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Granular institutional investors and global market interdependence

Jinjarak, Yothin; Zheng, Huanhuan - In: Journal of International Money and Finance 46 (2014) C, pp. 61-81

. Applying the conditional value-at-risk estimation to micro-level weekly observations of international mutual funds between 2003 …

Persistent link: https://www.econbiz.de/10010869444

Marking-to-market government guarantees to financial systems – Theory and evidence for Europe

Baglioni, Angelo; Cherubini, Umberto - In: Journal of International Money and Finance 32 (2013) C, pp. 990-1007

We propose a new index for measuring the systemic risk of default of the banking sector, which is based on a homogeneous version of multivariate intensity based models (Cuadras–Augé distribution). We compute the index for 10 European countries, exploiting the information incorporated in the...

Persistent link: https://www.econbiz.de/10010594671

Macro-prudential policies to mitigate financial system vulnerabilities

Claessens, Stijn; Ghosh, Swati R.; Mihet, Roxana - In: Journal of International Money and Finance 39 (2013) C, pp. 153-185

distribution, and dynamic provisioning) also help mitigate increases in bank leverage and assets, few policies help stop declines …

Persistent link: https://www.econbiz.de/10010719321

The growth of a shadow banking system in emerging markets: Evidence from India

Acharya, Viral V.; Khandwala, Hemal; Sabri Öncü, T. - In: Journal of International Money and Finance 39 (2013) C, pp. 207-230

We study the determinants of the growth of those non-deposit taking non-bank financial corporations (NBFCs) which are … regarded by the Reserve Bank of India as being systemically important and have grown substantially in India over the past … decade. We document that bank lending to NBFCs (i) forms a significant proportion of the NBFC liabilities; (ii) fluctuates in …

Persistent link: https://www.econbiz.de/10011048518

‘Too systemically important to fail’ in banking – Evidence from bank mergers and acquisitions

Molyneux, Philip; Schaeck, Klaus; Zhou, Tim Mi - In: Journal of International Money and Finance 49 (2014) PB, pp. 258-282

-systemically-important-to-fail’ (TSITF). We exploit a sample of bank mergers and acquisitions (M&As) in nine EU economies between 1997 and 2007 to capture … systems. We, however, find no evidence that gaining safety net subsidies leads to TSITF bank's increased interdependency over …

Persistent link: https://www.econbiz.de/10011077084

Systemic risk in European sovereign debt markets: A CoVaR-copula approach

Reboredo, Juan C.; Ugolini, Andrea - In: Journal of International Money and Finance 51 (2015) C, pp. 214-244

We studied systemic risk in European sovereign debt markets before and after the onset of the Greek debt crisis, taking the conditional value-at-risk (CoVaR) as a systemic risk measure, characterized and computed using copulas. We found that, before the debt crisis, sovereign debt markets were...

Persistent link: https://www.econbiz.de/10011190183

Convergence of Euro area inflation rates

Lopez, Claude; Papell, David H. - In: Journal of International Money and Finance 31 (2012) 6, pp. 1440-1458

events such as the advent of the Euro and the 2008 financial crisis. Due to the small size of the estimation sample, we …

Persistent link: https://www.econbiz.de/10010869445

Fiscal spillovers in the Euro area

Caporale, Guglielmo Maria; Girardi, Alessandro - In: Journal of International Money and Finance 38 (2013) C, pp. 1-84

other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global …

Persistent link: https://www.econbiz.de/10010869458

Sovereign bond yield spreads: A time-varying coefficient approach

Bernoth, Kerstin; Erdogan, Burcu - In: Journal of International Money and Finance 31 (2012) 3, pp. 639-656

We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to...

Persistent link: https://www.econbiz.de/10010577033

Do capital importing countries pay higher prices for their imports of goods?

Adam, Antonis; Moutos, Thomas - In: Journal of International Money and Finance 40 (2014) C, pp. 95-108

We examine the effects that a country's net capital flows have on the (border) prices that a country pays for its imports of goods. Using data from 2000 to 2009 for 11 euro area countries we utilize a pricing-to-market specification to study exporters' pricing behavior to the rest of the...

Persistent link: https://www.econbiz.de/10010719326