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Measuring Co-Movements of CDS Premia during the Greek Debt Crisis
Andenmatten, Sergio; Brill, Felix - Department Volkswirtschaftlehre, Universität Bern - 2011
crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of "no contagion, only interdependence". Especially for European countries we would instead …
Persistent link: https://www.econbiz.de/10009150536
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Reviewing the Leverage Cycle
Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2013
, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the …
Persistent link: https://www.econbiz.de/10010895688
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Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region
Cheung, Lillian; Fung, Laurence; Tam, Chi-sang - Hong Kong Monetary Authority - 2008
the Lehman Brothers in September 2008. We also test for the existence of contagion, and find no significant evidence of … contagion between equity markets in the US and the EMEAP region. On the other hand, intra-regional contagion is found to be more …
Persistent link: https://www.econbiz.de/10005690175
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LIBOR: origins, economics, crisis, scandal, and reform
Skeie, David R.; Hou, David - Federal Reserve Bank of New York - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010757406
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LIBOR: origins, economics, crisis, scandal and reform
Skeie, David Hou David - Palgrave Macmillan
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010861107
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Classifying Returns as Extreme: European Stock and Bond Markets
Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2013
the simultaneous extreme return variable (used for analyzing integration and contagion of fi?nancial markets) is not …
Persistent link: https://www.econbiz.de/10010851280
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Classifying returns as extreme: European stock and bond markets
Christiansen, Charlotte - In: International Review of Financial Analysis 34 (2014) C, pp. 1-4
I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately, and two, a novel multivariate classification scheme...
Persistent link: https://www.econbiz.de/10010931487
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Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil
Yiu, Matthew S.; Ho, Wai-Yip Alex; Jin, Lu - Hong Kong Monetary Authority - 2010
March 2009, suggesting evidence of contagion from the US stock market to markets in the two regions during the global … financial turmoil. The magnitude of the contagion effect to both regions in the global financial crisis is very similar, albeit … contagion from the US to the Asian region during the Asian financial crisis in 1997 and 1998 as expected, since the crisis was …
Persistent link: https://www.econbiz.de/10008635814
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Financial Fragmentation and Economic Growth in Europe
Schnabel, Isabel; Seckinger, Christian - Volkswirtschaftslehre-Lehrstühle, Gutenberg School of … - 2014
Using industry data from Eurostat and applying the Rajan-Zingales methodology, we investigate the real growth effects of banking sector integration in the European Union. Our sample stretches from 2000 until 2012 and includes the phase of rapid financial integration before the crisis as well as...
Persistent link: https://www.econbiz.de/10011185180
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Dynamics in the correlations of the Credit Default Swaps’ G14 dealers: Are there any contagion effects due to Lehman Brothers’ bankruptcy and the global financial crisis?
Kazi, Irfan Akbar; Salloy, Suzanne - Institut de Préparation à l'Administration et à la … - 2014
Cappiello, Engle and Sheppard (2006), we examine if there is contagion during the global financial crisis, following Lehman …), but only some banks faced high contagion during the global financial crisis (long term impact). Regulators who try to …
Persistent link: https://www.econbiz.de/10010764048