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Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...
Persistent link: https://www.econbiz.de/10012461537
The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or … asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk …
Persistent link: https://www.econbiz.de/10012460129
between integration and synchronization depends on the type of shocks hitting the world economy, and that shocks to global …
Persistent link: https://www.econbiz.de/10012460452