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Systemic risk: A survey
De Bandt, Olivier; Hartmann, Philipp - 2000
related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …
Persistent link: https://www.econbiz.de/10011604081
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Crisis Management and Resolution; Early Lessons from the Financial Crisis
Pazarbasioglu, Ceyla; Laeven, Luc; Nedelescu, Oana M.; … - International Monetary Fund (IMF) - 2011
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience...
Persistent link: https://www.econbiz.de/10011245897
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Systemic risk: A survey
De Bandt, Olivier; Hartmann, Philipp - European Central Bank - 2000
related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …
Persistent link: https://www.econbiz.de/10005344911
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Currency Crisis and Contagion; Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand
Nagayasu, Jun - International Monetary Fund (IMF) - 2000
This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral...
Persistent link: https://www.econbiz.de/10005263754
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Central Bank Involvement in Banking Crises in Latin America
Jácome, Luis Ignacio - International Monetary Fund (IMF) - 2008
This paper reviews the nature of central bank involvement in 26 episodes of financial disturbance and crises in Latin America from the mid-1990s onwards. It finds that, except in a handful of cases, large amounts of central bank money were used to cope with large and small crises alike. Pouring...
Persistent link: https://www.econbiz.de/10005264086
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Systemic Risks in Global Banking; What Available Data Can Tell Us and What More Data Are Needed?
Cerutti, Eugenio; McGuire, Patrick M.; Claessens, Stijn - International Monetary Fund (IMF) - 2011
The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk analysis is severely hampered by the lack of consistent data...
Persistent link: https://www.econbiz.de/10009327867
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The Bright and the Dark Side of Cross-Border Banking Linkages
Muñoz, Sònia; Scuzzarella, Ryan; Cihák, Martin - International Monetary Fund (IMF) - 2011
When a country's banking system becomes more linked to the global banking network, does that system get more or less prone to a banking crisis? Using model simulations and econometric estimates based on a world-wide dataset, we find an M-shaped relationship between financial stability of a...
Persistent link: https://www.econbiz.de/10009203546
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Empirical Modeling of Contagion; A Review of Methodologies
Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004
The existing literature suggests a number of alternative methods to test for the presence of contagion during financial …
Persistent link: https://www.econbiz.de/10005825971
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Cross-Country Empirical Studies of Systemic Bank Distress: A Survey
Demirgüç-Kunt, Asli; Detragiache, Enrica - International Monetary Fund (IMF) - 2005
A rapidly growing empirical literature is studying the causes and consequences of bank fragility in present-day economies. The paper reviews the two basic methodologies adopted in cross-country empirical studies-the signals approach and the multivariate probability model-and their application to...
Persistent link: https://www.econbiz.de/10005826068
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The Breakdown of Credit Relations Under Conditions of a Banking Crisis; A Switching Regime Approach
Muñoz, Sònia - International Monetary Fund (IMF) - 2000
This paper empirically analyzes the effects of a banking crisis on bank credit to the private sector for a panel of developing, developed, and transition economies for the period 1970-1998. The model illustrates how the behavior of the bank credit function changes during a banking crisis,...
Persistent link: https://www.econbiz.de/10005826645