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Systemic sovereign risk: macroeconomic implications in the euro area

Bahaj, Saleem A. - London School of Economics (LSE) - 2014

What are the macroeconomic implications of changes in sovereign risk premia? In this paper, I use a novel identification strategy coupled with a new dataset for the Euro Area to answer this question. I show that exogenous innovations in sovereign risk premia were an important driver of the...

Persistent link: https://www.econbiz.de/10011126365

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

. Our model is well-suited to study the contagion-like eects of liquidity shocks. …

Persistent link: https://www.econbiz.de/10010884503

Financial contagion through capital connections: a model of the origin and spread of bank panics

Dasgupta, Amil - London School of Economics (LSE) - 2002

Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and … failure of a financial institution. We show that contagion is possible in the unique equilibrium of the economy and … of contagion risk. Our results suggest that when the probability of bank failure is low, maximal levels of interbank …

Persistent link: https://www.econbiz.de/10010884582

Equilibrium analysis, banking, contagion and financial fragility

Tsomocos, Dimitrios P. - London School of Economics (LSE) - 2003

for positive default levels in equilibrium. It also characterises contagion and financial fragility as an equilibrium …

Persistent link: https://www.econbiz.de/10010884714

Market quality and contagion in fragmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2013

proxies. The model is especially well-suited to study the contagion-like effects of liquidity shocks. …

Persistent link: https://www.econbiz.de/10011171758

Estimating US fiscal and monetary interactions in a time varying VAR

Gerba, Eddie; Hauzenberger, Klemens - London School of Economics (LSE) - 2013

We contribute to the growing empirical literature on monetary and fiscal interactions by applying a sign restriction identification scheme to a structural TVP-VAR in order to disentangle and evaluate the policy shocks and policy transmissions. This in turn allows us to study the Great Recession...

Persistent link: https://www.econbiz.de/10011125926

A procedure for combining zero and sign restrictions in a VAR-identification scheme

Haberis, Alex; Sokol, Andrej - London School of Economics (LSE) - 2014

In this paper we describe a procedure for implementing zero restrictions within the context of a sign restrictions identification scheme for VARs. The procedure introduces an additional step into the algorithm outlined in Fry and Pagan (2011) and Rubio-Ramirez et al (2006) for implementing sign...

Persistent link: https://www.econbiz.de/10011126041

Estimating US fiscal and monetary interactions in a time varying VAR

Gerba, Eddie; Hauzenberger, Klemens - London School of Economics (LSE) - 2014

Persistent link: https://www.econbiz.de/10011126653

Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...

Persistent link: https://www.econbiz.de/10010884659

Does beta move with news?: Systematic risk and firm-specific information flows

Patton, Andrew J.; Verardo, Michela - London School of Economics (LSE) - 2009

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...

Persistent link: https://www.econbiz.de/10011071113