Results 1 to 10 of about 4,606 (227)
Quantifying the importance of different contagion channels as sources of systemic risk [PDF]
Journal of Economic Interaction and Coordination, 2020 AbstractA framework that allows computing contagion effects from both direct exposure contagion and overlapping portfolios is presented. The effects of the latter are broken down into loss correlation, effects from fire sales and mark-to-market accounting.
Christoph Siebenbrunner
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When in Peril, Retrench: Testing the Portfolio Channel of Contagion [PDF]
Journal of International Economics, 2004 One plausible mechanism through which financial market shocks may propagate across countries is through the effect of past gains and losses on investors' risk aversion. We first present a simple model on how heterogeneous changes in investors' risk aversion affect portfolio decisions and stock prices.
Fernando Broner, Gastón Gelos
+15 more sources
CURRENCY CRISES AND CONTAGION CHANNELS IN ASIAN ECONOMIES
Buletin Ekonomi Moneter dan Perbankan, 2023 This study examines multiple transmission mechanisms that propagate and amplify shocks across Asian nations owing to financial turbulence with emphasis on global shock transmission between economies that prioritise ‘trade’ and ‘financial’ connections in four countries: Indonesia, Korea, Malaysia, and the Philippines.
Tey Sheik Kyin, Lee Chin
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The Credit Quality Channel: Modeling Contagion in the Interbank Market [PDF]
Journal of Financial Stability, 2015 Abstract We propose an algorithm to model contagion in the interbank market via what we term the “credit quality channel”. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default.
Kilian Fink +3 more
+5 more sources
BREXIT: Equity Market Contagion and Transmission Channels
Applied Economics, 2021 This paper investigates the transmission of shocks during the period of the withdrawal of the United Kingdom from the European Union (BREXIT) across twenty-two equity markets. We use an augmented multifactor model to detect the transmission of contagion effects from the United States and Western Europe to Brazil, Russia, India, China and South Africa ...
Ahmed Ayadi
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Systemic Risk with Multi-Channel Risk Contagion in the Interbank Market [PDF]
Sustainability, 2023 The systematicness of banks is an important driver of financial crisis. Overlapping portfolios and assets correlation of banks’ investment are important reasons for systemic risk contagion. The existing systemic risk models are all analyzed from one aspect and cannot reflect the real situation of the banking system.
Shanshan Jiang +4 more
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Interbank Network as a Channel of Credit Contagion in Banks: Is Moral Hazard Transferable? [PDF]
Journal of Central Banking Theory and Practice, 2022 Abstract The objective of this research is to examine the inter-bank network of clients as a channel for credit risk transmission by groups of banks in Serbia characterized by different levels of credit risk (clusters). Two of the four observed groups of banks have experienced increase in NPLs through the channel of contagion spread ...
Željko Jović, Milena Lutovac Đaković
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Structural Changes in Contagion Channels: the Impact of COVID-19 on the Italian Electricity Market
SSRN Electronic Journal, 2021 Abstract Operating on electricity markets requires accurately identifying, quantifying, and measuring risk coupled with their corresponding return: this appears as a crucial point, particularly during and after the COVID-19 pandemic. The aim of the present paper is twofold.
Daniel Felix Ahelegbey +3 more
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Transmission Channels of Systemic Risk and Contagion in the European Financial Network [PDF]
SSRN Electronic Journal, 2014 We investigate systemic risk and how financial contagion propagates within the euro area banking system by employing the Maximum Entropy method. The study captures multiple snapshots of a dynamic financial network and uses counterfactual simulations to propagate shocks emerging from three sources of systemic risk: interbank, asset price, and sovereign ...
Nikos Paltalidis +3 more
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Investigating liquidity constraints as a channel of contagion: a regime switching approach [PDF]
Financial Innovation, 2020 AbstractThe present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model. The interdependence and co-movement of financial markets in different countries has been enhanced due to the globalization of international trade, and investment trends can spread globally as a result of investors owning ...
Sruthi Rajan, Santhakumar Shijin
openalex +4 more sources