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Illiquidity Contagion and Liquidity Crashes
Cespa, Giovanni - 2014
Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a … self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity … spillovers and is a source of fragility: a small drop in the liquidity of one asset can, through a feedback loop, result in a …
Persistent link: https://www.econbiz.de/10013068308
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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...
Persistent link: https://www.econbiz.de/10010373349
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Tail dependence of financial stocks and CDS markets : evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010187546
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CDS central counterparty clearing default measures : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2020
. There exists a strong conflict between predatory competition and dealer distress, which inadvertently makes dealers prey on … theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …
Persistent link: https://www.econbiz.de/10012419635
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CDS central counterparty clearing liquidation : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2017
well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …
Persistent link: https://www.econbiz.de/10011870658
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Informational contagion in the laboratory
Cipriani, Marco; Guarino, Antonio; Guazzarotti, Giovanni; … - 2015
between asset prices is very close to that predicted by the theory. Finally, as theory predicts, there is no contagion when …
Persistent link: https://www.econbiz.de/10010488290
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Fire sales by euro area banks and funds : what is their asset price impact?
Mirza, Harun; Moccero, Diego; Palligkinis, Spyros; … - In: Economic modelling 93 (2020), pp. 430-444
Persistent link: https://www.econbiz.de/10012430199
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Globalization, financial crisis and contagion : time-dynamic evidence from financial markets of developing countries
Asongu, Simplice A. - 2011
Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...
Persistent link: https://www.econbiz.de/10011410546
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Globalization, Financial Crisis and Contagion : Time-Dynamic Evidence from Financial Markets of Developing Countries
Asongu, Simplice - 2015
Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its...
Persistent link: https://www.econbiz.de/10013032610
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The changing network of financial market linkages : the Asian experience
Chowdhury, Biplob; Dungey, Mardi H.; Kangogo, Moses; … - 2018
Recent international financial crises highlight the advantages of understanding the global financial system as a network of economies in which cross-border financial linkages are fundamental to the spread of systemic risk. We investigate the changing network of financial markets for six periods...
Persistent link: https://www.econbiz.de/10011903175