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Contagion of Fear : Is the Impact of COVID-19 on Sovereign Risk Really Indiscriminate?

Cevik, Serhan; Ozturkkal, Belma - 2021

This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...

Persistent link: https://www.econbiz.de/10013250064

Unconventional Monetary Policy and Asset Price Risk

Roache, Shaun K. - 2013

risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an …

Persistent link: https://www.econbiz.de/10013075541

Tractable rare disaster probability and options-pricing

Barro, Robert J.; Liao, Gordon Y. - 2019

We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options …-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of … options data on the S&P 500 index from 1983-2018 and for analogous indices for other countries. The disaster probability …

Persistent link: https://www.econbiz.de/10012182396

Sovereign Spreads and Contagion Risks in Asia

Caceres, Carlos - 2011

This paper explores how much of the movements in the sovereign spreads of Asian economies over the course of the global financial crisis has reflected shifts in (i) global risk aversion; (ii) country-specific risks, directly from worsening fundamentals, and indirectly from spillovers originating...

Persistent link: https://www.econbiz.de/10013124056

From Wall Street to Main Street : The Impact of the Financial Crisis on Consumer Credit Supply

Ramcharan, Rodney - 2013

This paper studies how the collapse of the asset backed securities (ABS) market during the financial crisis of 2007-2009 affected the supply of credit to the broader economy using a new dataset that describes unique interbank relationships within the credit union industry. This industry is...

Persistent link: https://www.econbiz.de/10013083899

Accounting for Macrofinancial Fluctuations and Turbulence

Vitek, Francis - 2018

This paper investigates the sources of macrofinancial fluctuations and turbulence within the framework of an approximate linear dynamic stochastic general equilibrium model of the world economy, augmented with structural shocks exhibiting potentially asymmetric generalized autoregressive...

Persistent link: https://www.econbiz.de/10012906882

Bank Profitability and Financial Stability

Xu, TengTeng - 2019

We analyze how bank profitability impacts financial stability from both theoretical and empirical perspectives. We first develop a theoretical model of the relationship between bank profitability and financial stability by exploring the role of non-interest income and retail-oriented business...

Persistent link: https://www.econbiz.de/10012892910

Ms. Muffet, the Spider(Gram) and the Web of Macro-Financial Linkages

Cervantes, Ricardo Javier - 2014

The global financial crisis has underscored the importance of understanding macro-financial developments and spillovers in an increasingly interconnected and intricate system. At the IMF, staff is focusing on the linkages between the real economy and the financial sector, as well as the...

Persistent link: https://www.econbiz.de/10013050067

Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

Ohnsorge, Franziska - 2014

We create a network of bilateral correlations of changes in sovereign bond yields and individual bank equity price changes since 2000. We extract some stylized facts from this network of asset price correlations and document the clear differences in asset price correlations between safe havens...

Persistent link: https://www.econbiz.de/10013053036

The Regulatory Responses to the Global Financial Crisis : Some Uncomfortable Questions

Claessens, Stijn - 2014

We identify current challenges for creating stable, yet efficient financial systems using lessons from recent and past crises. Reforms need to start from three tenets: adopting a system-wide perspective explicitly aimed at addressing market failures; understanding and incorporating into...

Persistent link: https://www.econbiz.de/10013055666