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Augustin, Patrick; Boustanifar, Hamid; Breckenfelder, … - 2016

Using the announcement of the first Greek bailout on April 11, 2010, we quantify significant spillover effects from sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on average by 1.1 percent after the bailout. These...

Persistent link: https://www.econbiz.de/10011605923

Analyzing credit risk transmission to the non-financial sector in Europe: a network approach

Gross, Christian; Siklos, Pierre - 2018

Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...

Persistent link: https://www.econbiz.de/10011984861

Effect of catastrophic disaster in financial market contagion

Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-13

The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …

Persistent link: https://www.econbiz.de/10011988709

Measuring Sovereign Contagion in Europe

Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2012

This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several …

Persistent link: https://www.econbiz.de/10012143793

Selective swap arrangements and the global financial crisis: Analysis and interpretation

Aizenman, Joshua; Pasricha, Gurnain Kaur - 2009

The onset of the US credit crisis in 2008, and its rapid globalization induced the FED to extend unprecedented swap-lines of 30 billion dollars to four emerging markets, and the proliferation of other cross-countries selective swap arrangements. This paper explores the logic for these...

Persistent link: https://www.econbiz.de/10010287784

Selective swap arrangements and the global financial crisis: Analysis and interpretation

Aizenman, Joshua; Pasricha, Gurnain Kaur - 2009

Persistent link: https://www.econbiz.de/10010288132

Are stock returns a leading indicator for real macroeconomic developments?

Burgstaller, Johann - 2002

I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is...

Persistent link: https://www.econbiz.de/10010294592

Global corporate bond issuance: what role for US quantitative easing?

Lo Duca, Marco; Nicoletti, Giulio; Vidal Martinez, Ariadna - 2014

The paper investigates the impact of US quantitative easing (QE) on global non-financial corporate bond issuance. It distinguishes between two QE instruments, MBS/GSE debt and Treasury bonds, and disentangles between two channels of transmission of QE to global bond markets, namely flow effects...

Persistent link: https://www.econbiz.de/10011605694

The impact of international swap lines on stock returns of banks in emerging markets

Andrieș, Alin Marius; Fischer, Andreas M.; Yeșin, Pınar - 2015

This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of...

Persistent link: https://www.econbiz.de/10011629985

EME financial conditions: Which global shocks matter?

Lodge, David; Manu, Ana-Simona - 2019

This paper provides a quantitative assessment of the relative importance of global structural shocks for changes in financial conditions across a sample of emerging market economies. We disentangle four key drivers of global financial markets (oil supply shocks, global economic news shocks,...

Persistent link: https://www.econbiz.de/10012142126