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A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (Syrin)
Cortes, Fabio - 2018
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance,...
Persistent link: https://www.econbiz.de/10012927459
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Market Frictions, Interbank Linkages and Excessive Interconnections
Deb, Pragyan - 2016
This paper studies banks' decision to form financial interconnections using a model of financial contagion that explicitly takes into account the crisis state of the world. This allows us to model the network formation decision as optimising behaviour of competitive banks, where they balance the...
Persistent link: https://www.econbiz.de/10012977783
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Investment in the Euro Area : Why Has it Been Weak?
Barkbu, Bergljot - 2015
Investment across the euro area remains below its pre-crisis level. Its performance has been weaker than in most previous recessions and financial crises. This paper shows that a part of this weakness can be explained by output dynamics, particularly before the European sovereign debt crisis....
Persistent link: https://www.econbiz.de/10013025651
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Worker Mobility and Domestic Production Networks
Cardoza, Marvin; Grigoli, Francesco; Pierri, Nicola; … - 2021
We show that domestic production networks shape worker flows between firms. Data on the universe of firm-to-firm transactions for the Dominican Republic, matched with employer-employee records, reveals that about 20 percent of workers who change firms move to a buyer or supplier of their...
Persistent link: https://www.econbiz.de/10013315089
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Cyclical Patterns of Systemic Risk Metrics : Cross-Country Analysis
Iossifov, Plamen K.; Schmidt, Tomas Dutra - 2021
We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies over 1995-2020. We construct composite indices of underlying liquidity, solvency and mispricing risks and analyze their patterns over the financial cycle. We find that liquidity...
Persistent link: https://www.econbiz.de/10013243043
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Macroprudential Policy and Bank Systemic Risk : Does Inflation Targeting Matter?
Belkhir, Mohamed; Ben Naceur, Sami; Candelon, Bertrand; … - 2023
This paper investigates macroprudential policy effects on bank systemic risk and the role of inflation targeting in … such effects. Using bank-level data for 45 countries comprising various monetary and exchange rate regimes, our regime … tightening of most macroprudential tools—including DSTI and LTV limits, and capital requirements—reduces bank systemic risk …
Persistent link: https://www.econbiz.de/10014354108
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Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?
Bayoumi, Tamim - 2013
This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...
Persistent link: https://www.econbiz.de/10013084151
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You Never Give Me Your Money? Sovereign Debt Crises, Collective Action Problems, and IMF Lending
Committeri, Marco - 2013
We review the impact of the global financial crisis, and its spillovers into the sovereign sector of the euro area, on the international "rules of the game for dealing with sovereign debt crises. These rules rest on two main pillars. The most important is the IMF's lending framework (policies,...
Persistent link: https://www.econbiz.de/10013086324
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Big Players Out of Synch : Spillovers Implications of US and Euro Area Shocks
Osorio-Buitron, Carolina - 2015
Given the prospects of asynchronous monetary conditions in the United States and the euro area, this paper analyzes spillovers among these two economies, as well as the implications of asynchronicity for spillovers to other advanced economies and emerging markets. Through a structural vector...
Persistent link: https://www.econbiz.de/10013011192
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Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers
Heinz, Frigyes - 2014
By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries' sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity conditions in the CDS market. But the relative...
Persistent link: https://www.econbiz.de/10013058434