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Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Persistent link: https://www.econbiz.de/10011663407

Spillovers of U.S. unconventional monetary policy to emerging markets : the role of capital flows

Anaya Longaric, Pablo Andrés; Hachula, Michael; … - 2015 - This version: November 2, 2015

A growing literature stresses the importance of the “global financial cycle”, a common global movement in asset prices and credit conditions, for emerging market economies (EMEs). It is argued that one of the key drivers of this global cycle is monetary policy in the U.S., which is...

Persistent link: https://www.econbiz.de/10011405101

Does the US contagion risk affect foreign direct investment inflows in emerging economies?

Woraphon Yamaka; Paravee Maneejuk - 2022

Persistent link: https://www.econbiz.de/10014320179

Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors

Schröder, Michael - 2000

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Persistent link: https://www.econbiz.de/10013428350

The credit quality channel : modeling contagion in the interbank market

Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...

Persistent link: https://www.econbiz.de/10011381702

Backtesting macroprudential stress tests

Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - 2020

In this paper, we consider models of price-mediated contagion in a banking networkof common asset holdings. For these models, the literature proposed two alternativeclasses of liquidation dynamics:threshold dynamics(banks liquidate their invest-ment portfolios only after they have defaulted),...

Persistent link: https://www.econbiz.de/10012258918

Monetary policy and stock market volatility

Bleich, Dirk; Fendel, Ralf; Ruelke, Jan-Christoph - 2013

implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …

Persistent link: https://www.econbiz.de/10010202818

The IMF to the rescue : did the euro area benefit from the fund's experience in crisis fighting?

Dullien, Sebastian; Fritz, Barbara; Mühlich, Laurissa - 2016

The paper analyses how the IMF brought its experience gained in emerging market sovereign debt crises in the troika’s handling of the euro crisis. We link models of multiple equilibria with the IMF's experience made in Latin American crises in the 2000s. We examine subsequent changes in the...

Persistent link: https://www.econbiz.de/10011548057

Cross-border lending and the international transmission of banking crises

Dieckelmann, Daniel - 2020

This paper introduces a new transmission channel of banking crises where sizable cross-border bank claims on foreign countries with high domestic crisis risk enable contagion to the home economy. This asset-side channel opposes traditional views that see banking crises originating from either...

Persistent link: https://www.econbiz.de/10012242495

The global financial cycle and macroeconomic tail risks

Beutel, Johannes; Emter, Lorenz; Metiu, Norbert; … - 2022

We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...

Persistent link: https://www.econbiz.de/10013459721

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