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Persistent link: https://www.econbiz.de/10011941279
We investigate the performance of Socially Responsible Funds (SRFs) and Conventional Funds (CFs) in different market segments during the 1992-2012 period. From an unbalanced sample of more that 22,000 funds, we define a matched sample using a beta-distance measure to match any SRF with the...
Persistent link: https://www.econbiz.de/10012856776
We study the dynamics of sovereign risk spillovers from (and between) Spain and Italy, before and after the ECB's announcement of the OMT program. We identify domestic Italian and Spanish sovereign risk shocks through an intraday event study. The shocks are used as external instruments in...
Persistent link: https://www.econbiz.de/10012870566
There are striking and terrifying similarities between the sudden failure of a heart and that of a financial system. In the medical literature, the former is referred to as a sudden cardiac arrest (SCA). By analogy, I refer to its financial counterpart as a sudden financial arrest (SFA). In this...
Persistent link: https://www.econbiz.de/10014201069
The seeds for the 2007-09 financial collapse were sewn over many years and nurtured by ill-advised governmental housing policy, the presence of pervasive fraud both large and small and the widespread failure of personal integrity. A chronology of bad choices made by individuals and the...
Persistent link: https://www.econbiz.de/10012972692
Global risk-off shocks can be highly destabilizing for financial markets and, absent an adequate policy response, may trigger severe recessions. Policy responses were more complex for developed economies with very low interest rates after the Global Financial Crisis (GFC). We document, however,...
Persistent link: https://www.econbiz.de/10012890990
We show that lender of the last resort (LOLR) policy contributes to higher bank interconnectedness and systemic risk. Using novel micro-level data, we analyze the haircut gap channel of LOLR – the difference between the private market and central bank haircuts. LOLR increases...
Persistent link: https://www.econbiz.de/10013225855
Review of "recent financial crisis" effects on developing countries show that countries with high degrees of trade openness, dependence on export earnings, concentrated export markets and low level of trade diversification, affected more from trade diversions. After introducing four "seasonal,"...
Persistent link: https://www.econbiz.de/10013132601
One of the main economic villains before the crisis was the presence of large “global imbalances.” The concern was that the U.S. would experience a sudden stop of capital flows, which would unavoidably drag the world economy into a deep recession. However, when the crisis finally did come,...
Persistent link: https://www.econbiz.de/10013152926
We offer a detailed empirical investigation of the European sovereign debt crisis based on the theoretical model by Arghyrou and Tsoukalas (2010). We find evidence of a marked shift in market pricing behaviour from a 'convergence-trade' model before August 2007 to one driven by...
Persistent link: https://www.econbiz.de/10008664984