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Complex Financial Networks and Systemic Risk : A Review
Bougheas, Spiros - 2014
In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the review is on studies that use network analysis paying...
Persistent link: https://www.econbiz.de/10013054029
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Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area
Peersman, Gert - 2013
I find that the Eurosystem can stimulate the economy beyond the policy rate by increasing the size of its balance sheet or the monetary base, that is so-called quantitative easing. The transmission mechanism turns out to be different compared to traditional interest rate innovations: whilst the...
Persistent link: https://www.econbiz.de/10013092365
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; von Thadden, … - 2021
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms’ stock...
Persistent link: https://www.econbiz.de/10013315674
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What is a Financial Crisis? Efficiently Measuring Real-Time Perceptions of Financial Market Stress with an Application to Financial Crisis Budget Cycles
Gandrud, Christopher - 2015
Comparative quantitative research into the causes, responses to, and effects of banking crisis uses two series of crisis data: Reinhart and Rogoff (2009, 2010) and Laeven and Valencia (2013, and their predecessors). While these data sets provide broad coverage, the measures they code have...
Persistent link: https://www.econbiz.de/10013009849
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Global and Regional Financial Integration in Emerging Asia : Evidence from Stock Markets
Caporale, Guglielmo Maria - 2017
This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean...
Persistent link: https://www.econbiz.de/10012954357
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Financial Stability in Europe : Banking and Sovereign Risk
Bruha, Jan - 2017
We analyze the link between banking sector quality and sovereign risk in the whole European Union over 1999–2014. We employ four different indicators of sovereign risk (including market- and opinion-based assessments), a rich set of theoretically and empirically motivated banking sector...
Persistent link: https://www.econbiz.de/10012955275
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Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem - 2017
This paper proposes a new double-question survey method that elicits information about how individuals subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...
Persistent link: https://www.econbiz.de/10012963776
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Sovereign Rating News and Financial Markets Spillovers : Evidence from the European Debt Crisis
Arezki, Rabah - 2011
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The...
Persistent link: https://www.econbiz.de/10013127179
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Financial Stability and Monetary Policy - A Framework
Illing, Gerhard - 2021
The paper presents a stylised framework to analyse conditions under which monetary policy contributes to amplified movements in the housing market. Extending work by Hyun Shin (2005), the paper analyses self enforcing feedback mechanisms resulting in amplifier effects in a credit constrained...
Persistent link: https://www.econbiz.de/10013317090
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The Quantification of Structural Reforms : Extending the Framework to Emerging Market Economies
Égert, Balázs - 2018
. More competition-friendly regulations, as measured by the OECDs' Product Market Regulation (PMR) indicator improve economic … businesses boost the capital stock and the employment rate. No robust link between labour market regulation and MFP and capital … deepening could be established. But looser labour market regulation is found to go hand in hand with higher employment rates …
Persistent link: https://www.econbiz.de/10012920765