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

Diebold, Francis X.; Yilmaz, Kamil - Center for Financial Studies - 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/10010958768

Financial contagion: Spillovers through banking centers

Van Rijckeghem, Caroline; Weder, Beatrice - Center for Financial Studies - 1999

This paper presents evidence that spillovers through shifts in bank lending can help explain the pattern of contagion … incidence of a currency crisis. In the Russian crisis, the common bank lender helps to predict the incidence of contagion but … may be more important in explaining contagion than similarities in macro-economic fundamentals and even than trade …

Persistent link: https://www.econbiz.de/10010958810

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541794

The European sovereign debt crisis: What have we learned?

Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2017

This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the...

Persistent link: https://www.econbiz.de/10011589251

Did fair-value accounting contribute to the financial crisis?

Laux, Christian; Leuz, Christian - Center for Financial Studies - 2009

The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we...

Persistent link: https://www.econbiz.de/10010958489

The evolution of global standards of accounting

Gebhardt, Günther - Center for Financial Studies - 1999

The globalization of markets and companies has increased the demand for internationally comparable high quality accounting information resulting from a common set of accounting rules. Despite remarkable efforts of international harmonization for more than 25 years, accounting regulation is still...

Persistent link: https://www.econbiz.de/10010986378

Competition between exchanges: Euronext versus Xetra

Kasch-Haroutounian, Maria; Theissen, Erik - Center for Financial Studies - 2006

Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...

Persistent link: https://www.econbiz.de/10010986385

Economic integration and the exchange rate regime: How damaging are currency crises?

Weber, Axel A.; Beck, Günter W. - Center for Financial Studies - 2003

We use consumer price data for 205 cities/regions in 21 countries to study PPP deviations before, during and after the major currency crises of the 1990s. We combine data from industrialized nations in North America (Unites States, Canada and Mexico), Europe (Germany, Italy, Spain and Portugal),...

Persistent link: https://www.econbiz.de/10010986453

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

Diebold, Francis X.; Yilmaz, Kamil - Center for Financial Studies - 2008

Persistent link: https://www.econbiz.de/10010958505

The dynamics of spillover effects during the European sovereign debt turmoil

Alter, Adrian; Beyer, Andreas - Center for Financial Studies - 2012

transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …

Persistent link: https://www.econbiz.de/10010958562

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