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Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … tend to be unchanged or lower during turbulences. -- Volatility spillovers ; Contagion ; Stock markets ; Emerging markets …

Persistent link: https://www.econbiz.de/10003963822

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …

Persistent link: https://www.econbiz.de/10003808130

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …

Persistent link: https://www.econbiz.de/10003823970

The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets

Asongu, Simplice A. - 2011

Purpose - Natural disasters may inflict significant damage upon international financial markets. The purpose of this study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and subsequent nuclear crisis. Design/methodology/approach...

Persistent link: https://www.econbiz.de/10011410521

The international transmission of monetary policy

Buch, Claudia M.; Bussière, Matthieu; Goldberg, Linda S.; … - 2018

different degrees of granularity. International spillovers into lending to the private sector do occur, especially for U …. The forms of bank balance sheet heterogeneity that differentiate spillovers across banks are not uniform across countries …. International spillovers into lending can be large for some banks, even while the average international spillovers of policies into …

Persistent link: https://www.econbiz.de/10011877813

Time-varying co-movements and contagion effects in asian sovereign CDS markets

Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379

countries are affected more by cross-market spillovers than by their own-market spillovers. Furthermore, a rolling …

Persistent link: https://www.econbiz.de/10011572880

Risk taking and interest rates : evidence from decades in the global syndicated loan market

Lee, Seung Jung; Liu, Lucy Qian; Stebunovs, Viktors - 2017

We study how low interest rates in the United States affect risk taking in the market for cross-border corporate loans. Because banks tend to originate these loans with intent to sell to nonbank investors, we examine risk taking by the broad financial system. To the extent that actions of the...

Persistent link: https://www.econbiz.de/10011629893

Financial Market Contagion in the Asian Crisis

Goldfajn, Ilan - 2021

This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market...

Persistent link: https://www.econbiz.de/10013212114

Monetary Policy and Financial Spillovers : Losing Traction?

Disyatat, Piti - 2015

contagion measure is designed to more accurately capture spillovers driven by exogenous global shifts in risk preference or …

Persistent link: https://www.econbiz.de/10013014247

The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes

Ismailescu, Iuliana - 2019

This paper examines the impact of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies' CDS premiums. In contrast to previous work, we find that positive events have a more consistent impact on sovereign...

Persistent link: https://www.econbiz.de/10012906174