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The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
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market economies through the global banking network using data on cross-border bilateral bank claims and liability positions …. We first examine whether an economy can become more susceptible to capital outflows, regardless of its own bank exposures … bilateral data from the Bank for International Settlements international banking statistics, we obtain evidence for both …
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is generally small. Surprisingly, we find that spill-overs of bank-related events are not significantly different from …
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This paper analyzes the evolution of the banking system sensitivity to cross-border contagion in 2006-2011. The study is performed on the basis of the BIS data on cross-border exposures and the Bankscope data on Tier 1 capital of 20 banking systems (Australia, Austria, Belgium, Canada, Finland,...
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