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debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …
Persistent link: https://www.econbiz.de/10011084109
An intricate web of claims and obligations ties together the balance sheets of a wide variety of financial institutions. Under the occurrence of default, these interbank claims generate externalities across institutions and possibly disseminate defaults and bankruptcy. Building on a simple model...
Persistent link: https://www.econbiz.de/10011084240
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...
Persistent link: https://www.econbiz.de/10005504252
wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among …
Persistent link: https://www.econbiz.de/10005504325
Recent episodes (October 2008, May 2010, August 2011) have witnessed huge spikes in equity price risk (implied volatility). Apart from their large size, several features characterize these risk panics. They are global phenomena, shared among a broad set of countries. There is substantial...
Persistent link: https://www.econbiz.de/10011084461
stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By … equilibrium for US shares? Is there short-term interdependence and contagion between US and European stock markets, i.e. do short …
Persistent link: https://www.econbiz.de/10005067572
included in the regression; we provide evidence in the paper that this effect does not derive from contagion as commonly …
Persistent link: https://www.econbiz.de/10005666949
phenomenon known as contagion. The model generates predictions consistent with other important empirical results such as …
Persistent link: https://www.econbiz.de/10005791401
This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes … existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is … country-specific shocks in Hong Kong, our test finds evidence of contagion for 5 countries out of a sample of 17. This is in …
Persistent link: https://www.econbiz.de/10005791976
How does sovereign debt emerge and become sustainable? This paper provides a new answer to this unsolved puzzle. Focusing on the early 19th century, we argue that intermediaries' market power served to overcome information asymmetries and sustained the development of sovereign debt. Relying on...
Persistent link: https://www.econbiz.de/10005136631