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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...
Persistent link: https://www.econbiz.de/10012499703
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Asset market linkages in crisis periods
Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de - 2001
We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...
Persistent link: https://www.econbiz.de/10011317457
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The interplay between regulations and financial stability
Allen, Franklin; Gu, Xian - In: Journal of financial services research : JFSR 53 (2018) 2/3, pp. 233-248
Persistent link: https://www.econbiz.de/10012023955
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What is systemic risk?
Allen, Franklin; Carletti, Elena - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 121-127
Persistent link: https://www.econbiz.de/10010222565
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Contagion between European and US banks : evidence from equity prices
Fricke, Daniel - 2010
This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US …
Persistent link: https://www.econbiz.de/10008758400
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Leveraging a Call-Put Ratio as a Trading Signal
Houlihan, Patrick - 2019
We examine whether a put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: 1) specific market participant's options trading volume is a...
Persistent link: https://www.econbiz.de/10012905111
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Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Market
Makarewicz, Tomasz - 2016
The paper studies the emergence of contrarian behavior in information networks in an asset pricing market. Financial traders coordinate on similar behavior, but have heterogeneous price expectations and are influenced by friends. According to a popular belief, they are prone to herding. However,...
Persistent link: https://www.econbiz.de/10012995192
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Bank Credit, Asset Prices and Financial Stability : Evidence from French Banks
Pouvelle, Cyril - 2012
This paper analyses the effect of asset prices on credit growth in France and tries to disentangle credit demand and … period, but without credit supply factors being singled out. By contrast, housing price growth has a significant effect … during periods of financial instability only, even after controlling for credit demand effects. These results show that …
Persistent link: https://www.econbiz.de/10013101520
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Disequilibria and contagion in financial markets : evidence from a new test
De Angelis, Luca; Gardini, Attilio - In: Journal of applied economics 18 (2015) 2, pp. 247-265
Persistent link: https://www.econbiz.de/10011554982
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Lessons from financial crises : historical perspectives and theoretical concepts
Schnabel, Isabel - In: Die internationale Finanzkrise: Was an ihr ist neu, was …, (pp. 89-97). 2009
Persistent link: https://www.econbiz.de/10003916862