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Baldwin, Richard - 2010

This paper presents a new model of the domino effect which is used to generate an empirical index of how "contagious" FTAs are with respect to third nations. We test our contagion hypothesis together with alternative specifications of interdependence and other political, economical and...

Persistent link: https://www.econbiz.de/10012462571

Modeling Financial Contagion Using Mutually Exciting Jump Processes

Aït-Sahalia, Yacine - 2010

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 …

Persistent link: https://www.econbiz.de/10012462802

Regional Contagion and the Globalization of Securities Markets

Calvo, Guillermo A. - 1999

This paper argues that the globalization of securities markets may promote contagion among investors by weakening …

Persistent link: https://www.econbiz.de/10012471634

Financial Globalization, Financial Crises and Contagion

Mendoza, Enrique G. - 2009

Two observations suggest that financial globalization played an important role in the recent financial crisis. First …

Persistent link: https://www.econbiz.de/10012463217

Crises and Sudden Stops : Evidence from International Bond and Syndicated-Loan Markets

Kaminsky, Graciela L. - 2008

The crises in Mexico, Thailand, and Russia in the 1990s spread quite rapidly to countries as far apart as South Africa and Pakistan. In the aftermath of these crises, many emerging economies lost access to international capital markets. Using data on international primary issuance, this paper...

Persistent link: https://www.econbiz.de/10012464398

Global Crises and Equity Market Contagion

Bekaert, Geert - 2011

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 International Transmission of Credit Bubbles : Theory and Policy

Ventura, Jaume - 2015

We live in a new world economy characterized by financial globalization and historically low interest rates. This … in this world. The interest-rate and terms-of-trade spillovers produce policy externalities that make the noncooperative …

Persistent link: https://www.econbiz.de/10012457733

The Great Recession : A Self-Fulfilling Global Panic

Bacchetta, Philippe - 2013

While the 2008-2009 financial crisis originated in the United States, we witnessed steep declines in output, consumption and investment of similar magnitudes around the globe. This raises two questions. First, given the observed strong home bias in goods and financial markets, what can account...

Persistent link: https://www.econbiz.de/10012459599

The Gold Pool (1961-1968) and the Fall of the Bretton Woods System. Lessons for Central Bank Cooperation

Bordo, Michael - 2017

The Gold Pool (1961-1968) was one of the most ambitious cases of central bank cooperation in history. Major central banks pooled interventions - sharing profits and losses - to stabilize the dollar price of gold. Why did it collapse? From at least 1964, the fate of the Pool was in fact tied to...

Persistent link: https://www.econbiz.de/10012453697

Interbank Connections, Contagion and Bank Distress in the Great Depression

Calomiris, Charles W. - 2019

Liquidity shocks transmitted through interbank connections contributed to bank distress during the Great Depression. New data on interbank connections reveal that banks were much more likely to close when their correspondents closed. Further, after the Federal Reserve was established, banks'...

Persistent link: https://www.econbiz.de/10012479846