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From Sovereigns to Banks : Evidence on Cross-Border Contagion

Kalbaska, Alesia - 2018

banking systems (Australia, Austria, Belgium, Canada, Finland, France, Germany, Greece, India, Ireland, Italy, Japan, the … decisive turn at the end of 2009, markets started looking at its main protagonists - Greece, Ireland, Italy, Portugal and Spain …

Persistent link: https://www.econbiz.de/10012928692

Sovereign Bond Market Spillovers from Crisis-Time Developments in Greece

Clancy, Daragh - 2020

, such as Germany gradually becoming a safe haven from Greece. We confirm that developments in Greece drive our tail … intuitive quantification of the spillovers emanating from Greece. Taken together, our findings demonstrate that developments in … Greece significantly affected other euro area sovereign bond markets over and beyond global, euro area and country …

Persistent link: https://www.econbiz.de/10012826620

The Economics of Sovereign Debt, Bailouts and the Eurozone Crisis

Gourinchas, Pierre-Olivier; Martin, Philippe J.; … - 2022

Cyprus, Greece, Ireland, Portugal, and Spain, ranging from roughly 0.5% (Ireland) to a whopping 43% (Greece) of2010 output …

Persistent link: https://www.econbiz.de/10014077962

When domestic and foreign QE overlap: evidence from Sweden

Di Casola, Paola; Stockhammar, Pär - 2021

We estimate the effects of domestic and foreign quantitative easing (QE) programmes on a small open economy, Sweden, using a structural BVAR model. Domestic QE raised GDP, lowered unemployment and depreciated the currency, while effects on in ation are less clear. The ECB QE had large positive...

Persistent link: https://www.econbiz.de/10012520274

Household Credit, Global Financial Cycle, and Macroprudential Policies : Credit Register Evidence from an Emerging Country

Epure, Mircea - 2017

We analyze the effects of macroprudential policies on local bank credit cycles and interactions with international financial conditions. For identification, we exploit the comprehensive credit register containing all bank loans to individuals in Romania, a small open economy subject to external...

Persistent link: https://www.econbiz.de/10012946658

Spillovers, Capital Flows and Prudential Regulation in Small Open Economies

Castillo, Paul - 2014

This paper extends the model of Aoki et al. (2009) considering a two sector small open economy. We study the interaction of borrowing, asset prices, and spillovers between tradable and non-tradable sectors. Our results suggest that when it is difficult to enforce debtors to repay their debt...

Persistent link: https://www.econbiz.de/10013047530

Defaultable Debt, Interest Rates, and the Current Account

Aguiar, Mark; Gopinath, Gita - 2008

World capital markets have experienced large-scale sovereign defaults on a number of occasions, the most recent being Argentina's default in 2002. In this paper, we develop a quantitative model of debt and default in a small open economy. We use this model to match four empirical regularities...

Persistent link: https://www.econbiz.de/10014028493

Cross-Country Linkages and Spill-Overs in Early Warning Models for Financial Crises

Lang, Jan Hannes - 2018

This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show that incorporating cross-country financial linkages can...

Persistent link: https://www.econbiz.de/10012916375

Cross-country linkages and spill-overs in early warning models for financial crises

Lang, Jan Hannes - 2018

Persistent link: https://www.econbiz.de/10011864175

Nominal exchange rates EUR/GRD and EUR/ITL in the context of leaving the euro zone by Greece and Italy

Dąbrowska-Gruszczyńska, Katarzyna; Gruszczyński, Marcin - In: Journal of economics & management 43 (2021) 1, pp. 293-316

Aim/purpose - The aim of this paper is to present two cases of crises in Greece and Italy and to evaluate the shadow … sample covers Greece in 1989-2020 and Italy in 1989-2020. Findings - The research presented the estimation of shadow exchange …

Persistent link: https://www.econbiz.de/10013166669