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  1. Contagion of self-fulfilling financial crises due to diversification of investment portfolios
    Published: 05 June 2001
    Publisher:  Foerder Inst. for Economic Research, Tel-Aviv

    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 944 (01.33)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource]
    Series: Working paper / Foerder Institute for Economic Research ; 01,33
    Subjects: Portfolio-Investition; Portfolio-Management; Anlageverhalten; Theorie; Finanzkrise; Contagion
    Scope: Online-Ressource, 29 p., text, ill
  2. Spreading currency crises
    the role of economic interdependence
    Published: 2002
    Publisher:  IMF, [Washington, DC]

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 128 (02.144)
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    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    88/51 B-02,144
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    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: IMF working paper ; 02/144
    Subjects: Währungskrise; Währungsspekulation; Erwartungsbildung; Spieltheorie; Fester Wechselkurs; Mehr-Länder-Modell; Theorie; Contagion; Devaluation of currrency; Financial crises; Foreign exchange
    Scope: 20 S
    Notes:

    Literaturverz. S. 19 - 20

  3. Equilibrium analysis, banking, contagion and financial fragility
    Published: 2003
    Publisher:  Oxford Financial Research Centre, Oxford

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1486 (2003.03)
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    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource]
    Series: Oxford Financial Research Centre economics series ; 2003,03
    Subjects: Allgemeines Gleichgewicht; Unvollkommener Markt; Finanzmarkt; Theorie; Contagion
    Scope: Online-Ressource, 59 p. = 898 KB, text, ill
  4. Information contagion and inter-bank correlation in a theory of systemic risk
    Published: 2003
    Publisher:  Centre for Economic Policy Research, London

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 32 (3743)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 3743
    Subjects: Bankrisiko; Bank; Theorie; Systemrisiko; Contagion
    Scope: 45, [3] S, graph. Darst
  5. Contagion and interdependence among Central European economies
    the impact of common external shocks
    Published: 2003
    Publisher:  HEI, Genève

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1442 (2003.02)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource]
    Series: HEI working paper ; 02/2003
    Subjects: Spillover-Effekt; Zins; Preiskonvergenz; Geldpolitik; Schock; Ostmitteleuropa; Russland; USA; Finanzkrise; Contagion
    Scope: Online-Ressource, 26 p., text
  6. The center and the periphery
    the globalization of financial turmoil
    Published: 2003
    Publisher:  NBER, Cambridge, Mass.

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1 (9479)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: NBER working paper series ; 9479
    Subjects: Schwellenländer; Spillover-Effekt; Internationaler Finanzmarkt; Brasilien; Thailand; Russland; Finanzkrise; Contagion
    Scope: 23, [22] S, graph. Darst
    Notes:

    Internetausg.: papers.nber.org/papers/w9479.pdf - lizenzpflichtig

    Literaturverz. S. 22 - 23

  7. Equilibrium analysis, banking, contagion and financial fragility
    Published: 2003

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 677 (175)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper / Bank of England ; 175
    Subjects: Allgemeines Gleichgewicht; Unvollkommener Markt; Finanzmarkt; Theorie; Contagion
    Scope: 59 S, graph. Darst
  8. Equilibrium analysis, banking and financial instability
    Published: Mar. 2003
    Publisher:  Oxford Financial Research Centre, Oxford

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1486 (2003.08)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource], rev
    Series: Oxford Financial Research Centre economics series ; 2003,08
    Subjects: Allgemeines Gleichgewicht; Unvollkommener Markt; Finanzmarkt; Bank; Theorie; Contagion
    Scope: Online-Ressource, 31 p., text, ill
  9. Contagion: an empirical test
    Published: 2003
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 132 (775)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: International finance discussion papers ; 775
    Subjects: Börsenkurs; Preiskonvergenz; Finanzmarkt; Marktintegration; CAPM; Asien; Lateinamerika; Deutschland; Großbritannien; USA; Korrelation; Contagion
    Scope: 39 S, graph. Darst
    Notes:
  10. Crisis spillovers in emerging market economies
    interlinkages, vulnerabilities and investor behaviour

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 677 (212)
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Working paper / Bank of England ; 212
    Subjects: Marktintegration; Schwellenländer; Asien; Argentinien; Finanzkrise; Contagion; Financial crises
    Scope: 44 S., graph. Darst.
  11. High-frequency contagion of currency crises in Asia
    Published: 2002
    Publisher:  NBER, Cambridge, Mass.

