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 …

We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis … procedure is preferable to the standard OLS estimation in the case of an international contagion study. …

We examine contagion and flight-to-quality phenomena implied by carry strategies. More specifically, we analyze …

decrease (divergence) or increase (contagion) in market co-movements. This study aims to analyse the extent to which daily …

European countries. The approach allows to distinguish two channels of contagion by identifying bailout and sovereign risk … generates a persistent decrease in the default risk of the US banking sector. The bank-sovereign risk contagion is stronger in …

We provide an empirical analysis of two important phenomena influencing the hedge fund industry—contagion and time …

period as a result of the contagion process. The importance of this hypothesis for the policy implication is also highlighted …