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From Sovereigns to Banks: Evidence on Cross-border Contagion (2006-2011)
Kalbaska, Alesia - Dipartimento di Economia Politica e Statistics, … - 2013
20 banking systems (Australia, Austria, Belgium, Canada, Finland, France, Germany, Greece, India, Ireland, Italy, Japan …, Ireland, Italy, Greece and Spain) - with a lot of anxiety. However, unexpectedly, the analysis of the data shows that a single …
Persistent link: https://www.econbiz.de/10010690363
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General equilibrium pricing of currency and currency options
Du, Du - In: Journal of Financial Economics 110 (2013) 3, pp. 730-751
This paper presents a consumption-based general equilibrium model for valuing foreign exchange contingent claims. The model identifies a novel economic mechanism by exploiting highly but imperfectly shared consumption disaster with variable intensities which are the concerns to the...
Persistent link: https://www.econbiz.de/10010709038
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Interdependence of NAFTA Capital Markets: A Minimum Variance Portfolio Approach
López-Herrera, Francisco; Roberto J.; Ortiz, Edgar - In: Panoeconomicus 61 (2014) 6, pp. 691-707
We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio†that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...
Persistent link: https://www.econbiz.de/10011134487
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A Multifractal Model of Asset Returns in the Context of the New Economy Paradigm
DEZSI, Diana; SCARLAT, Emil - In: Timisoara Journal of Economics 5 (2012) 17, pp. 23-32
The hereto article indicates how multifractals related ideas can contribute to the modelling of the long-memory nature of the financial market volatility. The multifractal models appear in the context of the new paradigm of the financial markets, being related to Benoit Mandelbrot’s fractal...
Persistent link: https://www.econbiz.de/10010565817
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FINANCIAL CONTAGION RELOADED: THE CASE OF CYPRUS
Oehler-Sincai, Iulia Monica - In: Global Economic Observer 1 (2013) 1, pp. 66-74
, spillovers originating in the Euro Area as a whole (through the debt crisis) and Greece in particular. In spite of the fiscal … reform of 2002 and the new fiscal system in force since the 1st of January 2003, Cyprus continued to be a "tax haven". Its … high investment attractiveness spurred the "Cyp-Rus" relations, boosted an outsized banking sector (representing 800% of …
Persistent link: https://www.econbiz.de/10010721102
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Intolerable Surges, Exchange Rate Regimes and Sudden Stops of Capital Inflows
Feith, Ayachi; Youssef, Bhar - In: European Integration Process in Western Balkan Countries
This chapter investigates the effect of the exchange regime on the likelihood of sudden stops. A panel probit analysis is conducted on the data of 43 developing countries from 1980 to 2010. The test investigates the interaction of surges and the exchange regime and their potential impact of the...
Persistent link: https://www.econbiz.de/10010969114
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Predicting Financial Stress Events: A Signal Extraction Approach
Christensen, Ian; Li, Fuchun - Bank of Canada - 2014
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor...
Persistent link: https://www.econbiz.de/10010960397
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Banking and Currency Crises: Differential Diagnostics for Developed Countries
Joy, Mark; Rusnak, Marek; Smidkova, Katerina; Vasicek, Borek - Česká Národní Banka - 2014
We identify a set of "rules of thumb" that characterise economic, financial and structural conditions preceding the onset of banking and currency crises in 36 advanced economies over 1970–2010. We use the Classification and Regression Tree methodology (CART) and its Random Forest (RF)...
Persistent link: https://www.econbiz.de/10011210755
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Global financial crisis and contagion: evidence for the Ebrici economies
Krishna Reddy Chittedi* - In: Journal of Developing Areas 48 (2014) 4, pp. 243-264
The present study examined the effects of contagion from the developed markets (The US, the UK, and Japan) to the BRIC stock markets during the period of Jan 1996 to July 2011 using daily data. It applied Dynamic Condition Correlations (DCC) model and Asymmetric Generalized Dynamic Conditional...
Persistent link: https://www.econbiz.de/10011213155
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Las crisis bursátiles en España y su comparación con otros mercados internacionales: Análisis de sus principales características
Torre-Gallegos, Antonio de la; Bellini, Edith - Volkswirtschaftliche Fakultät, … - 2009
Regularly there are periods of a dramatic decline in stock markets that are defined as “stock market crashes” and cause “stock market crisis”. Analysis of the influence of this crisis over the Spanish stock market, the originating causes and their repercussions over the market can enable...
Persistent link: https://www.econbiz.de/10008694036