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Banking crises and boom-bust dynamics : evidence for Italy (1861-2016)
Bartoletto, Silvana; Chiarini, Bruno; Marzano, Elisabetta; … - 2018
The financial crises of 2007-2008 and the subsequent worldwide recession show the importance of exploring the correlation between financial and real crises. Starting from our new estimation of the Italian business cycle (Bartoletto et al., 2017), we analyze the linkage between banking crises and...
Persistent link: https://www.econbiz.de/10011819402
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Unpacking economic uncertainty : measuring the firm, sector and aggregate components
Mohades, Siavash; Piccillo, Giulia; Treibich, Tania - 2024
We introduce a novel method for measuring economic uncertainty at the firm, sector, and aggregate levels using sales volatility and validate it by comparison with existing macroeconomic uncertainty measures. We use Compustat firms data in the period 2000-2022 to construct our uncertainty...
Persistent link: https://www.econbiz.de/10014486791
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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
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Modigliani meets minsky : inequality, debt, and financial fragility in America, 1950-2016
Bartscher, Alina K.; Kuhn, Moritz; Schularick, Moritz; … - 2020
This paper studies the secular increase in U.S. household debt and its relation to growing income inequality and financial fragility. We exploit a new household-level dataset that covers the joint distributions of debt, income, and wealth in the United States over the past seven decades. The...
Persistent link: https://www.econbiz.de/10012213102
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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
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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
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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
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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
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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
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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