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Do Real Exchange Rate Appreciations Matter for Growth?

Bussière, Matthieu; Lopez, Claude; Tille, Cédric - Institut für Weltwirtschaft (IfW) - 2014

While the impact of exchange rate changes on economic growth has long been an issue of key importance in international macroeconomics, it has received renewed attention in recent years, owing to weaker growth rates and the debate on "currency wars". However, in spite of its prevalence in the...

Persistent link: https://www.econbiz.de/10010886950

Contagion Risk in the Interbank Market: A Probabilistic Approach to cope with Incomplete Structural Information

Montagna, Mattia; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2014

for the contagion after default of one unit (i.e. number of expected subsequent defaults, or their probabilities). For …

Persistent link: https://www.econbiz.de/10010905564

Hubs and resilience: towards more realistic models of the interbank markets

Montagna, Mattia; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2013

This paper uses a toy financial system to study systemic risk in scale-free interbank networks. Networks are produced according to a fitness algorithm, combined with a representation of the balance sheets of the banks. Our generating processes for interbank networks are designed in a way to...

Persistent link: https://www.econbiz.de/10010905570

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

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

Finding communities in credit networks

Bargigli, Leonardo; Gallegati, Mauro - Institut für Weltwirtschaft (IfW) - 2012

likelihood of intracommunity default contagion is expected to be high. …

Persistent link: https://www.econbiz.de/10010956113

Contagion effect of financial crisis on OECD stock markets

Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa - Institut für Weltwirtschaft (IfW) - 2011

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global …-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs … OECD stock markets under study during the crisis period for most of the countries. This proves the existence of contagion …

Persistent link: https://www.econbiz.de/10009149314

Contagion Between European and US Banks: Evidence from Equity Prices

Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

Persistent link: https://www.econbiz.de/10008764567