framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area …. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … transmission from or to sovereigns and banks are aggregated as a Contagion Index (CI). This index is disentangled into four …

This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and …-identification of contagion between financials' true credit risk and sovereign credit risk is avoided 1) by controlling for common … contagion and feedback. The institutions identified as most central to the network during those episodes are known to have …

sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures … loss of 30 percent of system equity and an additional loss of 1.3 percent due to fire sales spillovers. Direct interbank … contagion is negligible in our analysis. Our findings underscore the importance of accurately estimating the price effects of …

framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area …. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …

This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks …. For emerging economies, these within-market effects mostly apply to the equity market. Contagion effects within-market are … most notable in Latin America and Emerging Asia for equities. Cross-market contagion is identified from global bonds to …

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 …

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can … therefore lead to contagion from news about insured risks to the balance sheet of insurers. Such endogenous risk is more likely …