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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Diebold, Francis X. - 2010

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

Persistent link: https://www.econbiz.de/10012759516

Real Effects of the Subprime Mortgage Crisis : Is it a Demand or a Finance Shock?

Tong, Hui - 2008

We develop a methodology to study whether and how a financial-sector crisis can spill over to the real economy, and apply it to the case of the ongoing subprime mortgage crisis. If there is a spillover, does it manifest itself primarily by reducing consumer confidence and consumer demand? Is...

Persistent link: https://www.econbiz.de/10012770788

Over the Cliff : From the Subprime to the Global Financial Crisis

Mishkin, Frederic S. - 2010

This paper examines what transformed a significant, but relatively mild, financial disruption into a full-fledged financial crisis. It discusses why, although the Lehman Brothers bankruptcy was a key trigger for the global financial crisis, three other events were at least as important: the AIG...

Persistent link: https://www.econbiz.de/10013135058

How the Subprime Crisis Went Global : Evidence from Bank Credit Default Swap Spreads

Eichengreen, Barry - 2010

How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes...

Persistent link: https://www.econbiz.de/10012757524

The Unholy Trinity of Financial Contagion

Kaminsky, Graciela L.; Reinhart, Carmen M.; Végh, Carlos A. - 2021

Over the last 20 years, some financial events, such as devaluations or defaults, have triggered an immediate adverse chain reaction in other countries -- which we call fast and furious contagion. Yet, on other occasions, similar events have failed to trigger any immediate international reaction....

Persistent link: https://www.econbiz.de/10013221538

Financial Globalization, Financial Crises and Contagion

Mendoza, Enrique G. - 2010

Two observations suggest that financial globalization played an important role in the recent financial crisis. First, more than half of the rise in net borrowing of the U.S. nonfinancial sectors since the mid 1980s has been financed by foreign lending. Second, the collapse of the U.S. housing...

Persistent link: https://www.econbiz.de/10013150545

Multilateral Economic Cooperation and the International Transmission of Fiscal Policy

Corsetti, Giancarlo - 2013

During the global financial crisis 2007-2009 fiscal policy was widely used as a stabilization tool. Policymakers allowed a large build-up of public debt resulting from both automatic and discretionary expansionary measures. At the same time, calls for policy coordination stressed that...

Persistent link: https://www.econbiz.de/10013091899

Domestic and Multilateral Effects of Capital Controls in Emerging Markets

Pasricha, Gurnain Kaur - 2015

Using a novel, high frequency dataset on capital control actions in 16 emerging market economies (EMEs) from 2001 to 2012, we provide new insights into the domestic and multilateral effects of capital controls. Increases in capital account openness reduce monetary policy autonomy and increase...

Persistent link: https://www.econbiz.de/10013030625

Flexibility of Adjustment to Shocks : Economic Growth and Volatility of Middle-Income Countries Before and after the Global Financial Crisis of 2008

Aizenman, Joshua - 2017

the associations of growth level, growth volatility, shocks, institutions, and macroeconomic fundamentals have changed in … growth, global oil prices, and global financial volatility. After accounting for the effects global shocks, we find that … attainment, and lack of political polarization reduce the volatility of economic growth. Countries cope with shocks better in the …

Persistent link: https://www.econbiz.de/10012954940

Managing Volatility and Crises : A Practitioner'S Guide Overview

Aizenman, Joshua; Pinto, Brian - 2021

This overview introduces and summarizes the findings of a practical volume on managing volatility and crises. The … volatility leading to large output and economic growth costs, especially in poor countries. In these circumstances, good times do … cope with volatility also drive crises. Hence, the volume also focuses on the prevention and management of crises. It is a …

Persistent link: https://www.econbiz.de/10013222946