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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …
Persistent link: https://www.econbiz.de/10011654569
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Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...
Persistent link: https://www.econbiz.de/10012226706
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10003936616
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Subprime crisis and board (in-)competence : private vs. public banks in Germany
Hau, Harald; Thum, Marcel - 2009
We examine evidence for a systematic underperformance of Germany's state-owned banks in the current financial crisis and study if the bank losses can be traced to the quality of bank governance. For this purpose, we examine the biographical background of 593 supervisory board members in the 29...
Persistent link: https://www.econbiz.de/10003850179
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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2021
.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk …
Persistent link: https://www.econbiz.de/10012697108
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Supply restrictions, subprime lending and regional US house prices
Anundsen, André Kallåk; Heebøll, Christian - 2015
, mortgage credit constraints and a price-to-price feedback loop affects house price volatility. Considering 247 Metropolitan …
Persistent link: https://www.econbiz.de/10010488113
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Total, asymmetric and frequency connectedness between oil and forex markets
Baruník, Jozef; Kočenda, Evžen - 2019
that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …
Persistent link: https://www.econbiz.de/10012035050
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Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
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The micro dynamics of macro announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - 2013
response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …
Persistent link: https://www.econbiz.de/10010190208
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US municipal green bonds and financial integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …
Persistent link: https://www.econbiz.de/10014234020