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Measurement of contagion in banks' equity prices

Gropp, Reint E.; Moerman, Gerard - 2003

contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal …. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify …

Persistent link: https://www.econbiz.de/10011604343

Contagion between European and US banks: Evidence from equity prices

Fricke, Daniel - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

Persistent link: https://www.econbiz.de/10010274429

Firm or bank weakness? : access to finance since the European sovereign debt crisis

Corbisiero, Giuseppe; Faccia, Donata - 2020

This paper uses a unique dataset where credit rejections experienced by euro area firms are matched with firm and bank characteristics. This allows us to study simultaneously the role that bank and firm weakness had in the credit reduction observed in the euro area during the sovereign debt...

Persistent link: https://www.econbiz.de/10012150099

Bank Interventions and Downside Correlation Risk Premium : Evidence from the Global and Euro-Area Crisis

Londono, Juan M. - 2015

Using a novel dataset on government interventions into financial institutions between 2008-2013, we examine the impact of capital injection announcements on the downside correlation risk premium (DCRP), the compensation that investors demand to bear the risk of large correlated drops in banks'...

Persistent link: https://www.econbiz.de/10013031686

Bank Interventions and Options-Based Systemic Risk : Evidence from the Global and Euro-Area Crisis

Londono, Juan M.; Tian, Mary H. - 2017

injection announcements on systemic risk for the banking sector in the U.S. and the euro area between 2008 and 2013. We propose …

Persistent link: https://www.econbiz.de/10014121074

Reforming the Architecture of EMU : Ensuring Stability in Europe

de Haan, Jakob - 2014

This paper analyses the reforms in the architecture of EMU since the eruption of the euro crisis in 2010. We describe major weaknesses in the original set-up of EMU, such as lack of fiscal discipline, diverging financial cycles and competitiveness positions, and a lack of crisis instruments....

Persistent link: https://www.econbiz.de/10013044447

Medium-Term Asymmetric Fluctuations and EMU as an Optimum Currency Area

Hessel, Jeroen - 2019

Recent studies find that short-term fluctuations in EMU have been symmetric. This finding leads to benign views on the functioning of EMU as an optimum currency area (OCA), that are difficult to reconcile with the sovereign debt crisis. We try to solve this puzzle by looking at medium-term...

Persistent link: https://www.econbiz.de/10012865689

Macro-Networks : An Application to the Euro Area Financial Accounts

Castren, Olli - 2013

the national banking sectors. We then evaluate the features of the resulting framework using various network statistics … analysis suggests that the risk of contagion is not reduced, while a more diversified portfolio of cross-border exposures might …

Persistent link: https://www.econbiz.de/10013087568

Italy in the Eurozone

Keuschnigg, Christian; Kirschner, Linda; Kogler, Michael; … - 2021

Using a DSGE model with nominal wage rigidity, we investigate two scenarios for the Italian economy. The first considers sustained policy commitment to reform. The results indicate the possibility of 'growing out of bad initial conditions', if fiscal consolidation is combined with a program for...

Persistent link: https://www.econbiz.de/10013315307

Efficiency and Integration in European Banking Markets

Ferreira, Candida - 2011

This paper seeks to contribute to the research on the relationship between bank efficiency and European integration in the wake of the recent financial crisis. Using Stochastic Frontier Analysis and Data Envelopment Analysis approaches, the study estimates bank efficiency for different panels of...

Persistent link: https://www.econbiz.de/10013120374