This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads...

This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001-2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and asymmetric market conditions. Particularly, herding...

Die Finanzkrise hat die Politik mit der Aufgabe konfrontiert, Banken und internationale Finanzmärkte besser zu kontrollieren. Dies ist bisher nur unzureichend gelungen. An der Bankenregulierung wird deutlich, dass es für ein effizientes Funktionieren der Finanzmärkte erforderlich ist, die...

A sketch of the International Monetary Fund's 70-year history reveals an institution that has reinvented itself over time along multiple dimensions. This history is primarily consistent with a "demand driven" theory of institutional change, as the needs of its clients and the type of crisis...

Der vorliegende Beitrag beschäftigt sich mit der Aufarbeitung der Hintergründe der Subprime-Krise sowie der nachfolgenden internationalen Banken- und Finanzkrisen. Auf dieser Basis werden Vor-schläge diskutiert, wie die erkannten Schwachstellen im Finanzsystem repariert bzw. behoben werden...

On February 12, 2010, SUERF, the Oesterreichische Nationalbank and the Bankwissenschaftliche Gesellschaft continued their established tradition of jointly organised conferences. As evidenced also by the 115 conference participants, this year's subject of "Contagion and Spillovers – New...

In this paper we test whether the co-movement of sovereign CDS premia increased significantly after the Greek debt crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and Rigobon (2002). Our sample consists of daily data...

In mid-September 2008, following the bankruptcy of Lehman Brothers, international interbank markets froze and interbank lending beyond very short maturities virtually evaporated. Despite massive central bank support operations and purchases of key assets, many financial markets remained impaired...

The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the...