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Bank Bailouts, International Linkages and Cooperation
Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2011
stronger effects beyond borders. The authors provide a model of international contagion allowing for bank bailouts. While a …
Persistent link: https://www.econbiz.de/10013370087
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Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - 2012
The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10010309427
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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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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 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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The global crisis and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2014
indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small …. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its …
Persistent link: https://www.econbiz.de/10010328201
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Monetary Policies of Large Industrialised Countries, Emerging Market Credit Cycles and Feedback Effects
Hoffmann, Andreas; Schnabl, Gunther - 2014
This paper explores the link between monetary policies of large industrial countries and international credit cycles. Based on an overinvestment framework, we show that in the prevailing asymmetric world monetary system, monetary policies of large centre countries can fuel credit booms in...
Persistent link: https://www.econbiz.de/10010352379
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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