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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...
Persistent link: https://www.econbiz.de/10012499703
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The cross-market spillover of economic shocks through multimarket banks
Berróspide, José M.; Black, Lamont K.; Keeton, William R. - In: Journal of money, credit and banking : JMCB 48 (2016) 5, pp. 957-988
Persistent link: https://www.econbiz.de/10011615655
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Firm-specific shocks and contagion : are banks special?
Engljähringer, Hannah Katharina; Stracca, Livio - 2020
This paper builds a database of idiosyncratic shocks (events) in global banks and car manufacturers (as representative of non-financial firms), and focuses on how these influence a number of macroeconomic and firm-specific variables in the short- and medium-term. We find that these shocks spawn...
Persistent link: https://www.econbiz.de/10012299006
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On bank return and volatility spillovers : identifying transmitters and receivers during crisis periods
Apostolakis, George N.; Floros, Christos; Giannellis, … - In: International review of economics & finance : IREF 82 (2022), pp. 156-176
Persistent link: https://www.econbiz.de/10013542907
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Essays on financial crisis
Ma, Zihui - 2004
Persistent link: https://www.econbiz.de/10003199415
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The simpler, the better : measuring financial conditions for monetary policy and financial stability
Arrigoni, Simone; Bobasu, Alina; Venditti, Fabrizio - 2021
emerging economies at a monthly frequency covering about 70% of the world's GDP.We assess the performance of these indicators … based on their ability to capture tail risk for economic activity and to predict banking and currency crises. We find that … anticipating banking crisis, and is therefore better suited for financial stability. …
Persistent link: https://www.econbiz.de/10012653846
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The simpler the better : measuring financial conditions for monetary policy and financial stability
Arrigoni, Simone; Bobasu, Alina; Venditti, Fabrizio - 2020
emerging economies at a monthly frequency covering about 70% of the world's GDP. We use four criteria to assess the performance … predict banking crises and their response to US monetary policy shocks. We find that averaging across the indicators of …
Persistent link: https://www.econbiz.de/10012259350
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The determinants of cross-border bank flows to emerging markets : new empirical evidence on the spread of financial crises
Herrmann, Sabine; Mihaljek, Dubravko - In: The economics of transition 21 (2013) 3, pp. 479-508
Persistent link: https://www.econbiz.de/10010234755
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...
Persistent link: https://www.econbiz.de/10011471074
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International transmission and business-cycle effects of financial stress
Dovern, Jonas; Roye, Björn van - In: Journal of financial stability 13 (2014), pp. 1-17
Persistent link: https://www.econbiz.de/10011288888