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Contagion between European and US banks: Evidence from equity prices

Fricke, Daniel - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

Persistent link: https://www.econbiz.de/10010274429

China's overseas lending

Horn, Sebastian; Reinhart, Carmen M.; Trebesch, Christoph - 2019

Compared with China's dominance in world trade, its expanding role in global finance is poorly documented and understood. Over the past decades, China has exported record amounts of capital to the rest of the world. Many of these financial flows are not reported to the IMF, the BIS or the World...

Persistent link: https://www.econbiz.de/10012026888

An empirical analysis of the relationship between US monetary policy and international asset prices

Herwartz, Helmut; Morales-Arias, Leonardo - 2010

This article investigates the empirical relationship between monetary policy in the United States (US) and international equity, bond and real estate security markets for the sample period 01/1994 to 12/2007. The empirical results suggest that equity markets close to the US have a statistically...

Persistent link: https://www.econbiz.de/10010265828

Hidden defaults

Horn, Sebastian; Reinhart, Carmen M.; Trebesch, Christoph - 2022

China's lending boom to developing countries is morphing into defaults and debt distress. Given the secrecy surrounding China's loans, also the associated defaults remain 'hidden', as missed payments and restructuring details are not disclosed. We construct an encompassing dataset of sovereign...

Persistent link: https://www.econbiz.de/10012822350

China as an international lender of last resort

Horn, Sebastian; Parks, Bradley; Reinhart, Carmen M.; … - 2023

This paper shows that China has launched a new global system for cross-border rescue lending to countries in debt distress. We build the first comprehensive dataset on China's overseas bailouts between 2000 and 2021 and provide new insights into China's growing role in the global financial...

Persistent link: https://www.econbiz.de/10014282635

Exchange Rate Expectations Redux and Monetary Policy

Pierdzioch, Christian - 2002

This paper uses a dynamic general equilibrium optimizing two-country model to analyze how the formation of exchange rate expectations shapes the effects of monetary policy shocks in open economies. The model implies that the short-run output effects of permanent monetary policy shocks diminish...

Persistent link: https://www.econbiz.de/10010260510

International Diversification at Home and Abroad

Cai, Fang; Warnock, Francis E. - 2005

We analyze foreigners' and domestic institutional investors' positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that...

Persistent link: https://www.econbiz.de/10010260530

The effects of external shocks to business cycles in emerging Asia: A Bayesian VAR approach

Utlaut, Johannes Friederich; van Roye, Björn - 2010

In this paper we analyze the effects of external shocks on countries in Emerging Asia. For that purpose, we estimate a Bayesian Vector Auto-Regressive model (BVAR) with an informative prior on the steady state, including variables representing world economic activity, financial conditions,...

Persistent link: https://www.econbiz.de/10010276916

Firm characteristics and informal governance of business operations in the PRD, China

Bickenbach, Frank; Liu, Wan-Hsin - 2011

This paper describes the Chinese economic and institutional reform process as a gradual transition of an informal, relation-based governance system into a more formal and rule-based governance system. The consequences of macro-level institutional reforms on the importance of personal...

Persistent link: https://www.econbiz.de/10010277349

Can trade really hurt? An empirical follow-up on Samuelson's controversial paper

Bitzer, Jürgen; Görg, Holger; Schröder, Philipp J. H. - 2008

This paper investigates Samuelson's (JEP, 2004) argument that technical progress of the trade partner may hurt the home country. We illustrate this prospect in a simple Ricardian model for sitations with outward knowledge spillovers. Within this framework Samuelson's Act II effects may occur....

Persistent link: https://www.econbiz.de/10010263524