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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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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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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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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 - 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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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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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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EXCHANGE RATE REGIMES, GLOBALISATION AND THE COST OF CAPITAL IN EMERGING MARKETS
Rios, Antonio Diez de los - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004
financial emerging markets and the issue of contagion. We find no evidence that a fixed exchange rate regime has helped to …
Persistent link: https://www.econbiz.de/10005827080
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Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets
Ríos, Antonio Díez de los - Centro de Estudios Andaluces, Government of Andalusia - 2003
financial emerging markets and the issue of contagion. We find no evidence that a fixed exchange rate regime has helped to …
Persistent link: https://www.econbiz.de/10005187577