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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

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

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

The signal of volatility

Strohsal, Till; Weber, Enzo - 2012

The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...

Persistent link: https://www.econbiz.de/10010318768

Who leads financial markets?

Weber, Enzo - 2007

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using...

Persistent link: https://www.econbiz.de/10010263681

Simultaneous stochastic volatility transmission across American equity markets

Weber, Enzo - 2008

Information flows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...

Persistent link: https://www.econbiz.de/10010263740

Testing for convergence in stock markets: a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274513

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

Persistent link: https://www.econbiz.de/10010274514

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