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Italian Sovereign Spreads; Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions
Zoli, Edda - International Monetary Fund (IMF) - 2013
Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in sovereign spreads affect CDS spreads and bond yields of Italian banks, and are...
Persistent link: https://www.econbiz.de/10011242184
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Systemic Contingent Claims Analysis; Estimating Market-Implied Systemic Risk
Jobst, Andreas A.; Gray, Dale F. - International Monetary Fund (IMF) - 2013
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from...
Persistent link: https://www.econbiz.de/10011242440
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Moral Hazard and International Crisis Lending: A Test
Dell'Ariccia, Giovanni; Zettelmeyer, Jeromin; Schnabel, … - International Monetary Fund (IMF) - 2002
We test for the existence of a moral hazard effect attributable to official crisis lending by analyzing the evolution of sovereign bond spreads in emerging markets before and after the Russian crisis. The nonbailout of Russia in August 1998 is interpreted as an event that decreased the perceived...
Persistent link: https://www.econbiz.de/10005263951
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Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998
González-Hermosillo, Brenda; Martin, Vance; Fry, Renee; … - International Monetary Fund (IMF) - 2003
14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial … importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial …
Persistent link: https://www.econbiz.de/10005769188
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Financial Spillovers to Emerging Markets During the Global Financial Crisis
Frank, Nathaniel; Hesse, Heiko - International Monetary Fund (IMF) - 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/10008528671
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What Drives Contagion; Trade Neighborhood, or Financial Links?
Valdés, Rodrigo O.; Hernández, Leonardo - International Monetary Fund (IMF) - 2001
This paper presents evidence on the relative importance of alternative contagion channels during the Thai, Russian, and … to explain almost all contagion episodes. However, when crises are measured by stock market returns, trade links and … neighborhood effects appear to be relevant contagion channels during the Thai and Brazilian crises, while financial competition …
Persistent link: https://www.econbiz.de/10005605301
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Debt Crises and the Development of International Capital Markets
Sy, Amadou N. R.; Pescatori, Andrea - International Monetary Fund (IMF) - 2004
Crises on external sovereign debt are typically defined as defaults. Such a definition accurately captures debt-servicing difficulties in the 1980s, a period of numerous defaults on bank loans. However, defining defaults as debt crises is problematic for the 1990s, when sovereign bond markets...
Persistent link: https://www.econbiz.de/10005263954
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How Does Public External Debt Affect Corporate Borrowing Costs in Emerging Markets?
Celasun, Oya; Agca, Senay - International Monetary Fund (IMF) - 2009
Using data on syndicated loan issuances by emerging market firms, we find that an increase in the external debt of emerging market governments significantly raises the borrowing costs of the domestic corporate sector. This finding suggests that a higher level of public external debt "crowds out"...
Persistent link: https://www.econbiz.de/10008497605
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Rating the Rating Agencies; Anticipating Currency Crises or Debt Crises
Sy, Amadou N. R. - International Monetary Fund (IMF) - 2003
emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipate currency crises. When debt … find that lagged ratings and ratings changes, including negative outlooks and credit watches, anticipate such debt crises. …
Persistent link: https://www.econbiz.de/10005605052
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The Cost of Private Debt Over the Credit Cycle
Tereanu, Eugen; Francis, Johanna L.; Aykut, Dilek - International Monetary Fund (IMF) - 2010
We identify global and regional fluctuations in international private debt flows to emerging and developing countries using data on cross border loans and international bond issuance over 1993 -2009. We estimate the effects of individual borrower characteristics as well as macroeconomic...
Persistent link: https://www.econbiz.de/10008777015