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Interdependence and Contagion in Global Asset Markets
Beirne, John - 2012
This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998 to 2011. Using a global VAR, we test for changes in the transmission mechanism – both within and cross-market...
Persistent link: https://www.econbiz.de/10013100396
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Contagion Accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok, Christoffer - 2021
loss of 30 percent of system equity and an additional loss of 1.3 percent due to fire sales spillovers. Direct interbank …
Persistent link: https://www.econbiz.de/10013314832
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Domestic and Multilateral Effects of Capital Controls in Emerging Markets
Pasricha, Gurnain Kaur - 2015
control actions do not allow countries to avoid the trade-offs of the monetary policy trilemma. Where they have a desired …. Using panel near-VARs, we find significant spillovers of capital control actions in BRICS (Brazil, Russia, India, China and …-border bank lending). Spillovers seem to be more prevalent in Latin America than in Asia, reflecting the greater role of cross …
Persistent link: https://www.econbiz.de/10013016947
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Current account benchmarks for central and eastern Europe: a desperate search?
Ca' Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - 2009
This paper examines two competing approaches for calculating current account benchmarks, i.e. the external sustainability approach á la Lane and Milesi-Ferretti (LM) versus the structural current accounts literature (SCA) based on panel econometric techniques. The aim is to gauge the medium...
Persistent link: https://www.econbiz.de/10011605041
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Contagion, Spillover and Interdependence
Rigobon, Roberto - 2017
This paper reviews the empirical literature on international spillovers and contagion. Theoretical models of spillover …
Persistent link: https://www.econbiz.de/10012963951
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On the Optimal Control of Interbank Contagion in the Euro Area Banking System
Fukker, Gábor; Kok, Christoffer - 2021
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10013226863
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Macro-networks: an application to the euro area financial accounts
Castrén, Olli; Rancan, Michela - 2013
We use financial accounts data at sector level to construct financial networks for individual euro area countries. We then connect the country-level networks to one large “Macro Network”, using information on cross-border linkages between the national banking sectors. We then evaluate the...
Persistent link: https://www.econbiz.de/10011605555
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Thousands of Models, One Story : Current Account Imbalances in the Global Economy
Chudik, Alexander - 2015
The global financial crisis has led to a revival of the empirical literature on current account imbalances. This paper contributes to that literature by investigating the importance of evaluating model and parameter uncertainty prior to reaching any firm conclusion. We explore three alternative...
Persistent link: https://www.econbiz.de/10013036872
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Credit Risk Spillover between Financials and Sovereigns in the Euro Area During 2007-2015
Vergote, Olivier - 2016
This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and sovereigns in the euro area, where spillover is identified based on bilateral Granger causality regressions. Over-identification of contagion between financials' true credit risk...
Persistent link: https://www.econbiz.de/10012992428
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Fiscal multipliers and foreign holdings of public debt
Broner, Fernando; Clancy, Daragh; Erce, Aitor; Martin, … - 2019
This paper explores a natural connection between fiscal multipliers and foreign holdings of public debt. Although fiscal expansions can raise domestic economic activity through various channels, they can also have crowding-out effects if the resources used to acquire public debt reduce domestic...
Persistent link: https://www.econbiz.de/10012142099