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Contagion in the European Sovereign Debt Crisis
Glover, Brent - 2014
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/10012458098
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Prospective Deficits and the Asian Currency Crisis
Burnside, Craig - 1998
This paper argues that the recent Southeast Asian currency crisis was caused by large prospective deficits associated with implicit bailout guarantees to failing banking systems. We articulate this view using a simple dynamic general equilibrium model whose key feature is that a speculative...
Persistent link: https://www.econbiz.de/10012472055
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Liquidity Requirements, Liquidity Choice and Financial Stability
Diamond, Douglas W. - 2016
We study a modification of the Diamond and Dybvig (1983) model in which the bank may hold a liquid asset, some depositors see sunspots that could lead them to run, and all depositors have incomplete information about the bank's ability to survive a run. The incomplete information means that the...
Persistent link: https://www.econbiz.de/10012456621
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Nonlinearities in Sovereign Risk Pricing : The Role of CDS Index Contracts
Delatte, Anne-Laure - 2014
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...
Persistent link: https://www.econbiz.de/10012458679
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Tales from the Bretton Woods
Bordo, Michael D. - 2014
An analogy has been made between the collapse of the Bretton Woods system in 1971 and the recent Eurozone crisis. The …However Bretton Woods is very different from the Eurozone in many dimensions. An even better analogy than BWS is a … Eurozone. In the early 1930s massive gold flows from the interior, hard hit by banking panics, to New York City were similar to …
Persistent link: https://www.econbiz.de/10012458395
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Sovereign Default Risk and Banks in a Monetary Union
Uhlig, Harald - 2013
This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...
Persistent link: https://www.econbiz.de/10012459318
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Balance SHeet Effects, Bailout Guarantees and Financial Crises
Schneider, Martin - 2000
Several recent twin' currency and banking crises were preceded by lending booms during which the banking system financed rapid growth of the nontradable (N) sector by borrowing in foreign currency. They were followed by recessions during which a sharp decline in credit especially hurt the...
Persistent link: https://www.econbiz.de/10012470672
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Private Inflows when Crises are Anticipated : A Case Study of Korea
Dooley, Michael P. - 2000
Models of financial crises based on distortions in capital markets have strong implications for the behavior of investors leading up to crises. In this paper we evaluate the hypothesis that deregulation of financial markets in Korea provided the incentives and opportunities for a sequence of...
Persistent link: https://www.econbiz.de/10012470739
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Measuring Real Economic Effects of Bailouts : Historical Perspectives on How Countries in Financial Distress Have Fared With and Without Bailouts
Bordo, Michael D. - 2000
In this paper we first trace the changing nature of banking, currency and debt crises from the last century to the present. Each type of crisis has transmogrified in the presence of official intervention and the creation of a safety net. A similar pattern is observed for international rescue...
Persistent link: https://www.econbiz.de/10012471060
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U.S. Banks, Crises, and Bailouts : From Mexico to LTCM
Stulz, Rene M. - 2000
This paper investigates the impact on bank stock prices of emerging market currency crises and bailouts. The stock market distinguishes between banks with exposure to a crisis country and other banks. In general, banks with exposures to a crisis country are affected adversely by currency events...
Persistent link: https://www.econbiz.de/10012471245