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Financial Spillovers to Emerging Markets during the Global Financial Crisis
Frank, Nathaniel - 2009
In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these...
Persistent link: https://www.econbiz.de/10012677776
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Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR
Zhang, Xiaojing - 2009
that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from … the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from … the United States than China's returns, and past volatility shocks in the United States have a more persistent effec …
Persistent link: https://www.econbiz.de/10012677827
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Real Effects of the Subprime Mortgage Crisis : Is it a Demand or a Finance Shock?
Tong, Hui - 2008
We develop a methodology to study how the subprime crisis spills over to the real economy. Does it manifest itself primarily through reducing consumer demand or through tightening liquidity constraint on non-financial firms? Since most non-financial firms have much larger cash holding than...
Persistent link: https://www.econbiz.de/10014409046
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From Subprime Loans to Subprime Growth? Evidence for the Euro Area
Cihák, Martin - 2009
The global financial crisis has highlighted the potential of financial conditions for influencing real economic activity. We examine the linkages between the financial and real sectors in the euro area, finding that (i) bank loan supply responds negatively to declines in bank soundness; (ii) a...
Persistent link: https://www.econbiz.de/10012677755
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The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis
Hesse, Heiko - 2009
This paper provides evidence that central bank interventions had a statistically significant impact on easing stress in unsecured interbank markets during the first phase of the subprime crisis which began in July 2007. Extraordinary liquidity provisions, such as the Term Auction Facility by the...
Persistent link: https://www.econbiz.de/10012677877
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Global Market Conditions and Systemic Risk
González-Hermosillo, Brenda - 2009
interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques …
Persistent link: https://www.econbiz.de/10012677893
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Real Effects of the Subprime Mortgage Crisis
Tong, Hui - 2008
We develop a methodology to study how the subprime crisis spills over to the real economy. Does it manifest itself primarily through reducing consumer demand or through tightening liquidity constraint on non-financial firms? Since most non-financial firms have much larger cash holding than...
Persistent link: https://www.econbiz.de/10012677630
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Credit Booms and Lending Standards : Evidence From the Subprime Mortgage Market
Dell'Ariccia, Giovanni - 2008
This paper links the current sub-prime mortgage crisis to a decline in lending standards associated with the rapid expansion of this market. We show that lending standards declined more in areas that experienced larger credit booms and house price increases. We also find that the underlying...
Persistent link: https://www.econbiz.de/10014409025
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Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis
Hesse, Heiko - 2008
We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks...
Persistent link: https://www.econbiz.de/10014409053
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Contagion as a Dealmaker? The Effect of Financial Spillovers on Regional Lending Programs
Fotiou, Alexandra - 2022
The recent European sovereign debt crisis highlighted the critical role of regional lending arrangements. For the first time, European mechanisms were called to design financing programmes for member countries in trouble. This paper analyses how the risk of contagion, an essential characteristic...
Persistent link: https://www.econbiz.de/10015060536