logit model is first estimated to isolate the optimal set of accounting indicators to predict rating downgrades. The model is then extended to...

Persistent link: https://www.econbiz.de/10010820702

The determinants of bank stock return's co-movements in East Asia

Bautista, Carlos; Rous, Philippe; Tarazi, Amine - HAL - 2009

We examine co-movements of bank stock returns in eight East Asian countries after the 1997 crisis and attempt to determine the factors that influence them. Unlike Bautista and al (2008) who focus on a measure of the contribution of banks to systemic risk, we consider the return correlations...

Persistent link: https://www.econbiz.de/10010821010

The use of accounting and stock market data to predict bank financial distress: the case of East Asian banks

Distinguin, Isabelle; Tarazi, Amine; Trinidad, Jocelyn - HAL - 2008

Persistent link: https://www.econbiz.de/10010821430

The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity

Allegret, Jean-Pierre; Couharde, Cécile; Guillaumin, Cyriac - HAL - 2012

In this paper, we examine the relative importance of external shocks in domestic fluctuations of East Asian countries and check if these shocks lead to asymmetric or symmetric reactions between the considered economies. To this end, we estimate, over the period 1990.1-2010.4, a structural VAR...

Persistent link: https://www.econbiz.de/10010898573

Home Sweet Home? Macroeconomic Conditions in Home Countries and the Well-Being of Migrants

Akay, Alpaslan; Bargain, Olivier; Zimmermann, Klaus F. - HAL - 2014

-being responds negatively (positively) to an increase in the GDP (unemployment rate) of their home country. That is, we originally …

Persistent link: https://www.econbiz.de/10010933917

The Local Determinants of Victimization

Hémet, Camille - HAL - 2013

neighborhood characteristics explain victimization better than individual characteristics. Second, I find that local unemployment … the precise localization of the data to adopt a spatial approach, comparing the effect of unemployment rate in the …

Persistent link: https://www.econbiz.de/10010933937

Unemployment and finance: how do financial and labour market factors interact?

Gatti, Donatella; Vaubourg, Anne-Gaël - HAL - 2009

determine unemployment. We show that the impact of financial variables depends strongly on the labour market context. Increased … market capitalization as well as decreased banking concentration reduce unemployment if the level of labour market regulation … intermediated credit worsens unemployment when the labour market is weakly regulated and coordinated, whereas it reduces …

Persistent link: https://www.econbiz.de/10010930162