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The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems’ foreign credit exposures and borrower countries’ reliance on foreign bank credit, by combining BIS data with bank-level data....
Persistent link: https://www.econbiz.de/10011142071
meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an …
Persistent link: https://www.econbiz.de/10011142079
This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal....
Persistent link: https://www.econbiz.de/10011142190
This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper...
Persistent link: https://www.econbiz.de/10011123845
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
(SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the … in that the failure of any member of the central tier will bring down other members with the contagion coming to an …
Persistent link: https://www.econbiz.de/10011242265
Successful implementation of macroprudential policy is contingent on the ability to identify and estimate systemic risk in real time. In this paper, systemic risk is defined as the conditional probability of a systemic banking crisis and this conditional probability is modeled in a fixed effect...
Persistent link: https://www.econbiz.de/10011242269
This paper examines how Asian financial linkages with systemic economies have changed over time. After developing a factor model, it estimates Asian financial sensitivities to systemic economies, and then seeks to uncover their key determinants, which include trade and financial linkages, as...
Persistent link: https://www.econbiz.de/10011242367
The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in...
Persistent link: https://www.econbiz.de/10010790234
This paper investigates whether banking crises are associated with declines in bilateral exports. We first develop a simple open economy model in which banking crises translate into negative liquidity shocks, leading to collapses in exports through supply-side and demand-side shocks. We then...
Persistent link: https://www.econbiz.de/10010790269