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Volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 crisis
Beraich, Mohamed; El Main, Salah Eddin - In: Risks : open access journal 10 (2022) 6, pp. 1-20
The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and … volatility spillover index increased during the pandemic crisis. We also found varying degrees of interdependence and spillover …
Persistent link: https://www.econbiz.de/10013363027
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Measuring financial contagion and spillover effects with a state-dependent sensitivity value-at-risk model
Andrieş, Alin Marius; Galasan, Elena - In: Risks : open access journal 8 (2020) 1/5, pp. 1-20
In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with … times, the same shocks cause notable spillover effects during the volatile period. The results suggest a high level of …
Persistent link: https://www.econbiz.de/10012204323
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Modeling and simulating cross country banking contagion risks
Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16
The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...
Persistent link: https://www.econbiz.de/10012626421
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On systemic risk contagion in the euro area : evidence from frequency connectedness and the DY approaches
Polat, Onur - 2022
), the European sovereign debt crisis (ESDC), and the COVID-19 pandemic. Overall, spillover indexes notably rise around well …
Persistent link: https://www.econbiz.de/10013334765
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A macroprudential contagion stress test framework
Bjørland, Christian; Kockerols, Thore - 2020
We develop a macroprudential contagion stress test framework to examine how a network of Norwegian banks can amplify a shock to bank capital at the macro level. The framework looks at how fire sales of common asset holdings can lead to valuation losses for banks (indirect contagion), and how...
Persistent link: https://www.econbiz.de/10012240728
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Quantifying impact, uncovering trends : a comprehensive bibliometric analysis of shadow banking and financial contagion dynamics
Nica, Ionuț; Delcea, Camelia; Chiriță, Nora; … - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-35
This study describes a comprehensive bibliometric analysis of shadow banking and financial contagion dynamics from 1996 to 2022. Through a holistic approach, our study focuses on quantifying the impact and uncovering significant trends in scientific research related to these interconnected...
Persistent link: https://www.econbiz.de/10014502374
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Financial contagion : a tale of three bubbles
Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-14
Diebold-Yilmaz volatility spillover index to measure the level of financial contagion. We provide robust evidence that during … the DotCom bubble there was very limited spillover between the S&P 500, the Shanghai, and the Shenzhen Composite Indexes …. However, there was significantly more spillover effects in the two more recent crises, i.e., the Housing crisis and the 2015 …
Persistent link: https://www.econbiz.de/10012587643
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South African banks' cross-border systemic risk exposure : an application of the gas copula marginal expected shortfall
Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-19
Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators' objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally transmitted crises are difficult to tackle....
Persistent link: https://www.econbiz.de/10013040986
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Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market
Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies : … 28 (2020) 3, pp. 107-122
This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. The authors perform analyses based on vector autoregression model and the dynamic conditional correlation model. The estimation...
Persistent link: https://www.econbiz.de/10012592651
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Interbank network as a channel of credit contagion in banks : is moral hazard transferable?
Jović, Željko; Đaković, Milena Lutovac - In: Journal of central banking theory and practice 11 (2022) 3, pp. 117-135
The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through...
Persistent link: https://www.econbiz.de/10013407507