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1 (9376)
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    Source: Union catalogues
    Language: English
    Media type: Book
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    RVK Categories: QB 910
    Series: NBER working paper series ; 9376
    Subjects: Währungskrise; Asien; Finanzkrise; Contagion
    Scope: 59 S, graph. Darst
    Notes:

    Internetausg.: papers.nber.org/papers/w9376.pdf - lizenzpflichtig

    Literaturverz. S. 27 - 28

  12. Market integration and contagion
    Published: 2003
    Publisher:  NBER, Cambridge, Mass.

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1 (9510)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: NBER working paper series ; 9510
    Subjects: Internationaler Finanzmarkt; Marktintegration; Kapitalmobilität; Börsenkurs; Preiskonvergenz; CAPM; Schätzung; Welt; Finanzkrise; Contagion
    Scope: 33 S
    Notes:

    Internetausg.: papers.nber.org/papers/w9510.pdf - lizenzpflichtig

    Literaturverz. S. 23 - 25

  13. Shift contagion in asset markets
    Published: 2003
    Publisher:  Bank of Canada, Ottawa, Ontario

    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
    6 B 52753
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 765 (2003.5)
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper / Bank of Canada ; 2003,5
    Subjects: Schock; Finanzmarkt; Kointegration; Theorie; Finanzkrise; Contagion; comovement
    Scope: V, 30 S, graph. Darst
    Notes:

    Literaturverz. S. 16 - 17

  14. Information contagion and inter-bank correlation in a theory of systemic risk
    Published: 21 Dec. 2002
    Publisher:  Inst. of Finance and Accounting, London

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1457 (375)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource]
    Series: IFA working paper ; 375
    Subjects: Bankrisiko; Bank; Theorie; Systemrisiko; Contagion
    Scope: Online-Ressource, 45, [3] p., text, ill
  15. Contagion effects of the Silicon Valley Bank run
    Published: [2023]
    Publisher:  Koç University - TÜSİAD Economic Research Forum, Sarıyer/Istanbul

    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,... more

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    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 size, and cash holdings had a significant impact, while better-quality assets or holdings of liquid securities did not help mitigate the negative spillovers. Interestingly, banks whose stocks performed worse post SVB also had lower returns in the previous year following Federal Reserve interest rate hikes. The stock market partially anticipated risks associated with uninsured deposit reliance, but did not price in unrealized losses due to interest rate hikes nor risks linked to bank size. While mid-sized banks experienced particular stress immediately after the SVB failure, over time negative spillovers became widespread except for the largest banks.

     

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    Source: Union catalogues
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    Format: Online
    Series: Koç University - TÜSİAD Economic Research Forum working paper series ; no: 2307 (September 2023)
    Subjects: Bankinsolvenz; Ansteckungseffekt; Bankenkrise; Bankrisiko; Finanzkrise; USA; Contagion; Banking crisis; Bank run; Systemic risk; Interest rate risk; Hidden losses; Held-to-maturity
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  16. Understanding human stupidity in a post-truth area
    Published: [2023]
    Publisher:  INSEAD, [Fontainebleau]

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    Media type: Book
    Format: Online
    Series: Array ; 2023, 49
    Subjects: Stupidity; Pseudo-stupidity; Foolishness; Contagion; Stubbornness; Narcissism; EvolutionaryPsychology; Cognitive Psychology; Cognitive Bias; Neuroscience; Group Dynamics; Leadership; Satire; Paradoxical Intervention; Education; Self-knowledge
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  17. Can green bonds be a safe haven for equity investors?
    Published: 3 October 2023
    Publisher:  Queen's University, Belfast, Queen's Business School, [Belfast]

    We investigate if green bonds can act as a safe-haven asset for equity investors by analysing their relationship with stocks and other alternative safe havens, namely sovereign bonds and gold. Safe havens are defined as assets that exhibit zero or... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    DS 843
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    We investigate if green bonds can act as a safe-haven asset for equity investors by analysing their relationship with stocks and other alternative safe havens, namely sovereign bonds and gold. Safe havens are defined as assets that exhibit zero or negative comovement with equity during a stock market downturn. We analyse the interrelationships between the asset classes using the Marginal Expected Shortfall of Acharya et al. (2017) and by comparing the regime-dependent GIRFs from a Markovswitching VAR model. Our results suggest that green bonds are not safe haven assets for equity investors but rather show positive comovement during periods of market stress. The sovereign bond is the most consistent in delivering diversification benefits across market conditions, while gold acts as a safe-haven asset during all regimes except during rare periods of extreme turbulence.

     

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    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/278068
    Series: QMS working paper ; 2023, 06
    Subjects: Green bonds; Contagion; Financial crisis; Markov-switching VAR
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  18. Effects of mergers on network models of the financial system
    Published: [2023]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    Despite the ongoing consolidation trend in the banking industry and the attention some mergers (in particular between large banks) have been receiving, there is no consistent picture of the impact of mergers on the stability of the financial system.... more

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    DS 12
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    Despite the ongoing consolidation trend in the banking industry and the attention some mergers (in particular between large banks) have been receiving, there is no consistent picture of the impact of mergers on the stability of the financial system. In this paper, we aim to provide a universal framework to study the generic effect of mergers and acquisitions on the resilience of financial systems based on different network models. We investigate the impact of a wide variety of model assumptions, e.g. connectivity, contagion channel and the merger process, on different static and dynamic stability measures. We provide a range of theoretical results highlighting the mechanisms that influence systemic risk in consolidated financial systems. Our main finding is that merger activities can stabilize or destabilize the modelled financial network, depending on various details such as the connectivity of the network and the assumed merger process. Merger activities can increase diversification of single banks and support their resilience to shocks, and may slow down contagious default. However, merger activities can also decrease stability if, for example, the network is driven into the contagion window or insufficiently stable banks emerge in key positions in the network.

