Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an … increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we … Hawkes processes. In the model, a jump in one region of the world or one segment of the market increases the intensity of …

allows banks in different regions to smooth local liquidity shocks by borrowing and lending on a world interbank market. We … hit by uncorrelated shocks. However, when a correlated (systemic) shock hits, the total liquid resources in the banking … second-best world, financial integration can increase the welfare benefits of liquidity requirements …

simplistic models arguing for financial integration typically employed in economics assume convexity; but the world is rife with …

to providing new insights on contagion during crisis periods, we document patterns through time in world and regional …

contagion, in that an adverse shock to investors at a subset of locations affects prices everywhere …

resulting from the funding shock to their balance sheet induced by the decline in interbank, cross-border lending. Policy …