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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

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

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

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

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

Loan supply shocks during the financial crisis: Evidence for the Euro area

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - In: Journal of International Money and Finance 31 (2012) 3, pp. 569-592

This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of banks during the slump of the real economy that followed the financial crisis. In particular, we seek to quantify the macroeconomic effects of adverse loan supply shocks, which...

Persistent link: https://www.econbiz.de/10011048513

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