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Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2001
This paper builds a general test of contagion in financial markets based on bivariate correlation analysis – a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contagion is successful in controlling for a potential bias induced by changes in the variance of global shocks, current tests …
Persistent link: https://www.econbiz.de/10009444188
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Bank Bail-outs, International Linkages and Cooperation
Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2010
(2000), we provide a model of international contagion allowing for bank bail-outs financed by distortionary taxes. In the …
Persistent link: https://www.econbiz.de/10010270212
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Bank bailouts, international linkages and cooperation
Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2011
intervention have stronger effects beyond borders. We provide a model of international contagion allowing for bank bailouts. While …
Persistent link: https://www.econbiz.de/10010274723
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Sovereign risk contagion in the Eurozone: A time-varying coefficient approach
Ludwig, Alexander - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10010327794
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On Synchronisation of Financial Crises
Lestano; Dungey, Mardi; Jacobs, Jan - Econometric Society - 2004
This paper develops concordance indices for studying the simultaneous occurrence of financial crises across markets and/or countries. The typically low incidence of financial crises necessitates a change in the definition of concordance from those recently developed for the business cycle...
Persistent link: https://www.econbiz.de/10005063619
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The financial crisis of 2008 in fixed income markets
Dwyer, Gerald P.; Tkac, Paula - 2009
We explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008. The drivers of the financial turmoil and the financial crisis of 2008 were heterogeneous securities that were hard to value. These securities created...
Persistent link: https://www.econbiz.de/10010292330
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Sovereign Risk, Elections, and Contagion
Li, Chi; Balding, Christopher; Lee, Minsoo - 2013
debt crisis, elections in European countries have stronger contagion effects in their own region during a global slowdown …
Persistent link: https://www.econbiz.de/10010507394
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The Threat of Financial Contagion to Emerging Asia’s Local Bond Markets: Spillovers from Global Crises
Azis, Iwan J.; Mitra, Sabyasachi; Baluga, Anthony; … - 2013
of individual bond markets in recent years has been impressive, the threat of financial contagion to emerging Asian bond …
Persistent link: https://www.econbiz.de/10010507534
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From financial to real economic crisis: Evidence from individual firm-bank relationships in Germany
Dwenger, Nadja; Fossen, Frank M.; Simmler, Martin - 2015
What began as a financial crisis in the United States in 2007-2008 quickly evolved into a massive crisis of the global real economy. We investigate the importance of the bank lending and firm borrowing channel in the international transmission of bank distress to the real economy-in particular,...
Persistent link: https://www.econbiz.de/10011341079
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Bankkredite wichtig für Unternehmensinvestitionen
Dwenger, Nadja; Fossen, Frank M.; Simmler, Martin - In: DIW Wochenbericht 82 (2015) 40, pp. 899-903
Welche Bedeutung haben Bankkredite für Unternehmensinvestitionen? Eine gemeinsame Studie des DIW Berlin, der Universität Hohenheim und der Freien Universität Berlin zeigt, dass ein Rückgang des Kreditangebots der Hausbanken zu einer geringeren Fremdkapitalaufnahme von Unternehmen führt....
Persistent link: https://www.econbiz.de/10011341111