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Financial stability reports in Latin America and the Caribbean

Lim, Cheng Hoon; Klemm, Alexander D.; Ogawa, Sumiko; … - In: Journal of banking and financial economics 1 (2019) 11, pp. 46-78

Many countries in Latin America and the Caribbean now publish financial stability reports. They use FSRs as a tool for financial surveillance and communication. This study reviews their latest issues to assess their content, quality, and transparency, and the extent to which the country's...

Persistent link: https://www.econbiz.de/10012115098

Contagion testing in embryonic markets under alternative stressful US market scenarios

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019

We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...

Persistent link: https://www.econbiz.de/10012156543

External crisis vulnerability in Latin America and the Caribbean

Cavallo, Eduardo A.; Fernández Arias, Eduardo - 2023

This paper assesses the vulnerability of Latin American and Caribbean (LAC) economies to external crises. It shows that while the average LAC economy has made significant strides to reduce vulnerability to crises to its historical minimum, there is still considerable room for improvement,...

Persistent link: https://www.econbiz.de/10014536612

Assessing Banking and Currency Crisis Risk in Small States : An Application to the Eastern Caribbean Currency Union

Pizzinelli, Carlo; Ishi, Kotaro; Khan, Tariq - 2022

foreign reserve cover—the “backing ratio” defined as official foreign reserves as a share of central bank demand liabilities …

Persistent link: https://www.econbiz.de/10013306721

Globalisation and the unpredictability of crisis episodes : an empirical analysis of country risk indexes

San-Martín-Albizuri, Nerea; Rodríguez Castellanos, Arturo - In: Investigaciones europeas de Dirección y Economía de … 18 (2012) 2, pp. 148-155

The ongoing globalisation process has not put an end to international financial crises. On the contrary, it seems to have contributed to their appearance and to accentuating their degrees of unpredictability. In this context, the main objective of the present study is to establish whether the...

Persistent link: https://www.econbiz.de/10009576774

Measuring co-movements of CDS premia during the Greek debt crisis

Andenmatten, Sergio; Brill, Felix - 2011

In this paper we test whether the co-movement of sovereign CDS premia increased significantly after the Greek debt crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and Rigobon (2002). Our sample consists of daily data...

Persistent link: https://www.econbiz.de/10009161447

Political economics of external sovereign defaults

Achury, Carolina; Koulovatianos, Christos; Tsoukalas, John - 2015

We develop a dynamic recursive model where political and economic decisions interact, to study how excessive debt-GDP ratios affect political sustainability of prudent fiscal policies. Rent seeking groups make political decisions - to cooperate (or not) - on the allocation of fiscal budgets...

Persistent link: https://www.econbiz.de/10011302496

Banks and sovereign risk : a granular view

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2015

implications of these exposures for bank risk. Larger, more capital market affine, and less capitalised banks hold more sovereign … that riskiness of government bond holdings affects bank risk only since 2010.This confirms the existence of a nexus between … government debt and bank risk. …

Persistent link: https://www.econbiz.de/10011334569

Flight patterns and yields of European Government Bonds

Schweinitz, Gregor von - 2013

The current European Debt Crisis has led to a reinforced effort to identify the sources of risk and their influence on yields of European Government Bonds. Until now, the potentially nonlinear influence and the theoretical need for interactions reflecting flighttoquality and flight-to-liquidity...

Persistent link: https://www.econbiz.de/10009771035

Sovereign default swap market efficiency and country risk in the eurozone

Gündüz, Yalın; Kaya, Orcun - 2013

This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the sovereign markets and persistency of country risks. Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10 eurozone countries to test the...

Persistent link: https://www.econbiz.de/10009731982