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On the international transmission of shocks: Micro-evidence from mutual fund portfolios
Raddatz, Claudio; Schmukler, Sergio L. - In: Journal of International Economics 88 (2012) 2, pp. 357-374
Using micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. The paper shows that the volatility of mutual fund investments is quantitatively driven by both the...
Persistent link: https://www.econbiz.de/10010595062
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Transmission of the global financial crisis to Korea
Kim, Bong-Han; Kim, Seewon - In: Journal of Policy Modeling 35 (2013) 2, pp. 339-353
We argue that Korea's recent financial distresses reflect contagion of the crisis, beyond normal interdependence … estimated from the DCC-GARCH and STC-GARCH models lend support to our argument. The contagion occurs mainly during Leman … system. The nature of contagion of the crisis implies that macroeconomic policies that can stabilize the entire financial …
Persistent link: https://www.econbiz.de/10010703083
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Are stock market crises contagious? The role of crisis definitions
Mierau, Jochen O.; Mink, Mark - In: Journal of Banking & Finance 37 (2013) 12, pp. 4765-4776
Financial contagion studies generally examine whether co-movement between markets increases during a crisis. We use a …
Persistent link: https://www.econbiz.de/10010709505
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The impact of the global financial crisis on output performance across the European Union: vulnerability and resilience.
Kondor, Karin; Staehr, Karsten - Eesti Pank - 2011
This paper uses regression analyses to explain the different output performance in the 27 countries in the EU based on measures of their pre-existing vulnerability and resilience. Rapid financial deepening and high financial leverage, both domestically and externally, were followed by larger...
Persistent link: https://www.econbiz.de/10009018024
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Financial Cycles; What? How? When?
Terrones, Marco; Kose, M. Ayhan; Claessens, Stijn - International Monetary Fund (IMF) - 2011
This paper provides a comprehensive analysis of financial cycles using a large database covering 21 advanced countries over the period 1960:1-2007:4. Specifically, we analyze cycles in credit, house prices, and equity prices. We report three main results. First, financial cycles tend to be long...
Persistent link: https://www.econbiz.de/10009019580
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A Network Analysis of Global Banking:1978-2009
Reyes, Javier A.; Minoiu, Camelia - International Monetary Fund (IMF) - 2011
In this paper we explore the properties of the global banking network using cross-border bank lending data for 184 countries over 1978-2009. Specifically, we analyze financial interconnectedness using network metrics of centrality, connectivity, and clustering. We document a relatively unstable...
Persistent link: https://www.econbiz.de/10009019598
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Overborrowing, Financial Crises and ‘Macro-Prudential’ Policy?
Mendoza, Enrique G.; Bianchi, Javier - International Monetary Fund (IMF) - 2011
This paper studies overborrowing, financial crises and macro-prudential policy in an equilibrium model of business cycles and asset prices with collateral constraints. Agents in a decentralized competitive equilibrium do not internalize the negative effects of asset fire-sales on the value of...
Persistent link: https://www.econbiz.de/10008839333
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Financial Crises Explanations, Types, and Implications
Claessens, Stijn; Kose, M. Ayhan - International Monetary Fund (IMF) - 2013
This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper...
Persistent link: https://www.econbiz.de/10011123845
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The negative feedback loop between banks and sovereigns
Angelini, Paolo; Grande, Giuseppe; Panetta, Fabio - Banca d'Italia - 2014
More than three years since the outbreak of the sovereign debt crisis in the euro area the banking systems of several countries remain exposed to the vagaries of government bond markets. The paper analyzes the different channels through which sovereign risk affects banking risk (and vice versa),...
Persistent link: https://www.econbiz.de/10011100401
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Asset Markets Contagion During the Global Financial Crisis
Kenourgios, Dimitris; Dimitriou, Dimitrios; … - In: Multinational Finance Journal 17 (2013) 1-2, pp. 49-76
This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets … exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric … correlated-information channel as a contagion mechanism among the US stocks, real estate, commodities and emerging Brazilian bond …
Persistent link: https://www.econbiz.de/10011103243