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The Dynamics of Spillover Effects during the European Sovereign Debt Crisis

Alter, Adrian - 2013

functions. Specifically, we assess the systemic effect of an unexpected shock to the creditworthiness of a particular sovereign …

Persistent link: https://www.econbiz.de/10013081460

Contagion, Spillover and Interdependence

Rigobon, Roberto - 2017

This paper reviews the empirical literature on international spillovers and contagion. Theoretical models of spillover and contagion imply that the reduced form observable variables suffer from two possible sources of bias: endogeneity and omitted variables. These econometric problems in...

Persistent link: https://www.econbiz.de/10012963951

Cross-Country Linkages and Spill-Overs in Early Warning Models for Financial Crises

Lang, Jan Hannes - 2018

This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show that incorporating cross-country financial linkages can...

Persistent link: https://www.econbiz.de/10012916375

Interdependence and Contagion in Global Asset Markets

Beirne, John - 2012

. Impulse responses indicate that in crisis times, the origin of the shock plays an important role on the nature of the global …

Persistent link: https://www.econbiz.de/10013100396

Credit Risk Spillover between Financials and Sovereigns in the Euro Area During 2007-2015

Vergote, Olivier - 2016

This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and sovereigns in the euro area, where spillover is identified based on bilateral Granger causality regressions. Over-identification of contagion between financials' true credit risk...

Persistent link: https://www.econbiz.de/10012992428

Financial Globalisation, Monetary Policy Spillovers and Macro-Modelling : Tales from 1001 Shocks

Georgiadis, Georgios - 2017

data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …

Persistent link: https://www.econbiz.de/10012953383

Optimal trend inflation, misallocation and the pass-through of labour costs to prices

Santoro, Sergio; Viviano, Eliana - 2022

our theory, we show that the pass-through of this shock to labour costs was much stronger for less productive firms. …

Persistent link: https://www.econbiz.de/10014374398

Optimal Trend Inflation, Misallocation and the Pass-Through of Labour Costs to Prices

Santoro, Sergio; Viviano, Eliana - 2022

our theory, we show that the pass-through of this shock to labour costs was much stronger for less productive firms …

Persistent link: https://www.econbiz.de/10014264783

Contagion from Market Price Impact : A Price-at-Risk Perspective

Fukker, Gábor; Kaijser, Michiel; Mingarelli, Luca; … - 2022

Overlapping portfolios constitute a well-recognised source of risk, providing a channel for financial contagion induced by the market price impact of asset deleveraging. We introduce a novel method to assess the market price impact on a security-by-security basis from historical daily traded...

Persistent link: https://www.econbiz.de/10013403723

Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe

Claeys, Peter - 2014

significant sudden changes in shock transmission. Results indicate substantial spillover, especially between EMU countries … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to …

Persistent link: https://www.econbiz.de/10013056837