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Interactions between financial markets and macroeconomic variables in EU : a nonlinear modeling approach
Albu, Lucian-Liviu; Lupu, Radu; Călin, Adrian Cantemir - 2015
more protected against crisis when compared to those inside the euro zone. Therefore, the so-called contagion effect is …
Persistent link: https://www.econbiz.de/10011480254
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Leveraging and risk taking within the German banking system : evidence from the financial crisis in 2007 and 2008
Schmielewski, Frank - 2012
The present study is centered primarily on determining whether the German banking system is to be characterized by procyclical behavior from 2000 to 2011 and to what extent specific sectors of the German banking system showed significant balance sheet operations to increase their leverage within...
Persistent link: https://www.econbiz.de/10009419529
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Dating systemic financial stress episodes in the EU countries
Duprey, Thibaut; Klaus, Benjamin; Peltonen, Tuomo - 2016
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are...
Persistent link: https://www.econbiz.de/10011441674
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Boom-Bust Cycles, Imbalances and Discipline in Europe
Alberola, Enrique - 2012
The fallout from the 2008 financial crisis has been particularly acute in the euro area Member States of the south-western rim and in the new EU Member States, due to their previously accumulated macroeconomic and financial imbalances. The perception that the euro environment provided a solid...
Persistent link: https://www.econbiz.de/10013105081
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Procyclical Behavior of Institutional Investors During the Recent Financial Crisis : Causes, Impacts, and Challenges
Papaioannou, Michael G. - 2013
This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the global financial crisis; (ii) identifies the main factors that could account for such behavior; (iii) discusses the implications of procyclical behavior; and (iv) proposes a...
Persistent link: https://www.econbiz.de/10013074694
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Banking Networks, Systemic Risk, and the Credit Cycle in Emerging Markets
Das, Sanjiv Ranjan - 2020
We undertake a large-scale empirical examination of systemic risk among 1048 financial institutions in a large sample of 23 emerging markets, broken down into 5 regions. This work extends the large literature on systemic risk in the US, Europe, and other developed countries to emerging markets,...
Persistent link: https://www.econbiz.de/10012843964
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What Do the Value at Risk Measure and the Respective Legislative Framework Really Offer to Financial Stability? Critical Views and Procyclicality
Vasileiou, Evangelos - 2018
In this paper, we examine how Value at Risk (VaR) contributes to the financial market's stability. We apply the … incentives to investment funds to adopt conventional models for the VaR estimation in order to avoid the increased costs that the … advanced models involve. For this reason, we applied the commonly used historical simulation VaR model (HVaR), which is: (a …
Persistent link: https://www.econbiz.de/10012931579
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Margin Procyclicality and Systemic Risk
Bakoush, Mohamed - 2018
hoard liquidity in the interbank market. Other banks might do the same leading to a liquidity hoarding contagion that is … sell their less liquid assets leading to consecutive declines in the price of these assets. This fire sale contagion is …
Persistent link: https://www.econbiz.de/10012934168
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Leverage and Systemic Risk Pro-Cyclicality in the Chinese Financial System
Cincinelli, Peter; Pellini, Elisabetta; Urga, Giovanni - 2021
In this paper, we investigate the relationship between balance sheet size and leverage (i.e., leverage pro-cyclicality) and the pro-cyclicality of systemic risk using three systemic risk measures such as DCoVaR (Adrian & Brunnermeier, 2016), MES (Acharya et al., 2017), SRISK (Brownlees & Engle,...
Persistent link: https://www.econbiz.de/10013211839
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The persistent effects of financial crises on the composition of real investment
Jenkinson, Tim; Kim, Hyeik; Weisbach, Michael S. - 2021
Our paper provides the first cross-country evidence on the distinct dynamics of tangible and intangible investments during and after the global financial crisis. The pre-crisis rise of intangible-to-tangible capital ratio was reversed outside the U.S. due to a greater decline of intangible...
Persistent link: https://www.econbiz.de/10012816453