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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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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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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 Euro Area Crisis and Cross-Border Bank Lending to Emerging Markets
Avdjiev, Stefan - 2013
Cross-border bank lending to emerging markets dropped sharply in the second half of 2011 as the euro area crisis … that the latest contraction in cross-border bank lending was largely linked to the deteriorating health of euro area banks …
Persistent link: https://www.econbiz.de/10013088016
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US vs. Euro Area : Who Drives Cross-Border Bank Lending to EMS?
Cerutti, Eugenio - 2019
This paper analyzes the drivers of cross-border bank lending to 49 Emerging Markets (EMs) during the period 1990Q1 … literature has traditionally highlighted the influence of US monetary policy on driving cross-border bank flows, and more … decrease in bank leverage, our results indicate a broad-based overall contraction of cross-border lending if the shock …
Persistent link: https://www.econbiz.de/10012859870
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International Banking with the Euro
McGuire, Patrick; Tarashev, Nikola A. - 2013
The structure of the international banking market has evolved in important ways since the introduction of the euro in 1999. In comparison to legacy currencies, the use of the euro in cross-border banking transactions grew on aggregate, and the bilateral linkages within the euro area became more...
Persistent link: https://www.econbiz.de/10014202576
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Banks' holdings of risky sovereign bonds in the absence of the nexus : yield seeking with central bank funding or de-risking?
Frey, Rainer; Weth, Mark - 2019
recourse to central bank finance is rather limited and does not affect the risk-taking behaviour of banks in a non … capitalised banks, a kind of "hidden moral suasion" or "home-biased" gambling for resurrection to actively push the sovereign-bank …
Persistent link: https://www.econbiz.de/10012268051
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Bank Interventions and Options-Based Systemic Risk : Evidence from the Global and Euro-Area Crisis
Londono, Juan M.; Tian, Mary H. - 2017
Using a novel dataset on central bank interventions to financial institutions, we examine the impact of capital … compensation investors demand for being exposed to the risk of large correlated drops in bank stock prices. DCRP is calculated … using options that provide a hedge against large drops in the price of a bank index and its individual components. We find …
Persistent link: https://www.econbiz.de/10014121074