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Did fair-value accounting contribute to the financial crisis?

Laux, Christian; Leuz, Christian - 2009

The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we...

Persistent link: https://www.econbiz.de/10010303680

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 … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

Persistent link: https://www.econbiz.de/10010274429

Origins and Resolution of Financial Crises; Lessons from the Current and Northern European Crises

Ostrup, Finn; Oxelheim, Lars; Wihlborg, Clas - 2009

financial sector and factors that explain why these strains lead to system-wide contagion and a possible credit crunch. Most of … that a financial crisis with its contagion within the system is caused by failures of legal, regulatory and political … crises would be reduced if appropriate institutions could be put in place Lacking appropriate institutions to avoid contagion …

Persistent link: https://www.econbiz.de/10010320249

The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa

Jumah, Adusei; Kunst, Robert M. - 1999

The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that traders in perfectly competitive markets have equal access...

Persistent link: https://www.econbiz.de/10010291928

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

Persistent link: https://www.econbiz.de/10010292792

Are stock returns a leading indicator for real macroeconomic developments?

Burgstaller, Johann - 2002

I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is...

Persistent link: https://www.econbiz.de/10010294592

Asymmetry and Spillover Effects in the North American Equity Markets

Pollard, Stephen K.; Sapra, Sunil K.; Canarella, Giorgio - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-12, pp. 1-52

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...

Persistent link: https://www.econbiz.de/10010295295

Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate

Reitz, Stefan - 2002

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

Persistent link: https://www.econbiz.de/10010295734

Shock around the clock - on the causal relations between international stock markets, the strength of causality and the intensity of shock transmission: an econometric analysis

Dornau, Robert - 1998

This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible...

Persistent link: https://www.econbiz.de/10010297581

Volatility Spillovers from the US to Australia and China across the GFC

Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - 2013

This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...

Persistent link: https://www.econbiz.de/10010326245

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