Narrow search
Showing 41 - 50 of 43,865
Cover Image
A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
Henri Audigé - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth … Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and â …
Persistent link: https://www.econbiz.de/10010610178
Cover Image
“How systemic is Spain for Europe?”
Claeys, Peter; Vašícek, Borek - Facultat d'Economia i Empresa, Universitat de Barcelona - 2013
We use the forecast-error variance decompositions from a VAR with daily sovereign bonds spreads since 2000 to detail the linkages between EU sovereign bond markets and banks over time. Using new summary statistics on the matrix of bilateral linkages, we show Spain is systemic for Europe. Its...
Persistent link: https://www.econbiz.de/10010610257
Cover Image
“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”
Claeys, Peter; Vašícek, Borek - Facultat d'Economia i Empresa, Universitat de Barcelona - 2012
Although there is by now strong evidence that sovereign risk premia are driven by a common factor, little is known about the detailed linkages between sovereign bond markets. We employ the VAR method by Diebold and Yilmaz (2009) to analyse the strength and direction of bilateral linkages between...
Persistent link: https://www.econbiz.de/10010612986
Cover Image
“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”
Claeys, Peter; Vašícek, Borek - Institut de Recerca en Economia Aplicada (IREA), … - 2012
Although there is by now strong evidence that sovereign risk premia are driven by a common factor, little is known about the detailed linkages between sovereign bond markets. We employ the VAR method by Diebold and Yilmaz (2009) to analyse the strength and direction of bilateral linkages between...
Persistent link: https://www.econbiz.de/10010635859
Cover Image
“How systemic is Spain for Europe?”
Claeys, Peter; Vašícek, Borek - Institut de Recerca en Economia Aplicada (IREA), … - 2013
We use the forecast-error variance decompositions from a VAR with daily sovereign bonds spreads since 2000 to detail the linkages between EU sovereign bond markets and banks over time. Using new summary statistics on the matrix of bilateral linkages, we show Spain is systemic for Europe. Its...
Persistent link: https://www.econbiz.de/10010635866
Cover Image
Determinants of the Greek stock-bond correlation
Migiakis, Petros M - In: Economic Bulletin (2010) 33, pp. 79-90
bond returns, we find a relation between decoupling effects and market uncertainty and contagion from the Italian market. …
Persistent link: https://www.econbiz.de/10008852247
Cover Image
Measuring Co-Movements of CDS Premia during the Greek Debt Crisis
Andenmatten, Sergio; Brill, Felix - Department Volkswirtschaftlehre, Universität Bern - 2011
crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of "no contagion, only interdependence". Especially for European countries we would instead …
Persistent link: https://www.econbiz.de/10009150536
Cover Image
Reviewing the Leverage Cycle
Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2013
, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the …
Persistent link: https://www.econbiz.de/10010895688
Cover Image
Contagion in the Euro crisis: capital flows and trade linkages
Cutrini, Eleonora; Galeazzi, Giorgio - Dipartimento di Studi Sullo Sviluppo Economico (DISSE), … - 2014
Against the backdrop of the contagion literature, the paper analyses the impact of financial and trade linkages on …. Second, the structure of international trade helps to account for the geographic scope of contagion, even after controlling …
Persistent link: https://www.econbiz.de/10010944615
Cover Image
How does contagion affect general equilibrium asset prices?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - Research Center SAFE (Sustainable Architecture for … - 2013
This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive … analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to …
Persistent link: https://www.econbiz.de/10010955143