Showing 1 - 10 of 308
To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...
Persistent link: https://www.econbiz.de/10011142002
The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is...
Persistent link: https://www.econbiz.de/10005599227
The availability of financial instruments related to indices that track global financial conditions and risk appetite can potentially offer countries alternative options to insure against external shocks. This paper shows that while these instruments can explain much of the in-sample variation...
Persistent link: https://www.econbiz.de/10009203536
Unconventional monetary policy is often assumed to benefit banks. However, we find little supporting evidence. Rather, we find some evidence for heightened medium-term risks. First, in an event study using a novel instrument for monetary policy surprises, we do not detect clear effects of...
Persistent link: https://www.econbiz.de/10011142163
The impact of monetary policy in large advanced countries on emerging market economies—dubbed spillovers—is hotly debated in global and national policy circles. When the U.S. resorted to unconventional monetary policy, spillovers on asset prices and capital flows were significant,...
Persistent link: https://www.econbiz.de/10011123869
This paper quantifies financial spillovers from global risk factors to banks’ funding costs in Chile. It decomposes Chilean banks’ bond and interbank spreads into domestic and external factors. The results suggest moderate spillovers. On average, global spillovers pushed up bank...
Persistent link: https://www.econbiz.de/10011142070
Experience from the global financial crisis suggests that countries’ borrowing costs are not solely determined by macro and fiscal fundamentals. Factors such as ownership structures of government securities, among others, also play a significant role. This paper investigates the effect of...
Persistent link: https://www.econbiz.de/10011142157
What attracts conventional investors to Islamic financial instruments? We answer this question by comparing Malaysian Islamic and conventional security prices and their response to macrofinancial factors. Our analysis suggests that Islamic and conventional bond and equity prices are driven by...
Persistent link: https://www.econbiz.de/10011142164
By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries’ sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity conditions in the CDS market. But the relative...
Persistent link: https://www.econbiz.de/10011142168
Capital market development in Brazil is a key policy issue going forward to foster savings, investment and absorptive capacity in a context of prospects for sizable capital flows in the medium term. During the last decade, Brazil has achieved substantial progress in capital market development....
Persistent link: https://www.econbiz.de/10011242406