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The systemic risk of US oil and natural gas companies
Massimiliano, Caporin; Fulvio, Fontini; Roberto, Panzica - 2022
We analyse the evolution of the systemic risk impact of oil and natural gas companies since 2000. This period is characterised by several events that affected energy source markets: the real effect of the global financial crisis, the explosion of shale production and the diffusion of the...
Persistent link: https://www.econbiz.de/10013358988
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Systemic effects of bank equity issues : competition, stabilization and contagion
Dinger, Valeriya; Marincas, Vlad; Vallascas, Francesco - 2018
We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...
Persistent link: https://www.econbiz.de/10011791471
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Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform
Fricke, Daniel; Lux, Thomas - 2012
We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate different versions of a core-periphery model....
Persistent link: https://www.econbiz.de/10010281031
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Core-periphery structure in the overnight money market : evidence from the e-MID trading platform
Fricke, Daniel; Lux, Thomas - In: Computational economics 45 (2015) 3, pp. 359-395
Persistent link: https://www.econbiz.de/10011414125
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The impact of climate transition risks on financial stability : a systemic risk approach
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos; Ugolini, … - 2022
Transitioning to a low-carbon economy involves risks for the value of financial assets, with potential ramifications for financial stability. We quantify the systemic impact on financial firms arising from changes in the value of financial assets under three climate transition scenarios that...
Persistent link: https://www.econbiz.de/10013041402
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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2019
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012061369
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Tourism stocks in times of crises : an econometric investigation of non-macro factors
Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2016
Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical...
Persistent link: https://www.econbiz.de/10011566387
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The Effects of VIX Index, Exchange Rate & Oil Prices on the BIST 100 Index : A Quantile Regression Approach
Tekin, Bilgehan - 2020
The aim of this study is to investigate the effect of oil price, US Dollar rate and VIX on Borsa Istanbul by employing quantile regression model. In the literature, there are studies that examine the effect of the mentioned factors on stock market, but the number of studies in which these...
Persistent link: https://www.econbiz.de/10012854437
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Tourism stocks in times of crises : an econometric investigation of unexpected non-macroeconomic factors
Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2017 - Revised: June 2017
Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of Euros were wiped from tourism related stocks. The theoretical relationship of the industry with such unexpected non-macro incidents received moderate academic coverage. Nevertheless, the...
Persistent link: https://www.econbiz.de/10011658758
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Measuring co-movements of CDS premia during the Greek debt crisis
Andenmatten, Sergio; Brill, Felix - 2011
crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of no contagion, only interdependence. Especially for European countries we would instead …
Persistent link: https://www.econbiz.de/10010316042