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Sovereign risk contagion in the Eurozone: A time-varying coefficient approach

Ludwig, Alexander - 2013

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

Persistent link: https://www.econbiz.de/10010327794

Contagion and Spillovers: New Insights from the Crisis

Backé, Peter; Feldkircher, Martin; Gnan, Ernest; … - 2010

year's subject of "Contagion and Spillovers – New Insights from the Crisis" turned out to be particularly topical, as first …

Persistent link: https://www.econbiz.de/10011689946

Monetary Policy after the Crisis

Belka, Marek; Thomsen, Jens; Abildgren, Kim; Catte, Pietro - 2011

On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...

Persistent link: https://www.econbiz.de/10011689949

Contagion dynamics in EMU government bond spreads

Leschinski, Christian; Bertram, Philip - 2013

explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the … dynamics of these effects. As a contribution to fill this gap, we apply the canonical contagion framework of Pesaran and Pick … [2007], similar to Metiu [2012], for daily data from January 2002 until May 2013. By adapting the contagion function used by …

Persistent link: https://www.econbiz.de/10010332634

Capital Markets Union in Europe: Why Other Unions Must Lead the Way

Acharya, Viral V.; Steffen, Sascha - In: Swiss Journal of Economics and Statistics 152 (2016) 4, pp. 319-329

Government bond markets in the Euro Area are highly fragmented causing further fragmentation in bond and equity markets. Capital Markets Union with fully integrated capital markets across member countries can only work when the status of member country sovereign bonds as risk-free assets is...

Persistent link: https://www.econbiz.de/10011933348

Explaining foreign holdings of Asia's debt securities: The Feldstein-Horioka paradox revisited

Horioka, Charles Yuji; Terada-Hagiwara, Akiko; Nomoto, … - 2015

the Eurozone economies, the US, and developing Asia showing relatively weak home bias and advanced Asia, especially Japan … capital has been flowing from the US and the Eurozone economies to both advanced Asia (especially Japan) and developing Asia …

Persistent link: https://www.econbiz.de/10011421476

Shadow banking: Financial intermediation beyond banks

Jokivuolle, Esa (contributor) - 2018

Shadow banking is a broad concept. A possible definition is that it comprises non-bank institutions which undertake bank-like activities. Another characteristic is that the sector is overall less regulated. Therefore there are still shortcomings in systematic collection of information of the sector.

Persistent link: https://www.econbiz.de/10011985212

The risk of external financial crisis

Cavallo, Eduardo A.; Fernández Arias, Eduardo; … - 2022

This paper explores the empirical determinants of external crises on a world panel dataset of 62 countries over the fifty-year period 1970-2019 and estimates their risk trade-offs with the aim of informing macrofinancial prudential policies. The determinants include countries' external balance...

Persistent link: https://www.econbiz.de/10014518250

External crisis vulnerability in Latin America and the Caribbean

Cavallo, Eduardo A.; Fernández Arias, Eduardo - 2023

This paper assesses the vulnerability of Latin American and Caribbean (LAC) economies to external crises. It shows that while the average LAC economy has made significant strides to reduce vulnerability to crises to its historical minimum, there is still considerable room for improvement,...

Persistent link: https://www.econbiz.de/10014563991

Analyzing credit risk transmission to the non-financial sector in Europe: a network approach

Gross, Christian; Siklos, Pierre - 2018

Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...

Persistent link: https://www.econbiz.de/10011984861