In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or...

This paper takes the view that a major contributing factor to the financial crisis of 2008 was a failure to correctly assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium model with banks and financial intermediation is...

Der seit der Finanzkrise steile Anstieg der Zinsdifferenzen zwischen europäischen Staatsanleihen bringt mehrere Mitgliedsländer der europäischen Währungsunion (EWU) unter erhebliche Refinanzierungsschwierigkeiten und wirft die Frage nach den Ursachen auf. Dieser Bericht fasst die Ergebnisse...

This study focuses on the information spillover between the credit protection returns and equity returns for 252 United States firms between 2004 and 2010. There is significant information flow from the equity market to the credit default swap (CDS) market under turmoil conditions for...

L’évaluation du prix des actifs est un problème récurrent en économie. Cette question se pose dans le domaine de l’immobilier comme dans d’autres domaines. Après une très forte phase de croissance, le marché immobilier américain a été touché à partir du mois de juin 2007 par...

This paper aims at testing for time-variations in herd behavior in stock markets. In particular, we analyze how investors’ behavior differs between times of market turmoil and tranquil trading periods. Thereby, we take into account herding within a certain market as well as international...

This paper explores a transmission mechanism of an exogenous shock to domestic financial markets by investigating the potential signaling role of the Monetary Stabilization Bond (MSB) spread together with several financial variables in Korea. The MSB spread widened and became more volatile...

This paper considers the impact of the 2008 short selling bans on the cross-market dynamics of stock indices across a wide range of countries. We measure the transmission of shocks between markets using a modified version of the spillover index of Diebold and Yilmaz (2009). The results show that...

Short sellers are routinely blamed for destabilizing stock markets by exacerbating deviations from fundamental values. In response, regulators periodically impose short sale constraints aimed at preventing excessive stock market declines. One explanation is that policy makers regard short...

We examine effects of government actions and related accounting policies on the corporate bond market implied by changes in relations between aggregate bond returns and cash flow and discount rate news. We capture the influence of risk by partitioning bonds into investment and speculative...