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Stock market comovements in central Europe : evidence from Asymmetric DCC Model
Gjika, Dritan; Horváth, Roman - 2012
We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis-a-vis the...
Persistent link: https://www.econbiz.de/10009615081
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Stock Market Comovements in Central Europe : Evidence from Asymmetric DCC Model
Gjika, Dritan - 2012
We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis–à–vis...
Persistent link: https://www.econbiz.de/10013096626
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How important was contagion through banks during the European sovereign crisis?
Gonçalves, Andrei S. - 2017
changes have an asymmetric impact in that bank stocks benefit more from negative CDS spread shocks than they are hurt by …
Persistent link: https://www.econbiz.de/10011963385
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The ECB's QE and Euro Cross-Border Bank Lending
Avdjiev, Stefan - 2016
that the ECB's quantitative easing of January 2015 had a larger positive impact on cross-border bank credit in lender …-borrower pairs with a higher share of euro-denominated bank claims. The effect was especially pronounced for lending to advanced …
Persistent link: https://www.econbiz.de/10012982627
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The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil
Alter, Adrian - 2013
. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … or country-specific bank index to other sovereign or bank CDSs focusing on the period between October 2009 and July 2012 …
Persistent link: https://www.econbiz.de/10013089792
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The Dynamics of Spillover Effects during the European Sovereign Debt Crisis
Alter, Adrian - 2013
factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response … or country-specific bank index to other sovereign or bank CDSs between October 2009 and July 2012. Channels of …
Persistent link: https://www.econbiz.de/10013081460
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Examining Spillover Effect of Us Monetary Policy to European Stock Markets : A Markov-Switching Approach
Mumtaz, Muhammad Zubair - 2019
This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...
Persistent link: https://www.econbiz.de/10012869737
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Examining spillover effect of US monetary policy to European stock markets : a Markov-Switching approach
Mumtaz, Muhammad Zubair; Smith, Zachary Alexander - In: Estudios de economía 46 (2019) 1, pp. 89-124
This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...
Persistent link: https://www.econbiz.de/10012025335
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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 …-weights. More bank capital as well as positive risk-weighting for sovereign exposures mitigates spillovers …
Persistent link: https://www.econbiz.de/10012931492
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Bank Resolution in the European Banking Union : A Transatlantic Perspective on What it Would Take
Gordon, Jeffrey N. - 2014
debt so that in the event of bank failure, the conversion of debt into equity will be sufficient to absorb asset losses … reorganizing bank. On these conditions, a viable and realistic Banking Union would be within reach — and the resolution of global …
Persistent link: https://www.econbiz.de/10013062012