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Volatility spillovers and contagion from mature to emerging stock markets

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

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...

Persistent link: https://www.econbiz.de/10011605159

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - 2007

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10010298351

Measuring financial asset return and volatilty spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - 2008

Persistent link: https://www.econbiz.de/10010303681

Cross-border bank contagion in Europe

Gropp, Reint E.; Lo Duca, Marco; Vesala, Jukka - 2006

This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …

Persistent link: https://www.econbiz.de/10011604708

Financial integration of new EU Member States

Cappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; … - 2006

This study assesses the degree of financial integration for a selected number of new EU member states between themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the amount of variance explained by the common factor relative to...

Persistent link: https://www.econbiz.de/10011604729

Financial market integration under EMU

Jappelli, Tullio; Pagano, Marco - 2008

The single most important policy-induced innovation in the international financial system since the collapse of the Bretton-Woods regime is the institution of the European Monetary Union. This paper provides an account of how the process of financial integration has promoted financial...

Persistent link: https://www.econbiz.de/10010303699

The impact of the euro on equity markets: a country and sector decomposition

Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008

This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity...

Persistent link: https://www.econbiz.de/10011604952

The pricing of risk in European credit and corporate bond markets

Berndt, Antje; Obreja, Iulian - 2007

This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...

Persistent link: https://www.econbiz.de/10011604851

The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09

Ejsing, Jacob; Lemke, Wolfgang - 2009

As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope. We find that the bank rescue packages led to a...

Persistent link: https://www.econbiz.de/10011605173

Transparency and emerging market bond spreads

Moretti, Laura - 2011

I investigate the effect of transparency on the borrowing costs of Emerging Markets Economies. Transparency is measured by whether or not the countries publish the IMF Article IV Staff report and the Reports on the Observance of Standards and Codes (ROSC). Using difference-in-difference...

Persistent link: https://www.econbiz.de/10010308569