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Estimating global bank network connectedness

Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2017

Persistent link: https://www.econbiz.de/10011616797

Estimating Global Bank Network Connectedness

Demirer, Mert - 2017

dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …

Persistent link: https://www.econbiz.de/10012455541

Globalization and innovation in emerging markets

Gorodnichenko, Yuriy; Švejnar, Jan; Terrell, Katherine D. - 2008

Persistent link: https://www.econbiz.de/10003780168

Output spillovers from fiscal policy

Auerbach, Alan J.; Gorodnichenko, Yuriy - 2012

Persistent link: https://www.econbiz.de/10009681608

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yılmaz, Kamil - 2008

"We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10003659584

Local Fiscal Multipliers and Fiscal Spillovers in the United States

Auerbach, Alan J. - 2019

We estimate local fiscal multipliers and spillovers for the United States using a rich dataset based on U.S. Department of Defense contracts and a variety of outcome variables relating to income and employment. We find strong positive spillovers across locations and industries. Both backward...

Persistent link: https://www.econbiz.de/10012479413

Globalization and innovation in emerging markets

Gorodnichenko, Yuriy - 2008

Globalization brings opportunities and pressures for domestic firms in emerging markets to innovate and improve their competitive position. Using data on firms in 27 emerging market economies, we estimate the effects of foreign competition, vertical linkages with foreign firms, and international...

Persistent link: https://www.econbiz.de/10012464166

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

Diebold, Francis X. - 2008

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10012464836

Local fiscal multipliers and fiscal spillovers in the United States

Auerbach, Alan J.; Gorodnichenko, Yuriy; Murphy, Daniel P. - 2019

Persistent link: https://www.econbiz.de/10011982614

Output Spillovers from Fiscal Policy

Auerbach, Alan J. - 2012

In this paper, we estimate the cross-country spillover effects of government purchases on output for a large number of OECD countries. Following the methodology in Auerbach and Gorodnichenko (2012a, b), we allow these multipliers to vary smoothly according to the state of the economy and use...

Persistent link: https://www.econbiz.de/10012460082