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Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10009635914

Measuring Contagion with a Bayesian, Time-Varying Coefficient Model

Ciccarelli, Matteo; Rebucci, Alessandro - 2021

To measure contagion empirically, we propose using a Bayesian time-varying coefficient model estimated with Markov Chain Monte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis....

Persistent link: https://www.econbiz.de/10013319714

Investor Redemptions and Fund Manager Sales of Emerging Market Bonds : How are They Related?

Shek, Jimmy - 2015

Lending to emerging market economies (EMEs) through bond purchases has surged since 2009. What are the risks of a sudden stop? Bond mutual funds may curtail credit through two channels. The first is redemptions by ultimate investors. The second is additional discretionary sales by fund managers,...

Persistent link: https://www.econbiz.de/10013016995

Risk capacity, portfolio choice and exchange rates

Hofmann, Boris; Shim, Ilhyock; Shin, Hyun Song - 2022

We lay out a model of risk capacity for global portfolio investors in which swings in exchange rates can affect their … risk-taking capacity in a Value-at-Risk framework. Exchange rate fluctuations induce shifts in portfolio holdings of global …

Persistent link: https://www.econbiz.de/10013306223

Cross-Border Banking and Global Liquidity

Bruno, Valentina - 2014

We investigate global factors associated with bank capital flows. We formulate a model of the international banking system where global banks interact with local banks. The solution highlights the bank leverage cycle as the determinant of the transmission of financial conditions across borders...

Persistent link: https://www.econbiz.de/10013047533

Exchange Rates and Monetary Spillovers

Plantin, Guillaume - 2016

When does the combination of flexible exchange rates and domestic inflation-oriented monetary policy guarantee insulation from global financial conditions? We examine a dynamic global game model of international portfolio flows where, for some combination of parameters, the unique equilibrium...

Persistent link: https://www.econbiz.de/10013001102

Crises and Growth : A Re-Evaluation

Rancière, Romain G.; Tornell, Aaron; Westermann, Frank - 2005

risk arises and firms find it optimal to take on credit risk in the form of currency mismatch. Along such a risky path … adoption of credit risk is welfare improving and brings the allocation nearer to the Pareto optimal level. The design of the … model is motivated by several features of recent crises: credit risk in the form of foreign currency denominated debt …

Persistent link: https://www.econbiz.de/10014060802

Analytics of Sovereign Debt Restructuring

Haldane, Andrew; Penalver, Adrian; Saporta, Victoria; … - 2010

Over the past few years there has been an active debate among policy-makers on appropriate mechanisms for restructuring sovereign debt, particularly international bonds. This paper develops a simple theoretical model to analyse the merits of these proposals. The analysis suggests that collective...

Persistent link: https://www.econbiz.de/10014069438

Debt Maturity Structure with Pre-Emptive Creditors

Gai, Prasanna; Shin, Hyun Song - 2010

Recent experience with financial crises has led to scepticism about the efficacy of crisis management measures that target short-term debt, such as the voluntary/concerted rollovers of interbank lines. Such measures, it is suggested, heighten financial fragility by encouraging creditors to...

Persistent link: https://www.econbiz.de/10014072067

Capital Flows, Cross-Border Banking and Global Liquidity

Bruno, Valentina - 2012

We investigate the role of global factors in driving cross-border capital flows. We formulate a model of gross capital flows through the banking sector and derive a closed form solution that highlights the leverage cycle of global banks and its interaction with recipient country characteristics....

Persistent link: https://www.econbiz.de/10013109273