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Measuring connectedness of Euro area sovereign risk
Gätjen, Rebekka; Schienle, Melanie - 2015
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10010503874
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10011731038
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Three decades of international financial crises : what have we learned and what still needs to be done?
Buckley, Ross P.; Avgouleas, Emilios; Arner, Douglas W. - Asian Development Bank - 2020
Fragility that periodically erupts into a full-blown financial crisis appears to be an integral feature of market-based financial systems in spite of the emergence of sophisticated risk management tools and regulatory systems. If anything, the increased frequency of modern crises underscores how...
Persistent link: https://www.econbiz.de/10012232895
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Eurozone Sovereign Contagion : Evidence from the CDS Market (2005–2010)
Kalbaska, Alesia - 2017
the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …
Persistent link: https://www.econbiz.de/10012965163
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Sovereign Contagion in Europe : Evidence from the CDS Market
Manasse, Paolo - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10013088213
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Exit strategies and their impact on the Euro area : a model based view
Belke, Ansgar - 2014
Dieser Beitrag untersucht die Argumente für und gegen einen Ausstieg aus der expansiven Geldpolitik. Der Fokus liegt … dabei auf der Betrachtung der Effekte eines Ausstiegs der amerikanischen Notenbank Fed auf die Eurozone. Dies erscheint … geldpolitischen Ausstiegs der Fed auf die Eurozone auf Basis eines IWF-Modells dar. Abschließend werden die Optionen der Geldpolitk …
Persistent link: https://www.econbiz.de/10010227698
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Exit strategies and their impact on the Euro area : a model based view
Belke, Ansgar - 2014
This paper comments on the pros and cons of exit strategies. The focus is on the impact on the Euro area economy of the exit from unconventional monetary policies (UMP) by the Fed, which, appears to be the first central bank to lay out an exiting path. In this context, it discusses the issue of...
Persistent link: https://www.econbiz.de/10010371341
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Banks' Trading after the Lehman Crisis : The Role of Unconventional Monetary Policy
Podlich, Natalia - 2017
Based on a detailed trade-level dataset, we analyze the proprietary trading behavior of German banks in the months directly preceding and following the Lehman collapse in September 2008. The default of Lehman Brothers was a shock to the German banking system that was both unexpected and...
Persistent link: https://www.econbiz.de/10012952017
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Systemic Financial Turmoil : Inside the Subprime and the Eurozone Crises Quantitative Architecture and Empirics
Yordanov, Vilimir - 2018
portfolio credit derivatives analytics - a dynamic top-down HJM setting. Interestingly, the eurozone resembles a giant CDO in …
Persistent link: https://www.econbiz.de/10012937633
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Currency compositions of international reserves and the euro crisis
Laser, Falk Hendrik; Weidner, Jan - 2020
During recent years, central banks have increased the levels of their international reserves at an unprecedented pace. In this paper, we introduce new country-specific reserve data and examine determinants of the composition of international reserves. Using a dataset of 36 countries (and the...
Persistent link: https://www.econbiz.de/10012169782