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Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach
Wang, Ze; Gao, Xiangyun; Huang, Shupei; Sun, Qingru; … - In: International review of financial analysis 84 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013472796
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An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk
Bonaldi, Pietro - 2015
We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …
Persistent link: https://www.econbiz.de/10012457206
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An Empirical Analysis of Funding Costs Spillovers in the Euro-Zone with Application to Systemic Risk
Bonaldi, Pietro - 2015
We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …
Persistent link: https://www.econbiz.de/10013017495
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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - In: Journal of banking & finance 42 (2014), pp. 134-153
Persistent link: https://www.econbiz.de/10010408412
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Transmission channels of systemic risk and contagion in the European financial network
Paltalidis, Nikos; Gounopoulos, Dimitrios; Kizys, Renatas; … - In: Journal of banking & finance 61 (2015), pp. 36-52
Persistent link: https://www.econbiz.de/10011584245
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Beyond spreadsmeasuring sovereign market stress in the euro area
Garcia de Andoain, Carlos; Kremer, Manfred - 2018
In this paper we propose a composite indicator that measures multidimensional sovereign bond market stress in the euro area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity at short-term and long-term bond maturities into a...
Persistent link: https://www.econbiz.de/10011921004
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Assessing resilience to systemic risks across interbank credit networks using linkage-leverage analysis : evidence from Japan
Wang, Haibo - In: International review of financial analysis 94 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014544027
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Tax Advantages and Imperfect Competition in Auctions for Municipal Bonds
Garrett, Daniel - 2017
auction model to measure markups, and to illustrate and quantify how the interaction between tax policy and bidder strategic …
Persistent link: https://www.econbiz.de/10012455208
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Tax Advantages and Imperfect Competition in Auctions for Municipal Bonds
Garrett, Daniel - 2017
lowers mean borrowing costs by 9-10%. We estimate a structural auction model to measure markups and to illustrate and …
Persistent link: https://www.econbiz.de/10012954921
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Sector spillovers in credit markets
Collet, Jerome; Ielpo, Florian - In: Journal of banking & finance 94 (2018), pp. 267-278
Persistent link: https://www.econbiz.de/10011966651