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Analysing interconnectivity among economies
Wong, Alfred Y-T.; Fong, Tom Pak Wing - In: Emerging Markets Review 12 (2011) 4, pp. 432-442
As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among...
Persistent link: https://www.econbiz.de/10010574586
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Contagion dynamics in EMU government bond spreads
Leschinski, Christian; Bertram, Philip - 2013
explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the … dynamics of these effects. As a contribution to fill this gap, we apply the canonical contagion framework of Pesaran and Pick … [2007], similar to Metiu [2012], for daily data from January 2002 until May 2013. By adapting the contagion function used by …
Persistent link: https://www.econbiz.de/10010332634
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Stock market contagion in Central and Eastern Europe: Unexpected volatility and extreme co-exceedance
Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016
We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …
Persistent link: https://www.econbiz.de/10011580508
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The European sovereign debt crisis: What have we learned?
Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2017
This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the...
Persistent link: https://www.econbiz.de/10011589251
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Analyzing credit risk transmission to the non-financial sector in Europe: a network approach
Gross, Christian; Siklos, Pierre - 2018
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10011984861
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Analyzing credit risk transmission to the non-financial sector in Europe: a network approach
Groß, Christian - 2019
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10012099207
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Energy Contagion in the COVID-19 Crisis
Heinlein, Reinhold; Legrenzi, Gabriella Deborah; … - 2020
time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …
Persistent link: https://www.econbiz.de/10012227685
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The zero risk fallacy? Banks' sovereign exposure and sovereign risk spillovers
Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017
European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...
Persistent link: https://www.econbiz.de/10011772329
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Contagion dynamics in EMU government bond spreads
Leschinski, Christian; Bertram, Philip - 2013
explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the … dynamics of these effects. As a contribution to fill this gap, we apply the canonical contagion framework of Pesaran and Pick … [2007], similar to Metiu [2012], for daily data from January 2002 until May 2013. By adapting the contagion function used by …
Persistent link: https://www.econbiz.de/10010239744
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The zero risk fallacy? : banks' sovereign exposure and sovereign risk spillovers
Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017
European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...
Persistent link: https://www.econbiz.de/10011764975