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Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies

Apostolou, Apostolos; Beirne, John - 2017

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...

Persistent link: https://www.econbiz.de/10011636172

On the credit and exchange rate channels of central bank asset purchases in a monetary union

Darracq Pariès, Matthieu; Papadopoulou, Niki - 2019

Through the euro area crisis, financial fragmentation across jurisdictions became a prime concern for the single … the credit intermediation chain is significant and quite heterogenous across the largest euro area countries. The … introduction of global portfolio frictions on euro area government bond holdings by international investors opens up for a larger …

Persistent link: https://www.econbiz.de/10011996730

Identifying the global transmission of the 2007 - 09 financial crisis in a GVAR Model

Chudik, Alexander; Fratzscher, Marcel - 2011

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...

Persistent link: https://www.econbiz.de/10008901498

Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel - 2011

. - Contagion ; financial crisis ; equity markets ; global transmission ; market integration ; country risk ; factor model …

Persistent link: https://www.econbiz.de/10009380410

Capital flows, push versus pull factors and the global financial crisis

Fratzscher, Marcel - 2011

The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks - key crisis events as well as...

Persistent link: https://www.econbiz.de/10009238006

A wake-up call theory of contagion

Ahnert, Toni; Bertsch, Christoph - 2022

We offer a theory of financial c ontagion b ased o n t he i nformation c hoice o f i nvestors after observing a financial crisis e lsewhere. We study global coordination games of regime change in two regions linked by an initially unobserved macro shock. A crisis in region 1 is a wake-up call to...

Persistent link: https://www.econbiz.de/10013189252

Firm-specific shocks and contagion : are banks special?

Engljähringer, Hannah Katharina; Stracca, Livio - 2020

This paper builds a database of idiosyncratic shocks (events) in global banks and car manufacturers (as representative of non-financial firms), and focuses on how these influence a number of macroeconomic and firm-specific variables in the short- and medium-term. We find that these shocks spawn...

Persistent link: https://www.econbiz.de/10012299006

Tiered CBDC and the financial system

Bindseil, Ulrich - 2020

IT progress and its application to the financial industry have inspired central banks and academics to analyse the merits of central bank digital currencies (CBDC) accessible to the broad public. This paper first reviews the advantages and risks of such CBDC. It then discusses two prominent...

Persistent link: https://www.econbiz.de/10012137675

Fire sales by euro area banks and funds : what is their asset price impact?

Mirza, Harun; Moccero, Diego; Palligkinis, Spyros; … - 2020

partial equilibrium model of euro area funds and banks calibrated over the period between 2008 and 2017. An initial shock to …

Persistent link: https://www.econbiz.de/10012316976

Estimating systemic risk for non-listed euro-area banks

Engle, Robert F.; Emambakhsh, Tina; Manganelli, Simone; … - 2023

The systemic risk measure (SRISK) by V-Lab provides a market view of the vulnerability of financial institutions to a sudden downturn in the economy. To overcome the shortcoming that it cannot be applied to non-listed banks, SRISK characteristics of listed banks are mapped on balance sheet...

Persistent link: https://www.econbiz.de/10014477734