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Falk, Armin; Zimmermann, Florian - CESifo - 2011

This paper studies how a preference for consistency can affect economic decision-making. We propose a two-period model where people have a preference for consistency because consistent behavior allows them to signal personal and intellectual strength. We then present three experiments that study...

Persistent link: https://www.econbiz.de/10009228620

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

Financial Contagion and the European Debt Crisis

Missio, Sebastian; Watzka, Sebastian - CESifo - 2011

findings show that there is contagion within the Euro Area. Additionally, contagious effects generated by rating announcements …

Persistent link: https://www.econbiz.de/10009278131

Bank Bailouts, International Linkages and Cooperation

Niepmann, Friederike; Schmidt-Eisenlohr, Tim - CESifo - 2011

intervention have stronger effects beyond borders. We provide a model of international contagion allowing for bank bailouts. While …

Persistent link: https://www.econbiz.de/10008872219

Stock Market Integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 2010

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

Persistent link: https://www.econbiz.de/10008583722