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A Coexceedance Approach on Financial Contagion
Vo, Dinh-Vinh - 2014
The paper sheds light on financial contagion within the Euro Area and Asia, and contagion from the Euro Area to Asia … empirical findings indicate the existence of contagion from the Euro Area to Asia, and reveal that contagion in the Euro Area is … more severe than in Asia. Applying the multinomial logit regression model, the paper also investigates how the macro …
Persistent link: https://www.econbiz.de/10013062795
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Financial contagion
Allen, Franklin; Gale, Douglas - 1998
Persistent link: https://www.econbiz.de/10001427599
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Financial Contagion
Allen, Franklin; Gale, Douglas - 2011
arrangement is financially fragile. A small liquidity preference shock in one region can spread by contagion throughout the …
Persistent link: https://www.econbiz.de/10014041239
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Financial contagion
Allen, Franklin - In: Financial crises, contagion, and the lender of last …, (pp. 379 - 406). 2002
Persistent link: https://www.econbiz.de/10014554457
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Financial Instability and Banking Crises in a Small Open Economy
Grytten, Ola Honningdal - 2022
on the small open economy of Norway. The crises elaborated on are the Post First world war crisis of the early 1920s, the …
Persistent link: https://www.econbiz.de/10013314677
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From Sovereigns to Banks : Evidence on Cross-Border Contagion
Kalbaska, Alesia - 2018
This paper analyzes the evolution of the banking system sensitivity to cross-border contagion in 2006-2011. The study is performed on the basis of the BIS data on cross-border exposures and the Bankscope data on Tier 1 capital of 20 banking systems (Australia, Austria, Belgium, Canada, Finland,...
Persistent link: https://www.econbiz.de/10012928692
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Financial integration and international shock transmission : the terms-of-trade effect
Krenz, Johanna - 2023
What are the effects of financial integration on global comovement? Using a standard two-country DSGE model, I show that in response to country-specific supply shocks higher exposure to foreign assets leads to lower cross-country output correlations, while the opposite is true for...
Persistent link: https://www.econbiz.de/10014463371
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The dynamics of crypto markets and the fear of risk contagion
Aliano, Mauro; Ferrara, Massimiliano; Ragni, Stefania - In: Systemic Risk and Complex Networks in Modern Financial …, (pp. 323-342). 2025
Persistent link: https://www.econbiz.de/10015101890
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Peg Abandonment and Cross-Currency Contagion
Balke, Florian; Barth, Andreas; Reichel, Arne; … - 2022
Using a novel dataset of dealer-specific bid-ask quotes for foreign exchange swaps, we document that the Swiss franc decoupling event in 2015 spilled over to other pegged currencies. The SNB decision served as a wake-up call for dealer banks who started to price the risk of unexpected peg...
Persistent link: https://www.econbiz.de/10013295523
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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 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...
Persistent link: https://www.econbiz.de/10011731038