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Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach
International Monetary Fund - 2012
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a...
Persistent link: https://www.econbiz.de/10014396950
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Systemic risks in global banking : what available data can tell us and what more data are needed?
Cerutti, Eugenio M.; Claessens, Stijn; McGuire, Patrick M. - 2011
Persistent link: https://www.econbiz.de/10009422574
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Systemic Risks in Global Banking : What Available Data Can Tell Us and What More Data Are Needed?
Cerutti, Eugenio - 2011
The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or … asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk …
Persistent link: https://www.econbiz.de/10014398316
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The U.S. oil supply revolution and the global economy
Mohaddes, Kamiar; Raissi, Mehdi - 2015
This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through...
Persistent link: https://www.econbiz.de/10011445835
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Transitory and permanent shocks in the global market for crude oil
Rebei, Nooman; Sbia, Rashid - 2020
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...
Persistent link: https://www.econbiz.de/10012251290
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Modeling banking, sovereign, and macro risk in a CCA global VAR
Gray, Dale; Groß, Marco; Paredes, Joan; Sydow, Matthias - 2013
estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank …
Persistent link: https://www.econbiz.de/10012667482
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Interconnectedness of global systemically-important banks and insurers
Malik, Sheheryar; Xu, TengTeng - 2017
) has important financial stability implications. This paper examines connectedness among United States, European and Asian … 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to …-based connectedness. Total system connectedness-i.e., among all GSIBs and GSIIs-tends to rise during financial stress, which is …
Persistent link: https://www.econbiz.de/10011743090
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Global liquidity and drivers of cross-border bank flows
Cerutti, Eugenio M.; Claessens, Stijn; Ratnovski, Lev - 2014
Persistent link: https://www.econbiz.de/10010388630
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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
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Being a Foreigner Among Domestic Banks : Asset or Liability?
Horen, Neeltje van - 2009
Studying a large number of banks in various countries between 1999 and 2006, we document that foreign banks perform better when from a high income country, when host country competition is limited, and when they are large and rely more on deposits for funding. Foreign banks'' performance...
Persistent link: https://www.econbiz.de/10014402561