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Detecting financial contagion in a multivariate system : conference paper
Blatt, Dominik; Candelon, Bertrand; Manner, Hans - 2014
This paper proposes an original three-part sequential testing procedure (STP), with which to test for contagion using a … test is applied to the correlation matrix to identify and date the potential contagion mechanism. As a third element, the … STP tests for the distinctiveness of the break dates previously found. Compared to traditional contagion tests in a …
Persistent link: https://www.econbiz.de/10010484769
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The European sovereign debt crisis : what have we learned?
Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2017
This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the...
Persistent link: https://www.econbiz.de/10011588156
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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding … channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical …
Persistent link: https://www.econbiz.de/10011906282
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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 crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …
Persistent link: https://www.econbiz.de/10011471074
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Systemic risk : time-lags and persistence
Kubitza, Christian; Gründl, Helmut - 2016 - This version: May 2016
, systemic events may also occur with a time-lag to the triggering event. To study this contagion period and the resulting …
Persistent link: https://www.econbiz.de/10011478661
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 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/10010393220
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Spillovers from systemic bank defaults
Mink, Mark; Haan, Jakob de - 2014
We examine to what extent banks' stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...
Persistent link: https://www.econbiz.de/10010354063
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Short-selling, leverage and systemic risk
Pais, Amelia; Stork, Philip - 2013
During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions with...
Persistent link: https://www.econbiz.de/10010226885
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Transatlantic systemic risk
Gehde-Trapp, Monika; Wewel, Claudio Nicolai - 2013 - This version: June 12, 2013
In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European...
Persistent link: https://www.econbiz.de/10009784871
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Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper
Buchholz, Manuel; Tonzer, Lena - 2014
have been subject to contagion. We proceed in three steps. First, we apply dynamic conditional correlations from a … simple interdependence from contagion. Third, we analyze the determinants behind credit risk co-movements and the role of … contagion using regression analysis. Our results reveal a high degree of co-movements in sovereign credit risk, especially for …
Persistent link: https://www.econbiz.de/10010486057