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Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2011

unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …

Persistent link: https://www.econbiz.de/10011605427

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

Bank risk during the financial crisis: do business models matter?

Altunbas, Yener; Marqués-Ibáñez, David; Manganelli, … - 2011

We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher risk exposure had less capital, larger size, greater reliance on short-term market funding, and aggressive credit growth. Business models related to significantly reduced bank...

Persistent link: https://www.econbiz.de/10011605440

The effect of G20 summits on global financial markets

Lo Duca, Marco; Stracca, Livio - 2014

In the wake of the global financial crisis, the G20 has become the most important forum of global governance and cooperation, largely replacing the once powerful G7. In this paper we run an event study to test whether G20 meetings at ministerial and Leaders level have had an impact on global...

Persistent link: https://www.econbiz.de/10011605713

Determinants of European bank risk during financial crisis

Jabra, Wiem Ben; Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-20

This paper examines the determinants of European bank risk-taking during major financial crisis. Using a sample of banks from 26 countries over the period 2005-2015, we examine the nature of the relationship between bank risk, bank characteristics, regulatory, institutional and macroeconomic...

Persistent link: https://www.econbiz.de/10011988732

The changing role of emerging and frontier markets in global portfolio diversification

Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-23

Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...

Persistent link: https://www.econbiz.de/10014001610

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

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644

Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe

Claeys, Peter; Vašíček, Bořek - 2014

test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. …

Persistent link: https://www.econbiz.de/10011605711