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We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit...
Persistent link: https://www.econbiz.de/10013045650
experience no shock more than shocks to small individual peripheral countries. In general, the impact of tail returns is …
Persistent link: https://www.econbiz.de/10013022926
We provide a comprehensive account of the dynamics of eurozone countries from 2000 to 2012. We analyze private leverage … government spending, and sudden stops. We then ask how eurozone countries would have fared with different policies. We find that …
Persistent link: https://www.econbiz.de/10013045645
All of the attempts to end the euro crisis and to return the Eurozone countries to healthy growth rates of income and … Eurozone countries. I describe some of these fiscal options after reviewing the history of failed attempts and the options that …
Persistent link: https://www.econbiz.de/10013030065
There are some striking similarities between the pre 1914 gold standard and EMU today. Both arrangements are based on fixed exchange rates, monetary and fiscal orthodoxy. Each regime gave easy access by financially underdeveloped peripheral countries to capital from the core countries. But the...
Persistent link: https://www.econbiz.de/10013080834
recent Eurozone crisis. We propose a model to analyze and understand bailouts in a monetary union, and the large observed …
Persistent link: https://www.econbiz.de/10014095819
We present new data documenting European capital issues in major financial centers from 1919 to 1932. Push factors (conditions in international capital markets) perform better than pull factors (conditions in the borrowing countries) in explaining the surge and reversal in capital flows. In...
Persistent link: https://www.econbiz.de/10013073942
This chapter develops a unified framework for the study of how network interactions can function as a mechanism for propagation and amplification of microeconomic shocks. The framework nests various classes of games over networks, models of macroeconomic risk originating from microeconomic...
Persistent link: https://www.econbiz.de/10013028546
resulting from the funding shock to their balance sheet induced by the decline in interbank, cross-border lending. Policy …
Persistent link: https://www.econbiz.de/10013143762
This paper uses micro-level data on mutual funds from different financial centers investing in equity and bonds to study how investors and managers behave and transmit shocks across countries. The paper finds that the volatility of mutual fund investments is driven quantitatively by both the...
Persistent link: https://www.econbiz.de/10013121028