Results 101 to 110 of about 1,735,004 (336)

Asymmetric Risk Spillover Networks and Risk Contagion Driver in Chinese Financial Markets: The Perspective of Economic Policy Uncertainty

open access: yesComplexity, 2021
The global financial market shocks have intensified due to the COVID-19 epidemic and other impacts, and the impacts of economic policy uncertainty on the financial system cannot be ignored.
Zongxin Zhang, Ying Chen, Weijie Hou
doaj   +1 more source

Financial fire sales as continuous-state complex contagion [PDF]

open access: yesarXiv, 2022
Trading activities in financial systems create various channels through which systemic risk can propagate. An important contagion channel is financial fire sales, where a bank failure causes asset prices to fall due to asset liquidation, which in turn drives further bank defaults, triggering the next rounds of liquidation.
arxiv  

Financial Contagion and Attention Allocation [PDF]

open access: yesThe Economic Journal, 2012
This paper explains financial contagion between two stock markets with uncorrelated fundamentals by fluctuations in international investors’ attention allocation. We model the process of attention allocation that underlies portfolio investment in international markets using investors who face information processing constraints.
Jordi Mondria, Climent Quintana Domeque
openaire   +3 more sources

Bayesian dynamic financial networks with time-varying predictors [PDF]

open access: yesStatistics & Probability Letters (2014). 93, 19-26, 2014
We propose a Bayesian nonparametric model including time-varying predictors in dynamic network inference. The model is applied to infer the dependence structure among financial markets during the global financial crisis, estimating effects of verbal and material cooperation efforts. We interestingly learn contagion effects, with increasing influence of
arxiv   +1 more source

Connectedness Structure and Volatility Dynamics Between BRICS Markets and International Volatility Indices: An Investigation

open access: yesInternational Journal of Finance &Economics, EarlyView.
ABSTRACT This research aims to explore and understand the dynamic nature of volatility connectedness between BRICS stock markets and various asset price implied volatility indices through a TVP‐VAR broadened connectedness approach. Results display nontrivial dynamic connectedness in the BRICS stock markets and uncertainties in different markets during ...
Halilibrahim Gökgöz   +3 more
wiley   +1 more source

ESG Meets DeFi: Exploring Time‐Varying Linkages and Portfolio Implications

open access: yesInternational Journal of Finance &Economics, EarlyView.
ABSTRACT This study delves into the connection between Environmental, Social and Governance (ESG) indices and emerging Decentralised Finance (DeFi) assets. Specifically, it explores the ever‐changing, frequency‐based linkage between these ESG indices and innovative DeFi assets.
Shoaib Ali   +3 more
wiley   +1 more source

Contagion in Financial Networks: A Threat Index [PDF]

open access: yesSSRN Electronic Journal, 2015
This paper proposes to measure the spillover effects that cross liabilities generate on the magnitude of default in a system of financially linked institutions. Based on a simple model and an explicit criterion—the aggregate debt repayments—the measure is defined for each institution, affected by its characteristics and links to others. These measures—
openaire   +11 more sources

Cross‐Border Exposures and Financial Contagion [PDF]

open access: yesInternational Review of Finance, 2009
ABSTRACTIntegrated financial markets provide opportunities for expansion and improved risk sharing, but also pose threats of contagion risk through cross‐border exposures. This paper examines cross‐border contagion risk over the period 1999–2006.
Elahi   +3 more
openaire   +9 more sources

Political Environment, Banking Liquidity, and Banking Crises: A Mediation Analysis From Panel Data

open access: yesInternational Journal of Finance &Economics, EarlyView.
ABSTRACT The objective of this paper is twofold. (i) First, we examine whether the political environment affect bank liquidity. (ii) Then, we investigate whether the political environment's impact on banking crises is mediated through bank liquidity.
Joseph Attila
wiley   +1 more source

Property price dynamics and asymmetric effects of economic policy uncertainty: New evidence from the Australian capital cities

open access: yesAccounting &Finance, Volume 62, Issue 4, Page 4359-4380, December 2022., 2022
Abstract This paper examines the long‐run relationship between residential property prices and economic policy uncertainty (EPU) in seven Australian capital cities. Using the panel nonlinear autoregressive distributed lag model, we analyse the asymmetric effect of EPU on Australian house and apartment (unit) prices over the period 2001–2021. The EPU is
IKM Mokhtarul Wadud   +3 more
wiley   +1 more source

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