Search results for " Crisi"
showing 10 items of 669 documents
A systematic review of sovereign connectedness on emerging economies.
2019
This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic research focused on this topic, we especially direct our attention to the strand of the literature that defines and empirically analyses this topic as the significant increase in the cross-market correlations between asset returns during crisis periods or when a shock occurs. The survey covers the findings on financial contagion in the stock, bond, exchange and credit default swap markets during a large period that covers several crises that have characterized the relat…
How Do Insured Deposits Affect Bank Risk? Evidence from the 2008 Emergency Economic Stabilization Act
2017
Abstract This paper tests whether an increase in insured deposits causes banks to become more risky. We use variation introduced by the U.S. Emergency Economic Stabilization Act in October 2008, which increased the deposit insurance coverage from $100,000 to $250,000 per depositor and bank. For some banks, the amount of insured deposits increased significantly; for others, it was a minor change. Our analysis shows that the more affected banks increase their investments in risky commercial real estate loans and become more risky relative to unaffected banks following the change. This effect is most distinct for affected banks that are low capitalized.
Interest rate changes and stock returns: A European multi-country study with wavelets
2016
Abstract This paper investigates the linkage between changes in 10-year government bond yields and stock returns for the major European countries in the time-frequency domain by using a number of cross-wavelet tools in the framework of the continuous wavelet transform, mainly the wavelet coherence and phase-difference. The results reveal that the degree of connection between 10-year bond rate movements and stock returns differs considerably among countries and also varies over time and depending on the time horizon considered. In particular, the UK shows the greatest interdependence between long-term interest rates and equity returns across time and frequencies, while the relationship is mu…
Local bank competition and small business lending after the onset of the financial crisis
2016
This paper examines whether the effects of the financial crisis on the volumes and prices of small business loans depended on the pre-crisis local competitive environment. To address this question, I employ a unique data set on Finnish cooperative banks. I find that the monthly volumes of new business loans decreased and the average loan margins increased after the onset of the crisis. The decrease in volumes and the increase in margins were greater in local banking markets that were more competitive before the crisis. The results for the loan margins are more robust than those obtained for the volumes. Auxiliary analyses suggest that the greater effects in the more competitive markets are …
Main driving factors of the interest rate-stock market Granger causality
2017
Abstract This paper investigates the causal relationship between changes in the 10-year Treasury bond yield and the S&P 500 stock return in the United Sates with emphasis on time variation, stress factors and smooth regime transition. First, the time-varying Granger causality test proposed by Lu et al. (2014) is applied. Then a two-regime multifactor smooth transition regression model with a single transition variable representing a wide range of macroeconomic and financial variables is estimated in order to identify the key explanatory factors governing the causal relationship. The results show a significant bidirectional causal relationship over most of the study period, mainly due to the…
The timeline of trading frictions in the European carbon market
2012
We evaluate the quality of prices of EU-ETS, the most active European derivative market for greenhouse gas emissions allowances (EUAs). So far, this market has had two phases, a trial phase (from 2005 to 2007) and a commitment phase (from 2008 to 2012). The true value of a trial-phase EUA at the beginning of 2008 was inevitably zero because it could not be used in the commitment phase to cover emission targets. However, continued rumors of over-allocation of EUAs led to an early collapse of the market by May 2007. We study whether this market breakdown and the subsequent outbreak of the international financial crisis had a persistent effect on the quality of the commitment phase. We provide…
How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
2007
We study the relationship between liquidity and prices in an artificial financial market where portfolio traders with limited resources interact through a continuous, electronic open book. We depart from the standard asset pricing framework in two ways. First, we assume that investors have incomplete information about the distribution of returns. Second, we model the portfolio choice problem using prospect-type preferences. We model the utility function in terms of deviations of the portfolio growth rate from a specified target growth rate, and we assume that investors are more sensitive to downside movements. We show that the parameters defining the learning process affect the price dynami…
Hidden costs of cuts: austerity, civil service management and the motivation of public officials in Central and Eastern Europe after the crisis
2016
The implementation of austerity measures presents a dilemma for governments. While austerity measures such as cutbacks aim to reduce costs and enhance public sector efficiency, the same measures might undermine the motivation of employees and, consequently, the prospects of effectively implementing austerity programmes. Based on a survey of ministerial officials in Poland and Latvia, this article finds that the scale of cutbacks explains a larger decline of staff motivation in Latvia than in Poland. The article further shows that motivation was more likely to decrease after the crisis if austerity measures involved cutbacks such as staff reductions, recruitment freezes, and a reduction of t…
Depression of the deprived or eroding enthusiasm of the elites: What has shifted the support for international trade?
2020
Abstract We use the 2003 and 2013 waves of the International Survey Program (ISSP) in order to explore the change in people’s attitudes that may be behind the recent backlash against globalization. We show that the average support for international trade has decreased in many – albeit not all – countries, and we demonstrate that these changes are related to the depth and length of the global financial crisis of 2008/09 as well as the evolution of income inequality. Moreover, our results document a declining support of those individuals who are likely to benefit from international trade: the young, high-skilled and well-off. We show that this “eroding enthusiasm of the elites” is empirically…
Entrepreneurship insolvency risk management: a case of Latvia
2011
Financial crisis and its consequences are visible in the capital adequacy of many commercial banks, which indicates that the approach banks took to assess credit risk was not sufficiently sophisticated. This article discusses practical methods of insolvency risk modelling for enterprises. In this paper, the authors analysed the accuracy of ten models developed by foreign authors to assess insolvency risk, which were validated on the database of Latvian companies. The authors have shown that models developed on historical data for foreign companies are less accurate than the model developed on the basis of financial indicators of Latvian companies. The authors developed a three-factor model …