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Contagion channels between real estate and financial markets

Hoesli, Martin; Reka, Kustrim - 2013

correlation, liquidity correlation, and portfolio rebalancing. A behavioral dimension in the crisis propagation is also examined … that this is driven by behavioral and liquidity mechanisms. The correlated information and portfolio rebalancing hypotheses …

Persistent link: https://www.econbiz.de/10009750633

Illiquidity or Credit Deterioration : A Study of Liquidity in the US Corporate Bond Market during Financial Crises

Friewald, Nils - 2010

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …

Persistent link: https://www.econbiz.de/10013150981

Illiquidity or Credit Deterioration : A Study of Liquidity in the US Corporate Bond Market during Financial Crises

Friewald, Nils - 2010

Persistent link: https://www.econbiz.de/10013152489

Illiquid financial products and distribution policies : new insights

Polato, Maurizio; Floreani, Josanco - In: Journal of applied finance & banking 1 (2011) 2, pp. 155-172

investors lack the basic tools for evaluating more complex structures and liquidity costs; this, in turn, leaves room for …

Persistent link: https://www.econbiz.de/10009536158

Alan Greenspan, the quants and stochastic optimal control

Stein, Jerome L. - 2010

Alan Greenspan’s paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First, the housing price bubble, its subsequent collapse and the financial crisis were not predicted either by the market, the FED, the IMF or the regulators in the years leading to...

Persistent link: https://www.econbiz.de/10003971912

Contagion Effects of the U.S. Subprime Crisis on International Stock Markets

Hwang, Inchang - 2010

This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets during the U.S. subprime crisis. We also find...

Persistent link: https://www.econbiz.de/10013149007

Contagion Effects of the Silicon Valley Bank Run

Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023

This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank-specific vulnerabilities contributing to the subsequent declines in banks' stock returns. We find that uninsured deposits, unrealized losses in held-to-maturity securities, bank...

Persistent link: https://www.econbiz.de/10014349228

Contagion effects of the Silicon Valley Bank run

Choi, Dong Beom; Goldsmith-Pinkham, Paul; Yorulmazer, Tanju - 2023

Persistent link: https://www.econbiz.de/10014342118

Global Contagion of Market Sentiment During the US Subprime Crisis

Lee, Yen-Hsien - 2016

This paper investigates how global market sentiment propagates among the markets and how the interdependency through the propagation changes during the course of the US subprime crisis. We adopt a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, and use a sample...

Persistent link: https://www.econbiz.de/10013006641

Risk of liquidity and contagion of the crisis on the United States, United Kingdom and euro zone money markets

Blancheton, Bertrand; Bordes, Christian; … - In: International journal of finance & economics : IJFE 17 (2012) 2, pp. 124-146

Persistent link: https://www.econbiz.de/10009615700