     

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    Media type: Ebook
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    ISBN: 9783957299642
    Other identifier:
    hdl: 10419/280415
    Series: Discussion paper / Deutsche Bundesbank ; no 2023, 29
    Subjects: Financial network model; Mergers and Acquisitions; Financial Stability; Contagion
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  19. Contagion in financial markets
    are the causes, and solutions economic or banking and financial in nature?
    Published: 2002
    Publisher:  School of Economics and Finance, Curtin Business School, Curtin Univ. of Technology, Perth, Western Australia

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 557 (02.07)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 1740671600
    Series: Working paper series / School of Economics and Finance, Curtin Business School, Curtin University of Technology ; 02.07
    Subjects: Konjunkturzusammenhang; Bank; Wirtschaftspolitik; Russland; Lateinamerika; Finanzkrise; Contagion
    Scope: 22, XIV S, graph. Darst
    Notes:

    Literaturverz. S. 21 - 22

  20. Equilibrium analysis, banking, contagion and financial fragility

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 766 (450)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper series / LSE Financial Markets Group ; 450
    Subjects: Allgemeines Gleichgewicht; Unvollkommener Markt; Finanzmarkt; Theorie; Contagion
    Scope: 59 S, graph. Darst
  21. Econometric issues in the analysis of contagion
    Published: Jan. 2004
    Publisher:  Univ. of Cambridge, Dep. of Applied Economics, Faculty of Economics, Cambridge

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 942 (0402)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: [Elektronische Ressource]
    Series: Cambridge working papers in economics ; 0402
    Subjects: Finanzkrise; Ökonometrisches Modell; Contagion
    Scope: Online-Ressource, 32, XIII p., text, ill
  22. Econometric issues in the analysis of contagion
    Published: 2004
    Publisher:  Univ., Center for Economic Studies [u.a.], Munich

    This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion can be distinguished from inter-dependence. In a two-country (market) setup it is shown that for a range of fundamentals the... more

    Staats- und Universitätsbibliothek Bremen
    bc 1391-1176
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    1 : Z 104.53:1176
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 624 (1176)
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    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    S32-1176 a
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    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
    S32-1176 b
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    S32-1176 c
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    This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion can be distinguished from inter-dependence. In a two-country (market) setup it is shown that for a range of fundamentals the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation properties with bimodal density functions. The extension of the model to herding behaviour is also briefly discussed. To identify contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain country (market) specific forcing variables. This sheds doubt on the general validity of the correlation-based tests of contagions recently proposed in the literature which do not involve any country (market) specific fundamentals. Finally, we show that ignoring inter-dependence can introduce an upward bias in the estimate of the contagion coefficient, and using Monte Carlo experiments we further show that this bias could be substantial.

     

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    RVK Categories: QB 910
    Series: Array ; 1176
    Subjects: Finanzkrise; Ökonometrisches Modell; Contagion
    Scope: 32, XIII S, graph. Darst., Tab
    Notes:

    Literaturverz. S.31-32

  23. Shift contagion in asset markets
    Published: 2003
    Publisher:  Bank of Canada, Ottawa, Ontario

    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper / Bank of Canada ; 2003,5
    Subjects: Schock; Finanzmarkt; Kointegration; Theorie; Finanzkrise; Contagion; comovement
    Scope: V, 30 S, graph. Darst
    Notes:

    Literaturverz. S. 16 - 17

  24. Spreading currency crises
    the role of economic interdependence
    Published: 2002
    Publisher:  Fernuniv., Fachbereich Wirtschaftswiss., Hagen

    Universitätsbibliothek Braunschweig
    3491-4803
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
    KAP 11894
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 691 (322)
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    Universität Konstanz, Kommunikations-, Informations-, Medienzentrum (KIM)
    sta 2.80/d49-322
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
    02-3973
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    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
    N vwl 001 SA 0562-322
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    Saarländische Universitäts- und Landesbibliothek
    MV 305
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Diskussionsbeiträge / Fachbereich Wirtschaftswissenschaft, FernUniversität in Hagen ; 322
    Subjects: Währungskrise; Währungsspekulation; Erwartungsbildung; Spieltheorie; Fester Wechselkurs; Mehr-Länder-Modell; Theorie; Contagion
    Scope: 25 S., 1 graph. Darst.
    Notes:

    Literaturverz. S. 25

  25. Some contagion, some interdependence
    more pitfalls in tests of financial contagion
    Published: 2002
    Publisher:  Centre for Economic Policy Research, London

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 32 (3310)
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    Universität Konstanz, Kommunikations-, Informations-, Medienzentrum (KIM)
    wrc 10.06:i/d55-3310
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    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 3310
    Subjects: Aktienmarkt; Internationaler Finanzmarkt; Theorie; Korrelation; Contagion; comovement
    Scope: 28 S., graph. Darst.