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Caporin, Massimiliano - 2014

eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian … their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the …

Persistent link: https://www.econbiz.de/10013066384

Measuring sovereign contagion in Europe

Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2015

, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on …

Persistent link: https://www.econbiz.de/10010527055

Financial Liberalization and Business Cycles : The Experience of Countries in the Baltics and Central Eastern Europe

Vinhas de Souza, Lucio Vinhas - 2016

Persistent link: https://www.econbiz.de/10012991348

Financial Liberalization and Business Cycles : The Experience of New EU Member States in the Baltics and Central Eastern Europe

Vinhas de Souza, Lucio Vinhas - 2004

This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European new Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of "emerging...

Persistent link: https://www.econbiz.de/10014072529

Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

Persistent link: https://www.econbiz.de/10010471858

Has the Monetary Transmission Process in the Euro Area Changed? Evidence Based on VAR Estimates

Weber, Axel A. - 2013

Empirical evidence on whether the euro area monetary transmission process has changed is, at best, mixed. We argue that this inconclusiveness is likely to be due to the fact that existing empirical studies concentrate on the effects of a particular development on a specific transmission channel....

Persistent link: https://www.econbiz.de/10013095754

Asset encumbrance in euro area banks : analysing trends, drivers and prediction properties for individual bank crises

Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica - 2021

Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance, bringing together analyses by the ECB and those...

Persistent link: https://www.econbiz.de/10012617772

Sovereign Contagion in Europe : Evidence from the CDS Market

Manasse, Paolo - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

Persistent link: https://www.econbiz.de/10013088213

Determinants of External-Debt Crises. A Probit Model

Magomedova, Medeya - 2017

The issue of EDC became increasingly important in the field of development economics primarily because EDC has been occurring more frequent after the deregulation of global financial flows in the 1970s (Tiruneh 2004, Jones 2015) hitting mostly MICs and LICs. Assessing the probability of an EDC...

Persistent link: https://www.econbiz.de/10012946953

From modelling to forecasting bank profitability : evidence from euro area banks

Belloni, Marco; Jarmuzek, Mariusz; Mylonas, Dionysios - In: Journal of risk management in financial institutions 15 (2021/2022) 4, pp. 314-337

Persistent link: https://www.econbiz.de/10013500567