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Foreign bank presence: Helping or hurting when financial contagion strikes?

Ahrend, Rudiger; Goujard, Antoine - In: Economics Letters 120 (2013) 2, pp. 314-317

financial sector to contagion shocks. Debt financed by foreign banks has been found to increase the financial fragility of the … borrowing country in situations of financial contagion, but effects could differ with the structure of the banking sector in the …-controlled banks have been more stable than flows towards domestically-owned banks and firms during financial contagion shocks. …

Persistent link: https://www.econbiz.de/10010678813

Gauging potential sovereign risk contagion in Europe

Fong, Tom Pak Wing; Wong, Alfred Y-T. - In: Economics Letters 115 (2012) 3, pp. 496-499

This study adopts the CoVaR methodology to analyse the tail risk relationships among European sovereigns, which provide arguably important information for policymakers to identify countries that should come under close scrutiny during the current debt crisis.

Persistent link: https://www.econbiz.de/10010572268

Sovereign risk contagion in the Eurozone

Metiu, Norbert - In: Economics Letters 117 (2012) 1, pp. 35-38

This paper extends the canonical model of contagion proposed by Pesaran and Pick [Pesaran, M.H., Pick, A., 2007 …. Econometric issues in the analysis of contagion. Journal of Economic Dynamics and Control 31, 1245–1277] in order to test for … contagion of credit events in Euro area sovereign bond markets. We find evidence for significant contagion effects among long …

Persistent link: https://www.econbiz.de/10011041596

Stock exchange mergers and return co-movement: A flexible dynamic component correlations model

Hellström, Jörgen; Liu, Yuna; Sjögren, Tomas - In: Economics Letters 121 (2013) 3, pp. 511-515

The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns.

Persistent link: https://www.econbiz.de/10011041879

Financial liberalization and the relationship-specificity of exports

Defever, Fabrice; Suedekum, Jens - In: Economics Letters 122 (2014) 3, pp. 375-379

We investigate the causal impact of equity market liberalizations on sectoral export performance across 91 countries (1980–1997). The increased availability of external finance has boosted trade of industries that intensively use relationship-specific inputs, and lowered exports of industries...

Persistent link: https://www.econbiz.de/10010743717

Changes in the second-moment properties of disaggregated capital flows

Contessi, Silvio; De Pace, Pierangelo; Francis, Johanna L. - In: Economics Letters 115 (2012) 1, pp. 122-127

Using formal statistical tests, we detect (i) significant volatility increases for various types of capital flows for a period of changes in business cycle comovement among the G7 countries, and (ii) mixed evidence of changes in covariances and correlations with a set of macroeconomic variables.

Persistent link: https://www.econbiz.de/10010572269

Foreign portfolio diversification and risk-sharing

Balli, F.; Pericoli, F.M.; Pierucci, E. - In: Economics Letters 125 (2014) 2, pp. 187-190

We investigate income smoothing associated with international portfolio diversification by decomposing the net factor income (NFI) channel into interests, dividends and retained earnings, for OECD and EU countries. We find that interest receipts and equity dividend payments contribute...

Persistent link: https://www.econbiz.de/10011076568

Exchange rate undervaluation and economic growth: Díaz Alejandro (1965) revisited

Glüzmann, Pablo Alfredo; Levy-Yeyati, Eduardo; … - In: Economics Letters 117 (2012) 3, pp. 666-672

To understand the growth effects of currency undervaluation we estimate its impact on the different components of GDP. We find that, for developing countries, undervaluation does not affect the tradable sector, but does lead to greater domestic savings and investment, as well as employment.

Persistent link: https://www.econbiz.de/10011041836

A model-free test for contagion between crude oil and stock markets

Pan, Zhiyuan; Zheng, Xu; Gong, Yuting - In: Economics Letters 130 (2015) C, pp. 1-4

This paper extends Hong et al. (2007)’s model-free test to analyze the contagion. A simulation experiment reveals that … our test has reasonable size and good power in finite sample. We use this test and find the strong evidence of contagion …

Persistent link: https://www.econbiz.de/10011263413

Persistence under temporal aggregation and differencing

Hassler, Uwe - In: Economics Letters 124 (2014) 2, pp. 318-322

Temporal aggregation is known to affect the persistence of time series. We study the aggregation of flow variables as well as stock data, and difference-stationarity is allowed for. Moreover, moving averages encountered when computing annual growth rates (seasonal differences) are investigated....

Persistent link: https://www.econbiz.de/10010933280

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