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Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates

Grammatikos, Theoharry; Vermeulen, Robert - de Nederlandsche Bank - 2011

This paper tests for the transmission of the 2007-2010 financial and sovereign debt crises to fifteen EMU countries. We use daily data from 2003 to 2010 on country financial and non-financial stock market indexes. First, we find strong evidence of crisis transmission to European non-financials...

Persistent link: https://www.econbiz.de/10008860749

Financial globalization or great financial expansion? The impact of capital flows on credit and banking crises

Frost, Jon; Tilburg, Ruben van - de Nederlandsche Bank - 2014

This paper empirically examines the impact of capital flows on credit growth, credit excesses and banking crises using quarterly panel data from 43 advanced (AEs) and emerging market economies (EMEs). Regressions show that gross capital inflows precede credit growth and credit excesses. Both...

Persistent link: https://www.econbiz.de/10010945598

Do Financial Markets Expect Bank Defaults to be Contagious?

Mink, Mark - de Nederlandsche Bank - 2010

Simultaneous bank defaults are often attributed to interbank contagion, but can also be due to common shocks affecting …, we find no evidence for such an effect. This finding suggests that contagion risk has been overestimated, which has …

Persistent link: https://www.econbiz.de/10008783627

The pitch rather than the pit: investor inattention during FIFA World Cup matches

Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2012

At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...

Persistent link: https://www.econbiz.de/10009493318

A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets

Goorbergh, Rob van den - de Nederlandsche Bank - 2004

This paper investigates the level and development of cross-country stock market dependence using daily returns on stock indices. The use of copulas allows us to build exible models of the joint distribution of stock index returns. In particular, we apply univariate AR(p)-GARCH(1,1) models to the...

Persistent link: https://www.econbiz.de/10005101799

Contagion during the Greek Sovereign Debt Crisis

Mink, Mark; Haan, Jakob de - de Nederlandsche Bank - 2012

Using an event study approach, we examine the impact of news about Greece and news about a Greek bailout on bank stock prices in 2010 using data for 48 banks included in the European stress tests. We identify the twenty days with extreme returns on Greek sovereign bonds and categorize the news...

Persistent link: https://www.econbiz.de/10009493319

Early warning for currency crises: what is the role of financial openness?

Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013

constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a … risk of a crisis for EMEs. Third, contagion has a very strong impact, consistent with the past literature, especially …

Persistent link: https://www.econbiz.de/10010757284

Measuring Stock Market Contagion with an Application to the Sub-prime Crisis

Mink, Mark; Mierau, Jochen - de Nederlandsche Bank - 2009

We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between …

Persistent link: https://www.econbiz.de/10004963328

Interbank Contagion in the Dutch Banking Sector

Lelyveld, Iman van; Liedorp, Franka - de Nederlandsche Bank - 2004

We investigate interlinkages and contagion risks in the Dutch interbank market. Based on severaldata sources, including … a scenario analysis to measure contagion risks. We find that the bankruptcy of one of the large banks will put a … considerable burden on the other banks, but will not lead to a complete collapse of the interbank market. The contagion effects of …

Persistent link: https://www.econbiz.de/10005106664

When does the general public lose trust in banks?

Jansen, David-Jan; Mosch, Robert; Cruijsen, Carin van der - de Nederlandsche Bank - 2013

When does the general public lose trust in banks? We provide empirical evidence using responses by Dutch survey participants to eight hypothetical scenarios. We find that members of the general public care strongly about executive compensation. Negative media reports, falling stock prices, and...

Persistent link: https://www.econbiz.de/10010726974