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Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de - 2001

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...

Persistent link: https://www.econbiz.de/10011317457

Banks, markets, and financial stability

Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014

We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...

Persistent link: https://www.econbiz.de/10010433396

What is systemic risk?

Allen, Franklin; Carletti, Elena - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 121-127

Persistent link: https://www.econbiz.de/10010222565

Disentangling crashes from tail events

Aboura, Sofiane - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 206-219

Persistent link: https://www.econbiz.de/10011348417

The interplay between regulations and financial stability

Allen, Franklin; Gu, Xian - In: Journal of financial services research : JFSR 53 (2018) 2/3, pp. 233-248

Persistent link: https://www.econbiz.de/10012023955

From collapse to contagion : how bank failures influence stock markets

Brož, Václav; Teplý, Petr - In: The North American journal of economics and finance : a … 79 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015434688

Contagion between European and US banks : evidence from equity prices

Fricke, Daniel - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US …

Persistent link: https://www.econbiz.de/10008758400

Leveraging a Call-Put Ratio as a Trading Signal

Houlihan, Patrick - 2019

We examine whether a put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: 1) specific market participant's options trading volume is a...

Persistent link: https://www.econbiz.de/10012905111

Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Market

Makarewicz, Tomasz - 2016

The paper studies the emergence of contrarian behavior in information networks in an asset pricing market. Financial traders coordinate on similar behavior, but have heterogeneous price expectations and are influenced by friends. According to a popular belief, they are prone to herding. However,...

Persistent link: https://www.econbiz.de/10012995192

Bank Credit, Asset Prices and Financial Stability : Evidence from French Banks

Pouvelle, Cyril - 2012

This paper analyses the effect of asset prices on credit growth in France and tries to disentangle credit demand and … period, but without credit supply factors being singled out. By contrast, housing price growth has a significant effect … during periods of financial instability only, even after controlling for credit demand effects. These results show that …

Persistent link: https://www.econbiz.de/10013101520