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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

Does Financial Connectedness Predict Crises?

Minoiu, Camelia; Kang, Chanhyun; Subrahmanian, V.S.; … - International Monetary Fund (IMF) - 2013

The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in...

Persistent link: https://www.econbiz.de/10010790234

How Well Do Aggregate Bank Ratios Identify Banking Problems?

Cihák, Martin; Schaeck, Klaus - International Monetary Fund (IMF) - 2007

The paper provides an empirical analysis of aggregate banking system ratios during systemic banking crises. Drawing upon a wide cross-country dataset, we utilize parametric and nonparametric tests to assess the power of these ratios to discriminate between sound and unsound banking systems. We...

Persistent link: https://www.econbiz.de/10005768721

Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998

González-Hermosillo, Brenda; Martin, Vance; Fry, Renee; … - International Monetary Fund (IMF) - 2003

14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial … importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial …

Persistent link: https://www.econbiz.de/10005769188

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

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

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

Systemic risk: A survey

De Bandt, Olivier; Hartmann, Philipp - European Central Bank - 2000

Persistent link: https://www.econbiz.de/10005344911

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

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