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'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks

Bjønnes, Geir H.; Holden, Steinar; Rime, Dagfinn; … - CESifo - 2009

What is the role of “large players” like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large players...

Persistent link: https://www.econbiz.de/10005181546

International Reserves Before and After the Global Crisis: Is There No End to Hoarding?

Aizenman, Joshua; Cheung, Yin-Wong; Ito, Hiro - CESifo - 2015

We evaluate the impact of the global financial crisis (GFC) and recent structural changes in the patterns of hoarding international reserves (IR). We confirm that the determinants of IR hoarding evolve with developments in the global economy. During the pre-GFC period of 1999-2006, gross saving...

Persistent link: https://www.econbiz.de/10011198483

Spillovers from Systemic Bank Defaults

Mink, Mark; Haan, Jakob de - CESifo - 2014

We examine to what extent banks’ stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...

Persistent link: https://www.econbiz.de/10010877758

The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2012

This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro–area banks to the global financial crisis. We focus on their interest–rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding...

Persistent link: https://www.econbiz.de/10010877927

Lender of Last Resort and Bank Closure Policy

Freixas, Xavier; Parigi, Bruno Maria - CESifo - 2008

of last resort and other safety net issues. We devote particular emphasis to the analysis of systemic risk and contagion …

Persistent link: https://www.econbiz.de/10005405802

Econometric Issues in the Analysis of Contagion

Pesaran, M. Hashem; Pick, Andreas - CESifo - 2004

This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …

Persistent link: https://www.econbiz.de/10005406044

Contagion in Financial Networks: A Threat Index

Demange, Gabrielle - CESifo - 2015

Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit...

Persistent link: https://www.econbiz.de/10011257674

A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds

Borensztein, Eduardo R.; Gelos, R. Gaston - CESifo - 2001

This paper explores the behavior of emerging market mutual funds using anovel database covering the holdings of individual funds over the periodJanuary 1996 to March 1999. An examination of individual crises shows that,on average, funds withdrew money one month prior to the events. Thedegree of...

Persistent link: https://www.econbiz.de/10005094343

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009

transmission mechanism—contagion—during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

Persistent link: https://www.econbiz.de/10005765747

Reform, Uncertainty and Spillovers - A Gravity Model Approach

Fidrmuc, Jan; Karaja, Elira; Tichit, Ariane - CESifo - 2012

Reforms often occur in waves, seemingly cascading from country to country. We argue that such reform waves may be driven by informational spillovers: uncertainty about the outcome of reform is reduced by learning from the experience of similar countries. We motivate this hypothesis with a simple...

Persistent link: https://www.econbiz.de/10009651184