Showing 71 - 80 of 46,464
We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis …
Persistent link: https://www.econbiz.de/10010636255
2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and â …
Persistent link: https://www.econbiz.de/10010610178
This paper examines the role of oil prices, credit, financial and commercial linkages in the propagation of industrial market crises during the period 2004-2012. Using VAR-MGARCH-DCC model regressions on seven markets finds that credit linkage played a significant role in the subprime, financial...
Persistent link: https://www.econbiz.de/10010756196
We build a compact global macroeconometric model capable of generating point and density forecasts for a core set of macroeconomic factors using recent advances in the analysis of cointegrating systems. We do so for a set of countries/regions and explicitly allow for interdependencies that exist...
Persistent link: https://www.econbiz.de/10005113863
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...
Persistent link: https://www.econbiz.de/10011436025
This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom carriers traded in the Brazilian stock market. Our article uses a bivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH - BEKK) model to analyze the impact of two...
Persistent link: https://www.econbiz.de/10011338737
A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating … extreme subsamples for comparing market relationships in the construction of contagion tests. Our original approach is useful …
Persistent link: https://www.econbiz.de/10012120201
In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence...
Persistent link: https://www.econbiz.de/10012603304
We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales … on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …
Persistent link: https://www.econbiz.de/10014527066
This paper tests the existence of financial contagion between US and Latin America stock markets based on the analysis … procedure to examine the potential channels of financial contagion effects on emerging stock markets. The empirical results … markets are significantly affected by the contagion effects from the global financial crisis. However, Argentina stock market …
Persistent link: https://www.econbiz.de/10014494541