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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

Whose Credit Line is it Anyway : An Update on Banks' Implicit Subsidies

Gudmundsson, Tryggvi - 2016

The post-crisis financial sector framework reform remains incomplete. While capital and liquidity requirements have been strengthened, doubts remain over other aspects, including the fact that expectations of government support for systemically-important banks (SIBs) remain intact. In this...

Persistent link: https://www.econbiz.de/10012977356

The Global Macrofinancial Model

Vitek, Francis - 2018

This paper documents the theoretical structure and empirical properties of the latestversion of the Global Macrofinancial Model (GFM). This dynamic stochastic generalequilibrium model of the world economy, disaggregated into forty national economies,was developed to support multilaterally...

Persistent link: https://www.econbiz.de/10012918559

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

Investor Information and Bank Instability During the Euro Crisis

Iorgova, Silvia; Ross, Chase P. - 2021

Outside of financial crises, investors have little incentive to produce private information on banks' short-term liabilities held as information-insensitive safe assets. The same does not hold true during crises. We measure daily information production using data from credit default swap spreads...

Persistent link: https://www.econbiz.de/10013243048

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