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Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)

Kalbaska, A.; Gątkowski, M. - In: Journal of Economic Behavior & Organization 83 (2012) 3, pp. 657-673

the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …This paper analyses the dynamics of the credit default swap (CDS) market of PIIGS, France, Germany and the UK for the … correlation analysis and the Granger-causality test demonstrate that there was contagion effect since correlations and cross …

Persistent link: https://www.econbiz.de/10011048091

Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece

González-Hermosillo, Brenda; Johnson, Christian A - International Monetary Fund (IMF) - 2014

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal....

Persistent link: https://www.econbiz.de/10011142190

The End; A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

Chan-Lau, Jorge A.; Gravelle, Toni - International Monetary Fund (IMF) - 2005

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is general enough to assess systemic risk in the corporate and financial sectors, as...

Persistent link: https://www.econbiz.de/10005264155

Government Involvement in Corporate Debt Restructuring; Case Studies From the Great Recession

Grigorian, David A.; Raei, Faezeh - International Monetary Fund (IMF) - 2010

The paper examines recent episodes of government involvement in corporate debt restructurings. It argues that corporate debt restructuring is an important step toward recovery from a financial crisis. We then discuss the rationale for, and modalities of, the state intervention in corporate debt...

Persistent link: https://www.econbiz.de/10008727803

Post-Crisis Bank Behavior; Lessons From Mercosur

International Monetary Fund (IMF); International … - 2010

Did the occurrence of systemic banking crises in the 1990s and 2000s significantly alter the behavior of banks in the Mercosur? The objective of this paper is to answer this question by analyzing changes in bank behavior after crises in the Mercosur region. To our knowledge, this is the first...

Persistent link: https://www.econbiz.de/10008561078

Predicting Sovereign Debt Crises

Schimmelpfennig, Axel; Roubini, Nouriel; Manasse, Paolo - International Monetary Fund (IMF) - 2003

We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota. By means of logit and binary recursive...

Persistent link: https://www.econbiz.de/10005248202

Managing Financial Crises; Recent Experience and Lessons for Latin America

Kincaid, G. Russell; Collyns, Charles - International Monetary Fund (IMF) - 2003

This paper seeks to draw lessons from the IMFâ€™s experience in handling financial crises around the globe over the past ten years that are relevant to the challenges faced by countries in Latin America, especially in the wake of the recent crisis in Argentina. Experience suggests that...

Persistent link: https://www.econbiz.de/10005824823

Rules of Thumb for Sovereign Debt Crises

Roubini, Nouriel; Manasse, Paolo - International Monetary Fund (IMF) - 2005

This paper contains an empirical investigation of the set of economic and political conditions that are associated with a likely occurrence of a sovereign debt crisis. We use a new statistical approach (Binary Recursive Tree) that allows us to derive a collection of "rules of thumb" that help...

Persistent link: https://www.econbiz.de/10005604956

French Banks Amid the Global Financial Crisis

Xiao, Yingbin - International Monetary Fund (IMF) - 2009

This paper runs the gamut of qualitative and quantitative analyses to examine the performance of French banks during 2006-2008 and the financial support measures taken by the French government. French banks were not immune but proved relatively resilient to the global financial crisis reflecting...

Persistent link: https://www.econbiz.de/10008528665

A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis

Ludwig, Alexander - In: Journal of International Money and Finance 48 (2014) PA, pp. 125-146

This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …

Persistent link: https://www.econbiz.de/10010939662

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