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When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads

Bai, Jennie; Wei, Shang-Jin - C.E.P.R. Discussion Papers - 2012

strong property rights protection. Using a novel credit default swaps (CDS) dataset covering both government and corporate … influence on corporate credit risks. All else equal, a 100 basis points increase in the sovereign CDS spread leads to an … increase in corporate CDS spreads by 71 basis points. (2) The sovereign-corporate relation varies across corporations, with …

Persistent link: https://www.econbiz.de/10011084446

Sovereign CDS and Bond Pricing Dynamics in the Euro-area

Palladini, Giorgia; Portes, Richard - C.E.P.R. Discussion Papers - 2011

This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same … verified. Then, we examine whether the non-stationary CDS and bond spreads series are bound by a cointegration relationship … cash and synthetic market's valuation of credit risk differ to various degrees. The VECM analysis suggests that the CDS …

Persistent link: https://www.econbiz.de/10009365646

The Supermodular Stochastic Ordering

Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...

Persistent link: https://www.econbiz.de/10011083601

Commodity and Equity Markets: Some Stylized Facts from a Copula Approach

Delatte, Anne-Laure; Lopez, Claude - C.E.P.R. Discussion Papers - 2013

In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...

Persistent link: https://www.econbiz.de/10011084009

Systemic Risk and International Portfolio Choice

Das, Sanjiv Ranjan; Uppal, Raman - C.E.P.R. Discussion Papers - 2002

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, Contagion and Portfolio Constraints

Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005

wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among …

Persistent link: https://www.econbiz.de/10005504325

German Bank Lending During Financial Crises: A Bank Level Analysis

Heid, Frank; Nestmann, Thorsten; Von Westernhagen, Natalja - C.E.P.R. Discussion Papers - 2005

This paper studies German bank lending during the Asian and Russian crises, using a bank level data set from the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We find that German banks reacted to the...

Persistent link: https://www.econbiz.de/10005504386

Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk

Acharya, Viral V; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2003

cost of borrowing for the surviving banks. Such information contagion is thus costly to bank owners. Given their limited … rise to a pro-cyclical pattern in the correlation of bank loan returns. The direction of information contagion, the … localized nature of contagion and herding, and the welfare properties, are also characterized. …

Persistent link: https://www.econbiz.de/10005504423

The Economic Consequences of Social Network Structure

Jackson, Matthew O.; Rogers, Brian; Zenou, Yves - C.E.P.R. Discussion Papers - 2015

We survey the literatures on the economic consequences of the structure of social networks. We develop a taxonomy of 'macro' and 'micro' characteristics of social inter-action networks and discuss both the theoretical and empirical findings concerning the role of those characteristics in...

Persistent link: https://www.econbiz.de/10011165640

Lehman Brothers: What Did Markets Know?

Gehrig, Thomas; Haas, Marlene - C.E.P.R. Discussion Papers - 2014

On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. The reaction of Lehman's competitors and market participants to this bankruptcy filing announcement provides a unique field experiment of how the insolvency spills over to other financial institutions and how...

Persistent link: https://www.econbiz.de/10011083604