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Volatility Co-Movements and Spillover Effects within the Eurozone Economies : A Multivariate GARCH Approach Using the Financial Stress Index
MacDonald, Ronald - 2017
The Eurozone crisis is one the most important economic event in recent years. At its peak, the effects of the crisis have put at serious risk the outcome of the euro project, exposing the inherent weaknesses and vulnerabilities of the monetary union. As the degree of economic and financial...
Persistent link: https://www.econbiz.de/10012972258
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Time Varying Herding and Anti-Herding Behavior and Dynamic Conditional Correlations in European Market Indices
Stavroyiannis, Stavros - 2013
We examine the existence of herding and anti-herding (positive herding) behavior in major European benchmarking stock … evidence confirms a herding behavior during the global financial crisis for the South countries, and anti-herding behavior for … both North and South subsets before and after the shock, independent of the window size. The herding and anti-herding …
Persistent link: https://www.econbiz.de/10013078646
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The Spillover Effects of Target Interest Rate News from the U.S. Fed and the European Central Bank on the Asia-Pacific Stock Markets
Kim, Suk-Joong - 2009
This paper examines the spillover effects of the U.S. Fed's and the European Central Bank (ECB)'s target interest rate news on the market returns and return volatilities of twelve stock markets in the Asia-Pacific region over the period 1999-2006. The news spillover effects on the returns are...
Persistent link: https://www.econbiz.de/10013156252
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The Zero Risk Fallacy? Banks' Sovereign Exposure and Sovereign Risk Spillovers
Kirschenmann, Karolin - 2018
European banks are exposed to a substantial amount of risky sovereign debt. The “missing bank capital” resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...
Persistent link: https://www.econbiz.de/10012931492
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Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
Antonakakis, Nikolaos - 2014
In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent period encompassing both the global financial crisis and the Euro zone debt crisis. Using the VAR-based spillover index approach of Diebold and Yilmaz (2012) and impulse response...
Persistent link: https://www.econbiz.de/10013058578
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Financial Contagion in the BRICS Stock Markets : An Empirical Analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis
Pereira, Dirceu - 2018
This research analyzes and extend the study of contagion for BRICS Emerging Stock Markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements...
Persistent link: https://www.econbiz.de/10012931029
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A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies
Fulli-Lemaire, Nicolas - 2014
The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign debt crisis that rapidly spread to the Euro-Zone's weakest member states. As the crisis increasingly drove a wedge between a seemingly resilient...
Persistent link: https://www.econbiz.de/10013063273
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Sovereign Bond and CDS Market Contagion : A Story From the Eurozone Crisis
Bampinas, Georgios; Panagiotidis, Theodore; Politsidis, … - 2023
We examine the asymmetric and nonlinear nature of the cross- and intra-market linkages of eleven EMU sovereign bond and CDS markets during 2006-2018. By adopting the excess correlation concept of Bekaert et al. (2005) and the local Gaussian correlation approach of Tjøstheim and Hufthammer...
Persistent link: https://www.econbiz.de/10014349801
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Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
Caporin, Massimiliano - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...
Persistent link: https://www.econbiz.de/10013074792
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Quantifying Trans-Pacific Partnership and Transatlantic Trade and Investment Partnership Spillovers on India
Narayanan, G. Badri - 2016
The Trans-Pacific Partnership and Transatlantic Trade and Investment Partnership will impact on substantive market regulations in a wide a range of areas bearing on market access, both by establishing substantive new horizontal and sectoral standards and by establishing requirements regarding...
Persistent link: https://www.econbiz.de/10013003154