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Italian Sovereign Spreads; Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions

Zoli, Edda - International Monetary Fund (IMF) - 2013

Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in sovereign spreads affect CDS spreads and bond yields of Italian banks, and are...

Persistent link: https://www.econbiz.de/10011242184

Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998

González-Hermosillo, Brenda; Martin, Vance; Fry, Renee; … - International Monetary Fund (IMF) - 2003

14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial … importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial …

Persistent link: https://www.econbiz.de/10005769188

What Drives Contagion; Trade Neighborhood, or Financial Links?

Valdés, Rodrigo O.; Hernández, Leonardo - International Monetary Fund (IMF) - 2001

This paper presents evidence on the relative importance of alternative contagion channels during the Thai, Russian, and … to explain almost all contagion episodes. However, when crises are measured by stock market returns, trade links and … neighborhood effects appear to be relevant contagion channels during the Thai and Brazilian crises, while financial competition …

Persistent link: https://www.econbiz.de/10005605301

Financial Spillovers to Emerging Markets During the Global Financial Crisis

Frank, Nathaniel; Hesse, Heiko - International Monetary Fund (IMF) - 2009

In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these...

Persistent link: https://www.econbiz.de/10008528671

Moral Hazard and International Crisis Lending: A Test

Dell'Ariccia, Giovanni; Zettelmeyer, Jeromin; Schnabel, … - International Monetary Fund (IMF) - 2002

We test for the existence of a moral hazard effect attributable to official crisis lending by analyzing the evolution of sovereign bond spreads in emerging markets before and after the Russian crisis. The nonbailout of Russia in August 1998 is interpreted as an event that decreased the perceived...

Persistent link: https://www.econbiz.de/10005263951

Systemic Contingent Claims Analysis; Estimating Market-Implied Systemic Risk

Jobst, Andreas A.; Gray, Dale F. - International Monetary Fund (IMF) - 2013

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from...

Persistent link: https://www.econbiz.de/10011242440

The Determinants of Corporate Risk in Emerging Markets; An Option-Adjusted Spread Analysis

Cavallo, Eduardo A.; Valenzuela, Patricio - International Monetary Fund (IMF) - 2007

This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global...

Persistent link: https://www.econbiz.de/10005599512

From Subprime Loans to Subprime Growth? Evidence for the Euro Area

Cihák, Martin; Brooks, Petya Koeva - International Monetary Fund (IMF) - 2009

The global financial crisis has highlighted the potential of financial conditions for influencing real economic activity. We examine the linkages between the financial and real sectors in the euro area, finding that (i) bank loan supply responds negatively to declines in bank soundness; (ii) a...

Persistent link: https://www.econbiz.de/10005825755

Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel?

International Monetary Fund (IMF); International … - 2011

This paper analyzes through what channels the euro crisis has affected firm valuations globally. It examines stock price responses over the past year for 3045 non-financial firms in 16 countries to three key crisis events. Using pre-crisis benchmarks, it separates effects arising from changes in...

Persistent link: https://www.econbiz.de/10009327863

Government Involvement in Corporate Debt Restructuring; Case Studies From the Great Recession

Grigorian, David A.; Raei, Faezeh - International Monetary Fund (IMF) - 2010

The paper examines recent episodes of government involvement in corporate debt restructurings. It argues that corporate debt restructuring is an important step toward recovery from a financial crisis. We then discuss the rationale for, and modalities of, the state intervention in corporate debt...

Persistent link: https://www.econbiz.de/10008727803