Narrow search
Showing 1 - 10 of 5,406
Cover Image
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
sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … 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 …
Persistent link: https://www.econbiz.de/10011471074
Cover Image
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
Cover Image
Are private banks the better banks? : an insight into the principal-agent structure and risk-taking behavior of German banks
Schmielewski, Frank; Wein, Thomas - 2012
In this study, we propose our hypothesis that the distinguishable principal-agent relationships of German banks are significantly influencing the risk-taking attitudes of bank managers. Particularly, we intend to substantiate the theory that banks owned by dispersed shareholders or federal state...
Persistent link: https://www.econbiz.de/10009515838
Cover Image
Investing in Crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2016. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find that returns of equity and other asset classes often underperform following...
Persistent link: https://www.econbiz.de/10013242872
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
How important was contagion through banks during the European sovereign crisis?
Gonçalves, Andrei S. - 2017
positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …
Persistent link: https://www.econbiz.de/10011963385
Cover Image
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
Cover Image
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