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The Great Recession: US dynamics and spillovers to the world economy

Bagliano, Fabio C.; Morana, Claudio - In: Journal of Banking & Finance 36 (2012) 1, pp. 1-13

-bust credit cycle view put forward as an interpretation of the recent “Great Recession” episode. We find that such a view is …

Persistent link: https://www.econbiz.de/10011065580

Federal Reserve financial crisis lending programs and bank stock returns

Cyree, Ken B.; Griffiths, Mark D.; Winters, Drew B. - In: Journal of Banking & Finance 37 (2013) 10, pp. 3819-3829

We use an E-GARCH model to estimate the wealth effects of Federal Reserve lending during the financial crisis to Investment banks (I-Banks), “Too Big to Fail” (TBTF) banks, and “traditional” commercial banks. Borrowing from the Term Auction Facility program has negative wealth effects...

Persistent link: https://www.econbiz.de/10011065585

Emerging markets and heavy tails

Ibragimov, Marat; Ibragimov, Rustam; Kattuman, Paul - In: Journal of Banking & Finance 37 (2013) 7, pp. 2546-2559

Emerging countries are held to be subject to more frequent and more pronounced external and internal shocks than their developed counter-parts. This suggests that key variables pertaining to their markets, including their exchange rates, will be marked by greater likelihood of extreme...

Persistent link: https://www.econbiz.de/10011065591

Relationship lending, hierarchical distance and credit tightening: Evidence from the financial crisis

Cotugno, Matteo; Monferrà, Stefano; Sampagnaro, Gabriele - In: Journal of Banking & Finance 37 (2013) 5, pp. 1372-1385

This paper examines the firms’ credit availability during the 2007–2009 financial crisis using a dataset of 5331 bank …–firm relationships provided by borrowers’ credit folders of three Italian banks. It aims to test whether a strong lender …–borrower relationship can produce less credit rationing for borrowing firms even during a credit crunch period. The results show that …

Persistent link: https://www.econbiz.de/10011065640

Market concentration and the likelihood of financial crises

Bretschger, Lucas; Kappel, Vivien; Werner, Therese - In: Journal of Banking & Finance 36 (2012) 12, pp. 3336-3345

According to theory, market concentration affects the likelihood of a financial crisis in different ways. The “concentration-stability” and the “concentration-fragility” hypotheses suggest opposing effects operating through specific channels. Using data of 160 countries for the period...

Persistent link: https://www.econbiz.de/10011065642

Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality

Rösch, Christoph G.; Kaserer, Christoph - In: Journal of Banking & Finance 45 (2014) C, pp. 152-170

contagion. Finally, we show that there is a positive relationship between credit risk and liquidity risk, i.e., there is a … spread between liquidity costs of high and low credit quality stocks, and that in times of increased market uncertainty the … impact of credit risk on liquidity risk intensifies. This corroborates the existence of a flight-to-quality or flight …

Persistent link: https://www.econbiz.de/10011065648

Credit and liquidity components of corporate CDS spreads

Corò, Filippo; Dufour, Alfonso; Varotto, Simone - In: Journal of Banking & Finance 37 (2013) 12, pp. 5511-5525

conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price …This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during … normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market …

Persistent link: https://www.econbiz.de/10011065649

Macro-Networks: An application to euro area financial accounts

Castrén, Olli; Rancan, Michela - In: Journal of Banking & Finance 46 (2014) C, pp. 43-58

connected by the cross-border links between the individual banking sectors. Using the Macro-Network to simulate financial shocks …

Persistent link: https://www.econbiz.de/10011065655

Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality

Rösch, Christoph G.; Kaserer, Christoph - In: Journal of Banking & Finance 37 (2013) 7, pp. 2284-2302

Persistent link: https://www.econbiz.de/10011065669

Safety-net benefits conferred on difficult-to-fail-and-unwind banks in the US and EU before and during the great recession

Carbó-Valverde, Santiago; Kane, Edward J.; … - In: Journal of Banking & Finance 37 (2013) 6, pp. 1845-1859

systems on monitoring volatility as well as capital. …

Persistent link: https://www.econbiz.de/10011065693