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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach

Gross, Christian; Siklos, Pierre L. - 2019

Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...

Persistent link: https://www.econbiz.de/10012317318

Analyzing credit risk transmission to the non-financial sector in Europe : a network approach

Gross, Christian; Siklos, Pierre L. - 2018

Persistent link: https://www.econbiz.de/10011978741

Investment funds, monetary policy, and the global financial cycle

Kaufmann, Christoph - 2021

This paper studies the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital ows receded significantly in the aftermath of the global financial...

Persistent link: https://www.econbiz.de/10012510743

Macroprudential policy spillovers and international banking - taking the gravity approach

Norring, Anni - 2019

In this paper I study how the effects of nationally implemented macroprudential policy spill across borders via international lending. For a set of 157 countries, I estimate a gravity model applied to international banking where the use of different macroprudential policy measures enter as...

Persistent link: https://www.econbiz.de/10012098204

Exchange rate fluctuations and the financial channel in emerging economies

Beckmann, Joscha; Comunale, Mariarosaria - 2020

Persistent link: https://www.econbiz.de/10012416844

Local linkages : the interdependence of foreign and domestic firms

Hynes, Kate; Kwan, Yum-keung; Foley, Anthony - 2017 - This version: 24 May 2017

This paper investigates the interdependence of foreign and domestic firms’ local linkage decisions and the extent to which they respond differently to variations in export intensity and productivity originating from each of the two groups of firms. Our empirical analysis, based on Irish data,...

Persistent link: https://www.econbiz.de/10011665462

COVID-19 pandemic and stock market contagion : a wavelet-copula GARCH approach

Alqaralleh, Huthaifa; Canepa, Alessandra; Zanetti … - 2020

Persistent link: https://www.econbiz.de/10012387020

A multi-level network approach to spillovers analysis : an application to the Maltese domestic investment funds sector

Meglioli, Francesco; Gauci, Stephanie - 2021

In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...

Persistent link: https://www.econbiz.de/10012603304

The role of contagion in the transmission of financial stress

Herculano, Miguel C. - 2018

I examine the relevance of contagion in explaining financial distress in the US banking system by identifying the … component of bank level probabilities that is due to contagion. Identification is achieved after controlling for macrofinancial … and bank specific shocks that have similar consequences to contagion. I use a Bayesian spatial autoregressive model that …

Persistent link: https://www.econbiz.de/10011978772

The role of precious metals in portfolio diversification during the Covid19 pandemic : a wavelet-based quantile approach

Alqaralleh, Huthaifa; Canepa, Alessandra - 2021

Persistent link: https://www.econbiz.de/10013167223

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