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Reform, Uncertainty and Spillovers - A Gravity Model Approach
Fidrmuc, Jan; Karaja, Elira; Tichit, Ariane - CESifo - 2012
Reforms often occur in waves, seemingly cascading from country to country. We argue that such reform waves may be driven by informational spillovers: uncertainty about the outcome of reform is reduced by learning from the experience of similar countries. We motivate this hypothesis with a simple...
Persistent link: https://www.econbiz.de/10009651184
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Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis
Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...
Persistent link: https://www.econbiz.de/10008596577
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Financial Contagion and the European Debt Crisis
Missio, Sebastian; Watzka, Sebastian - CESifo - 2011
findings show that there is contagion within the Euro Area. Additionally, contagious effects generated by rating announcements …
Persistent link: https://www.econbiz.de/10009278131
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Risk-Sharing and Contagion in Networks
Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando - CESifo - 2014
We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs resulting from an increased risk exposure. We find that when the shock distribution displays “fat” tails, extreme segmentation into small components is optimal, while minimal...
Persistent link: https://www.econbiz.de/10010754654
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Monetary Policies of Large Industrialised Countries, Emerging Market Credit Cycles and Feedback Effects
Hoffmann, Andreas; Schnabl, Gunther - CESifo - 2014
This paper explores the link between monetary policies of large industrial countries and international credit cycles. Based on an overinvestment framework, we show that in the prevailing asymmetric world monetary system, monetary policies of large centre countries can fuel credit booms in...
Persistent link: https://www.econbiz.de/10010756160
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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
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A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds
Borensztein, Eduardo R.; Gelos, R. Gaston - CESifo - 2001
This paper explores the behavior of emerging market mutual funds using anovel database covering the holdings of individual funds over the periodJanuary 1996 to March 1999. An examination of individual crises shows that,on average, funds withdrew money one month prior to the events. Thedegree of...
Persistent link: https://www.econbiz.de/10005094343
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Lender of Last Resort and Bank Closure Policy
Freixas, Xavier; Parigi, Bruno Maria - CESifo - 2008
of last resort and other safety net issues. We devote particular emphasis to the analysis of systemic risk and contagion …
Persistent link: https://www.econbiz.de/10005405802
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Econometric Issues in the Analysis of Contagion
Pesaran, M. Hashem; Pick, Andreas - CESifo - 2004
This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …
Persistent link: https://www.econbiz.de/10005406044
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Stock Market Integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 2010
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 … spillovers between the three CEECs considered and the UK (contagion). …
Persistent link: https://www.econbiz.de/10008583722