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Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper
Buchholz, Manuel; Tonzer, Lena - 2014
Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the determinants of the observed pattern of credit risk...
Persistent link: https://www.econbiz.de/10010486057
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The Anatomy of Sovereign Credit Contagion
Kalotychou, Elena - 2015
the credit spreads of other regional sovereigns and on the rest of the world. We find that such “fast and furious …
Persistent link: https://www.econbiz.de/10013019398
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Credit ratings and cross-border bond market spillovers : conference paper
Böninghausen, Benjamin; Zabel, Michael - 2013 - February 12, 2013, Preliminary version
This paper studies spillovers across sovereign debt markets in the wake of sovereign rating changes. To this end, we use an extensive dataset covering all announcements by the three major agencies (Standard & Poor's, Moody's, Fitch) and daily sovereign bond market movements of up to 74 developed...
Persistent link: https://www.econbiz.de/10010343748
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Global Liquidity : Drivers, Volatility and Toolkits
Goldberg, Linda S. - National Bureau of Economic Research - 2023
Global liquidity refers to the volumes of financial flows - largely intermediated through global banks and non … liquidity provision. Strong prudential policies in the home countries of global banks and official facilities reduce funding …
Persistent link: https://www.econbiz.de/10014322743
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Global Banks and Systemic Risk : The Dark Side of Country Financial Connectedness
McLemore, Ping; Mihov, Atanas; Sanz, Leandro - 2022
global exposures. Using supervisory data on U.S. banks' foreign claims, we find that banks with exposure to countries with …
Persistent link: https://www.econbiz.de/10013492147
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Reframing International Financial Regulation after the Global Financial Crisis : Rational States and Interdependence, Not Regulatory Networks and Soft Law
Turk, Matthew C. - 2015
This Article uses a rational choice analysis to simplify the increasingly complex area of international financial regulation. It proceeds by identifying four “interdependence problems” relating to harmonization of financial standards, capital requirements, bank resolution procedures, and an...
Persistent link: https://www.econbiz.de/10013029921
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Solving Global Financial Imbalances : A Plan for a World Financial Authority
Mirandola, Carlos Mauricio - 2013
This paper will propose a plan to reform international finance – the World Financial Authority (WFA) Plan. Under such a … financial activities of transnational private banks. Second, helping countries to make their domestic monetary policies more … effective, regaining traction and preventing contagion. A central instrument to this end is the creation of the World Financial …
Persistent link: https://www.econbiz.de/10013095450
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...
Persistent link: https://www.econbiz.de/10011471074
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How does sovereign bond market integration relate to fundamentals and CDS spreads?
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016
We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...
Persistent link: https://www.econbiz.de/10011618981
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Improving Global Financial Services Regulation
Singham, Shanker; McBride, Catherine - 2021
As the most globally active financial services provider, the UK has the potential to be a key player in helping to develop a more efficient international regulatory framework after it leaves the EU. All entities that have efficient and attractive financial services offerings will benefit from...
Persistent link: https://www.econbiz.de/10013224810