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Tail risk transmission : a study of the Iran food industry
Mojtahedi, Fatemeh; Mojaverian, Seyed Mojtaba; … - In: Risks : open access journal 8 (2020) 3/78, pp. 1-17
interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market … the "transmitters" and "receivers" of downside risk. We study the return series of 11 companies and the Food Industry … Mahram Manufacturing is the safest to hedge equity risk, and Glucosan and Behshahr Industries are the riskiest, while Gorji …
Persistent link: https://www.econbiz.de/10012293248
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Systemic risk in banking, fire sales, and macroeconomic disasters
Bougheas, Spiros P.; Harvey, David I.; Kirman, Alan P.; … - 2024
We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other...
Persistent link: https://www.econbiz.de/10014490902
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Systemic risk and asymmetric responses in the financial industry
López-Espinosa, Germán; Moreno, Antonio; Rubia, Antonio; … - In: Journal of banking & finance 58 (2015), pp. 471-485
Persistent link: https://www.econbiz.de/10011544046
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Melting down : systemic financial instability and the macroeconomy ; conference paper
Hubrich, Kirstin; Hartmann, Philipp; Kremer, Manfred; … - 2013 - This version: August 30, 2013, Preliminary and incomplete
We integrate systemic financial instability in an empirical macroeconomic model for the euro area. We find that at times of widespread financial instability the macroeconomy functions fundamentally differently from tranquil times. We employ a richly specified Markov-Switching...
Persistent link: https://www.econbiz.de/10010336276
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Volatility and systematic risks in financial markets
Würsig, Christoph Matthias - 2022
Persistent link: https://www.econbiz.de/10013256100
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Why countries differ in thin capitalization rules : the role of financial development
Mardan, Mohammed - 2015
In the absence of financial frictions, the purpose of thin capitalization rules is to limit multinational firms’ possibilities of engaging in tax planning via debt shifting. This paper analyzes the effects of thin capitalization rules in the case where firms have limited access to external...
Persistent link: https://www.econbiz.de/10010506334
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Why Countries Differ in Thin Capitalization Rules : The Role of Financial Development
Mardan, Mohammed - 2015
In the absence of financial frictions, the purpose of thin capitalization rules is to limit multinational firms' possibilities of engaging in tax planning via debt shifting. This paper analyzes the effects of thin capitalization rules in the case where firms have limited access to external...
Persistent link: https://www.econbiz.de/10013023856
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The natural resource curse revisited : is there a financial channel? ; conference paper
Hattendorff, Christian - 2013 - August 2013 (Draft)
The paper contributes to the ongoing debate on the natural resource curse, which refers to a negative link between natural resource abundance and economic growth. It shows empirically that resource-rich countries appear to have a less developed financial system and investigates a potential...
Persistent link: https://www.econbiz.de/10010336252
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A cointegration analysis of financial liberalisation and economic growth in Pakistan (1972-2016)
Yousaf, Abida; Bibi, Fozia; Naz, Farhana - In: Pakistan journal of applied economics : PJAE 31 (2021) 1, pp. 77-98
The present study aims to investigate the financial liberalisation and growth nexus in Pakistan by using the FM-OLS cointegration technique over the time period 1972 to 2016. The importance of the financial liberalisation process in Pakistan has been captured through the capital account...
Persistent link: https://www.econbiz.de/10012814294
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At what levels of financial development does information sharing matter?
Asongu, Simplice; Nwachukwu, Jacinta C. - In: Financial innovation : FIN 3 (2017) 11, pp. 1-30
Background: The purpose of this study is to investigate how an increase in information-sharing bureaus affects financial access. Methods: We employed contemporary and non-contemporary interactive quantile regressions in 53 African countries for the period 2004–2011. Information-sharing bureaus...
Persistent link: https://www.econbiz.de/10011661722