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Sovereign risk contagion in the Eurozone : a time-varying coefficient approach

Ludwig, Alexander - 2013

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion proposed by Pesaran and Pick (2007) and Metiu (2012) to allow for time-varying coefficients. This becomes necessary due to changes in the risk pricing of sovereign bonds since the...

Persistent link: https://www.econbiz.de/10010222446

Contagion and spillovers : new insights from the crisis : a joint publication with the Austrian Society for Bank Research

Backé, Peter (ed.); Gnan, Ernest (ed.); … - Contagion and Spillovers – New Insights from the …; … - 2010

On February 12, 2010, SUERF, the Oesterreichische Nationalbank and the Bankwissenschaftliche Gesellschaft continued their established tradition of jointly organised conferences. As evidenced also by the 115 conference participants, this year's subject of "Contagion and Spillovers – New...

Persistent link: https://www.econbiz.de/10011706561

Market depth, leverage, and speculative bubbles

Enders, Zeno; Hakenes, Hendrik - 2017

We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …

Persistent link: https://www.econbiz.de/10011780495

Stages of the 2007/2008 global financial crisis: is there a wandering asset-price bubble?

Orłowski, Lucjan T. (contributor) - 2008

This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns and Lehman Brothers with counterparty risk...

Persistent link: https://www.econbiz.de/10003787735

Stages of the ongoing global financial crisis : is there a wandering asset bubble?

Orłowski, Lucjan T. - 2008

This study argues that the severity of the current global financial crisis is strongly influenced by changeable allocations of the global savings. This process is named a wandering asset bubbleʺ. Since its original outbreak induced by the demise of the subprime mortgage market and the...

Persistent link: https://www.econbiz.de/10003778284

The sub-prime crisis: causal distortions and regulatory reform

Blundell-Wignall, Adrian; Atkinson, Paul - In: Lessons from the financial turmoil of 2007 and 2008 : …, (pp. 55-110). 2008

Persistent link: https://www.econbiz.de/10003839244

Stages of the ongoing global financial crisis: Is there a wandering asset-price bubble?

Orłowski, Lucjan T. (contributor) - 2008

This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns with contagion effects on other financial...

Persistent link: https://www.econbiz.de/10003790529

Financial crises : theory and evidence

Allen, Franklin; Babus, Ana; Carletti, Elena - 2009

Persistent link: https://www.econbiz.de/10003861340

Deconstructing the Nasdaq bubble : a look at contagion across international stock markets

Hon, Mark T.; Strauss, Jack; Yong, Soo Keong - In: Journal of international financial markets, … 17 (2007) 3, pp. 213-230

Persistent link: https://www.econbiz.de/10003499615

Financial crises : theory and evidence

Allen, Franklin; Babus, Ana; Carletti, Elena - In: Annual review of financial economics 1 (2009), pp. 97-116

Persistent link: https://www.econbiz.de/10003924494