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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

The Effect of Labor Migration on the Diffusion of Democracy: Evidence from a Former Soviet Republic

Mahmoud, Toman Omar; Rapoport, Hillel; Steinmayr, Andreas; … - Institut für Weltwirtschaft (IfW) - 2013

Migration contributes to the circulation of goods, knowledge, and ideas. Using community and individual-level data from Moldova, we show that the Emigration episode that started in the late 1990s strongly affected political preferences and electoral outcomes in Moldova during the following...

Persistent link: https://www.econbiz.de/10010886978

Social networks and macroeconomic stability

Chen, Shu-Heng; Chang, Chia-Ling; Wen, Ming-Chang - Institut für Weltwirtschaft (IfW) - 2013

We construct an agent-based New Keynesian DSGE model with different social network structures to investigate the significance of network topologies to macroeconomic stability. According to our simulation results, we find that the more liquid the information flow, the higher the stability of the...

Persistent link: https://www.econbiz.de/10010956024

Coordination in the El Farol Bar problem: The role of social preferences and social networks

Chen, Shu-Heng; Gostoli, Umberto - Institut für Weltwirtschaft (IfW) - 2013

In this paper, the authors continue the pursuit of the self-coordination mechanism as studied in the El Farol Bar problem. However, in addition to efficiency (the optimal use of the public facility), they are also interested in the distribution of the public resources among all agents. Hence,...

Persistent link: https://www.econbiz.de/10010956095