Narrow search
Showing 1 - 10 of 5,526
Cover Image
Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more …
Persistent link: https://www.econbiz.de/10011731038
Cover Image
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
Cover Image
Capital Markets Union and monetary policy performance : comes financial market variety at a cost?
Kotz, Hans-Helmut; Semmler, Willi; Tahri, Ibrahim - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 41-59
financial crises. Using a non-linear VAR-model we document diverging responses to an identical monetary policy impulse …
Persistent link: https://www.econbiz.de/10012051208
Cover Image
Spillover effects from exiting highly expansionary monetary policies
Rawdanowicz, Łukasz; Bouis, Romain; Brezillon, Jérôme; … - 2014
The prospective normalisation of monetary policies in the main OECD areas will be challenging given that current policy rates are likely to be significantly below neutral levels and that central bank balance sheets will be above the pre-crisis levels by a wide margin. Monetary policy...
Persistent link: https://www.econbiz.de/10010374407
Cover Image
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
Cover Image
The Effect of the European Economic News Releases to the US Financial Markets in the Crisis Period
Vortelinos, Dimitrios I. - 2019
This paper evaluates the effect of all European economic news releases to the US financial markets, for the main crisis period from June 2007 up to October 2011. Evaluation concerns Sharpe ratios, as well as magnitude and frequency of volatility jumps for the periods before and after a news...
Persistent link: https://www.econbiz.de/10012902639
Cover Image
Beyond International Standards : Mapping the Future of Capital Markets Regulation
Jordan, Cally - 2018
As a response to multiple financial shocks, international standards have disappointed. Consensus-seeking has stifled innovation, perpetuating outdated regulatory concepts at a time of rapid market change. Different forces are at work now. Markets are complex and idiosyncratic; they may not be...
Persistent link: https://www.econbiz.de/10012910271
Cover Image
The Changing Network of Financial Market Linkages : The Asian Experience
Chowdhury, Biplob - 2019
Recent international financial crises highlight the advantages of understanding the global financial system as a network of economies in which cross-border financial linkages are fundamental to the spread of systemic risk. We investigate the changing network of financial markets for six periods...
Persistent link: https://www.econbiz.de/10012892031
Cover Image
Determinants of Financial Stress in Emerging Market Economies
Park, Cyn-Young - 2018
financial stress in emerging markets. Previous studies dealing with financial crises and contagion show the linkages through …
Persistent link: https://www.econbiz.de/10012938420
Cover Image
Financial Crises, Price Discovery, and Information Transmission : A High-Frequency Perspective
Füss, Roland - 2017
This paper examines the price discovery processes before and during the 2007-09 subprime and financial crisis, as well as the subsequent European sovereign crisis, for the stock, bond, and U.S. dollar/euro FX markets in the U.S. and Germany in a high-frequency setting. Based on five-second...
Persistent link: https://www.econbiz.de/10012975585