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Koh, Wee Chian; Kose, M. Ayhan; Nagle, Peter; Ohnsorge, … - 2020

Emerging market and developing economies have experienced recurrent episodes of rapid debt accumulation over the past fifty years. This paper examines the consequences of debt accumulation using a three-pronged approach: an event study of debt accumulation episodes in 100 emerging market and...

Persistent link: https://www.econbiz.de/10012388929

Can this time be different? Policy options in times of rising debt

Kose, M. Ayhan; Nagle, Peter; Ohnsorge, Franziska; … - 2020

Episodes of debt accumulation have been a recurrent feature of the global economy over the past fifty years. Since 2010, emerging and developing economies have experienced another wave of historically large and rapid debt accumulation. Similar past debt buildups have often ended in widespread...

Persistent link: https://www.econbiz.de/10012388936

Understanding Financial Crises: Causes, Consequences, and Policy Responses

Claessens, Stijn; Kose, M. Ayhan; Laeven, Luc; … - 2013

The global financial crisis of 2007-09 has led to an intensive research program analyzing a wide range of issues related to financial crises. This paper presents a summary of a forthcoming book, Financial Crises: Causes, Consequences, and Policy Responses, that includes 19 contributions...

Persistent link: https://www.econbiz.de/10010500233

Foreign currency debt, financial crises and economic growth: A long run view

Bordo, Michael D.; Meissner, Christopher M.; Stuckler, David - 2009

Foreign currency debt is widely believed to increase risks of financial crisis, especially after being implicated as a cause of the East Asian crisis in the late 1990s. In this paper, we study the effects of foreign currency debt on currency and debt crises and its indirect effects on short-term...

Persistent link: https://www.econbiz.de/10010282106

The financial crisis of 2008 in fixed income markets

Dwyer, Gerald P.; Tkac, Paula - 2009

We explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008. The drivers of the financial turmoil and the financial crisis of 2008 were heterogeneous securities that were hard to value. These securities created...

Persistent link: https://www.econbiz.de/10010292330

Mandatory disclosure and financial contagion

Alvarez, Fernando; Barlevy, Gadi - 2014

common knowledge that some banks have incurred losses but not which ones. We develop a model that features contagion, meaning … of contagion is large, it is possible for no information to be disclosed in equilibrium but for mandatory disclosure to … increase welfare by allowing investment that would not have occurred otherwise. Absent contagion, mandatory disclosure cannot …

Persistent link: https://www.econbiz.de/10010352166

Contagion in Stable Networks

Bougheas, Spiros - 2017

them but suffer losses through contagion when any agent on a path connected to them is hit by a shock. We first consider … that the completely connected network is stable, although, its exact structure, and thus contagion implications, is …

Persistent link: https://www.econbiz.de/10011816753

Systemic effects of bank equity issues: Competition, stabilization and contagion

Dinger, Valeriya; Marincas, Vlad; Vallascas, Francesco - 2018

We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...

Persistent link: https://www.econbiz.de/10011926736

Better to give than to receive: predictive directional measurement of volatility spillovers

Diebold, Francis X.; Yilmaz, Kamil - 2010

Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across U.S. stock, bond,...

Persistent link: https://www.econbiz.de/10010277262

On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness

Diebold, Francis X.; Yılmaz, Kamil - 2022

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.

Persistent link: https://www.econbiz.de/10014540961