Similar Search Results

How to capture macro-financial spillover effects in stress tests?

Hesse, Heiko; Salman, Ferhan; Schmieder, Christian - 2014

Persistent link: https://www.econbiz.de/10010388854

Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR : Evidence from Stock Markets

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 effect on …

Persistent link: https://www.econbiz.de/10014402277

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/10014403188

Asian Flu or Wall Street Virus? : Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Chan-Lau, Jorge A. - 2002

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

Persistent link: https://www.econbiz.de/10014399563

Lessons and Policy Implications From the Global Financial Crisis

Claessens, Stijn - 2010

increasingly financially integrated world …

Persistent link: https://www.econbiz.de/10014402685

The Crisis : Basic Mechanisms and Appropriate Policies

Blanchard, Olivier - 2009

The purpose of this lecture is to look beyond the complex events that characterize the global financial and economic crisis, identify the basic mechanisms, and infer the policies needed to resolve the current crisis, as well as the policies needed to reduce the probability of similar events in...

Persistent link: https://www.econbiz.de/10014403169

Price Volatility and Financial Instability

Leon, H. L. - 2001

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

Persistent link: https://www.econbiz.de/10014399985

After the Fall : Lessons for Policy Cooperation from the Global Crisis

Bayoumi, Tamim A. - 2014

cooperation. With the world facing the largest and most synchronized plunge in output of the postwar era, policy makers banded …

Persistent link: https://www.econbiz.de/10014411401

Riding Global Financial Waves : The Economic Impact of Global Financial Shocks on Emerging Market Economies

Adler, Gustavo - 2012

integration with the rest of the world, arguably turning these economies more vulnerable to global financial shocks; and an …

Persistent link: https://www.econbiz.de/10014395685

International fiscal-financial spillovers : the effect of fiscal shocks on cross-border bank lending

Choi, Sangyup; Furceri, Davide; Yoon, Chansik - 2019

This paper sheds new light on the degree of international fiscal-financial spillovers by investigating the effect of domestic fiscal policies on cross-border bank lending. By estimating the dynamic response of U.S. cross-border bank lending towards the 45 recipient countries to exogenous...

Persistent link: https://www.econbiz.de/10012102123