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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009

transmission mechanism—contagion—during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

Persistent link: https://www.econbiz.de/10005765747

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis

Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009

. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin …

Persistent link: https://www.econbiz.de/10008596577

Bank Bailouts, International Linkages and Cooperation

Niepmann, Friederike; Schmidt-Eisenlohr, Tim - CESifo - 2011

intervention have stronger effects beyond borders. We provide a model of international contagion allowing for bank bailouts. While …

Persistent link: https://www.econbiz.de/10008872219

The International Monetary Fund : 70 Years of Reinvention

Reinhart, Carmen M. - 2016

A sketch of the International Monetary Fund's 70-year history reveals an institution that has reinvented itself over time along multiple dimensions. This history is primarily consistent with a “demand driven” theory of institutional change, as the needs of its clients and the type of crisis...

Persistent link: https://www.econbiz.de/10013000216

Networks of Volatility Spillovers Among Stock Markets

Baumohl, Eduard - 2017

In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Persistent link: https://www.econbiz.de/10012954361

Spillovers from Systemic Bank Defaults

Mink, Mark - 2014

We examine to what extent banks' stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...

Persistent link: https://www.econbiz.de/10013053062

Spillovers from Systemic Bank Defaults

Mink, Mark; Haan, Jakob de - CESifo - 2014

We examine to what extent banks’ stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...

Persistent link: https://www.econbiz.de/10010877758

Contagion in Financial Networks: A Threat Index

Demange, Gabrielle - CESifo - 2015

Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit...

Persistent link: https://www.econbiz.de/10011257674

Stock Market Integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 2010

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three … Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining …

Persistent link: https://www.econbiz.de/10008583722

Systemic Crisis and Growth Revisited : Has the Global Financial Crisis Marked a New Era?

Steinkamp, Sven - 2018

Occasional crises have been shown to be part of growth enhancing mechanism (see Rancière, Tornell and Westermann, 2008). In this paper, we document that neither the stereotypical case study of India vs. Thailand, nor the benchmark growth-regression in this earlier research support this result...

Persistent link: https://www.econbiz.de/10012914607