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Correlation analysis of financial contagion : what one should know before running a test

Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2001

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a...

Persistent link: https://www.econbiz.de/10011609589

Die neue Architektur der internationalen Finanzwelt

Fahrenschon, Georg; Weber, Axel A.; Weimer, Theodor - In: ifo Schnelldienst 62 (2009) 12, pp. 6-10

Statements von Georg Fahrenschon, Axel A. Weber, Theodor Weimer

Persistent link: https://www.econbiz.de/10011692916

Regulierung und Aufsicht der Banken: Brauchen wir Basel III?

Zeitler, Christoph; Rudolph, Bernd; Kirchner, Christian; … - In: ifo Schnelldienst 63 (2010) 03, pp. 3-20

Das Regelwerk Basel II konnte die Finanzkrise nicht verhindern. Ist ein Basel III notwendig? Franz-Christoph Zeitler, Deutsche Bundesbank, macht in seinem Beitrag deutlich, dass entgegen einem in der Öffentlichkeit weit verbreitetem Eindruck auf internationaler und europäischer Ebene bereits...

Persistent link: https://www.econbiz.de/10011693001

Ist ein Verbot von Wertpapier-Leerverkäufen bzw. ungedeckten Credit Default Swaps sinnvoll?

Horovitz, Andre; Schütte, Martin; Hendricks, Barbara; … - In: ifo Schnelldienst 63 (2010) 13, pp. 3-18

eine nötige Regulierung der Finanzbranche aus. Martin Schütte, Universität München, weist darauf hin, dass das … ungedeckten Credit Default Swaps im Hinblick auf die notwendige Regulierung ein sinnvolles, allerdings unzureichendes Instrument … Finanzmarktregulierung, die zusätzlich sinnvolle Eigenkapitalregeln, die Besteuerung von Finanztransaktionen und die Regulierung von …

Persistent link: https://www.econbiz.de/10011693062

Financial crisis resolution

Schroth, Josef - 2012

This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crisis. A pecuniary externality entails that banks' desire to accumulate capital over time...

Persistent link: https://www.econbiz.de/10009691196

The U.S Financial Crisis from 2007 : Are There Regulatory and Governance Failure?

2010

This paper takes a crises management perspective on the economy of the United States in order to investigate its regulatory roles, objectives, and efficacy in dealing with its long-standing recession. It reveals that widespread corporate fraud, greed, insider trading, and so on has been due to...

Persistent link: https://www.econbiz.de/10013139339

Closed Form Solutions of Measures of Systemic Risk

Jaeger-Ambrozewicz, Manfred - 2012

This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier (2010) and Acharya et al. (2009) have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific...

Persistent link: https://www.econbiz.de/10013115707

Combatting the Dangers Lurking in the Shadows : The Macroprudential Regulation of Shadow Banking

Longworth, David - 2012

Since the 2008/09 financial crisis, the international regulatory community has taken steps to reduce the probability of future significant financial instability. So far, the emphasis has been on tougher capital and liquidity regulations for banks and greater transparency for financial products,...

Persistent link: https://www.econbiz.de/10013100202

Would a Stricter Fed Policy and Financial Regulation Have Averted the Financial Crisis?

Gokhale, Jagadeesh - 2009

Many commentators have argued that if the Federal Reserve had followed a stricter monetary policy earlier this decade when the housing bubble was forming, and if Congress had not deregulated banking but had imposed tighter financial standards, the housing boom and bust - and the subsequent...

Persistent link: https://www.econbiz.de/10013155688

How Useful Are Aggregate Measures of Systemic Risk?

Mamaysky, Harry - 2019

Loosely speaking, "systemic risk" refers to a financial system shock that is large enough to have severe negative consequences for the real economy. Following the financial crisis of 2008-2009, a large literature has emerged that attempts to quantify and measure systemic risk. In this paper we...

Persistent link: https://www.econbiz.de/10012904624