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Econometric issues in the analysis of contagion

Pesaran, M. Hashem; Pick, Andreas - 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/10011402451

Capital flow reversals and currency crises : do capital flow types matter?

Zhang, Mengting; Steiner, Andreas; Haan, Jakob de; … - 2024

We analyse how reversals of several types of capital flows impact currency crises in emerging market and developing economies. Estimates of logit models show that reversals of (equity and debt) portfolio flows significantly increase the likelihood of currency crises in emerging market economies....

Persistent link: https://www.econbiz.de/10014502445

A panic-prone pack? : the behavior of emerging market mutual funds

Borensztein, Eduardo; Gelos, Gaston - 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/10011400340

Risk-sharing and contagion in networks

Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando - 2014 - This version: January 15, 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/10010260030

Monetary policies of large industrialised countries, emerging market credit cycles and feedback effects

Andreas, Hoffmann; Schnabl, Gunther - 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/10010337620

Banking supervision in integrated financial markets : implications for the EU

Stolz, Stéphanie Marie - 2002

-border contagion effects could turn out to be important in the EU because national banking problems could easily spread via the highly … take cross-border contagion effects into account. Supervisors with such a national mandate fail to implement the optimum …

Persistent link: https://www.econbiz.de/10011514035

Contagion in financial networks : a threat index

Demange, Gabrielle - 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/10010509633

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

Persistent link: https://www.econbiz.de/10012226706

Energy contagion analysis : a new perspective with application to a small petroleum economy

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2018

We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods …-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of … the small petroleum economy of Trinidad and Tobago. By defining our samples for the contagion measures in terms of calm …

Persistent link: https://www.econbiz.de/10011922053

Contagion of fear

Mitchener, Kris; Richardson, Gary - 2020

labeled a contagion of fear. Using geocoded, microdata on bank distress, we develop metrics that illuminate the incidence of …

Persistent link: https://www.econbiz.de/10012194368