Search results for "Spillover effect"
showing 10 items of 47 documents
The Effect of Credit Rating Events on the Emerging CDS Market
2017
We document the cross-border spillover impact of S&P sovereign credit rating events on sovereign CDS using an extensive sample of emerging economies. First, we find on average a competition (imitation) effect of downgrades (upgrades) among emerging portfolios. Results confirms that non-event portfolios responds positively to credit deteriorations in terms of an improvement in sovereign credit risk. Second, the sovereign credit risk of non-event countries within the same portfolio benefit (suffer) from downgrades (upgrades). As expected, this implies a competition effect in terms of sovereign credit risk. Moreover, we find that downgrades are more likely to spill over into other emerging mar…
Bank fragility and contagion: Evidence from the bank CDS market
2016
Understanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) data, we provide a framework for the evaluation of contagion among banks in different countries and regions during a period of prolonged financial distress. We measure contagion in terms of return spillovers, following a Generalized VAR (GVAR) approach. In addition, we propose an innovative framework to distinguish between two types of contagion: systematic (linked to global factors), and idiosyncratic (linked to bank specific factors). We find evidence of both types of co…
Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data
2012
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results show significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in the case of negative announcements. Announcements are not anticipated at 1–2 months horizon but there is bi-directional causality between ratings and spreads within 1–2 weeks; spillover effects especially among EMU countries and from lower rated countries to higher rated countries; and persistence effects for recently downgraded countrie…
Entrepreneurial innovativeness and growth ambitions in thick vs. thin regional innovation systems
2018
Research in economic geography has paid increasing attention to regional innovation systems (RISs) as a potential vehicle for growth and development. Yet despite an increasing amount of research st...
Empreendedorismo, inovação e internacionalização: o papel moderador das instituições
2021
Abstract The favorable effects of innovation and internationalization on the development of the economies of countries have been prominent factors in multiple management studies. The objective of this document is to make a theoretical review of the studies contained in the ScienceDirect (Elsevier) and ResearchGate databases, to offer an integrating framework of those institutional factors in the countries that favor the positive spillover of these two strategic actions carried out by companies: innovation and internationalization. As a result, we observed that an institutional framework characterized by a simplification of bureaucratic administrative procedures to access the financial resou…
When do cooperation and commitment matter in a monetary union?
2013
International audience; This paper offers a framework to study strategic interactions between private players, national fiscal authorities and a common central bank in monetary unions. We establish general conditions, in terms of restrictions on spillover effects of actions by private and public players, under which games that differ in the degree of cooperation and commitment can admit the same equilibrium outcome. We use these conditions to characterize benchmark results on the irrelevance of cooperation and commitment established in recent literature. Moreover, we show for a general setting, in which the benchmark results do not apply, that gains from fiscal cooperation depend on the num…
Contagious loan default
2018
© 2018 Elsevier B.V. Applying survival analysis to a large loan-level dataset for regulatory purposes on group loans provided by Mexican banks, I find that ex-post credit risk is subject to substantial geographic spillover effects. Potential underlying mechanisms include contagious defaulting behavior, which bears the risk of proliferating into a repayment crisis in the event of an economic or political shock, as experiences from similar markets suggest. ispartof: ECONOMICS LETTERS vol:170 pages:14-18 status: Published online
A Neofunctionalist Perspective on the ‘European Refugee Crisis’: The Case of the European Border and Coast Guard
2017
Initial literature on the ‘European refugee crisis’ discerned intergovernmental tendencies in its management. This paper examines whether neofunctionalism may be able to explain a major case of ‘European refugee crisis’ policy-making, the negotiations on the European Border and Coast Guard regulation. We argue, somewhat counterintuitively, that the theory considerably furthers our respective understanding. The crisis acted as a catalyst exposing the weaknesses of a system that pitted a supranational Schengen against a largely intergovernmental external border regime, notwithstanding a developing Frontex. These dysfunctionalities have been widely fostered by both national and supranational d…
Patents, technological inputs and spillovers among regions
2009
This paper analyses the importance of different technological inputs (R&D and human capital) and different spillovers in explaining the differences in patenting among Spanish regions in the period 1986-2003. The analysis is based on the estimation of a knowledge production function. A region¿s own R&D activities and human capital are observed to have a positive significant effect on innovation output, measured by the number of patents. R&D spillovers weighted by the distance and the volume of trade flows between regions cause positive effects on a region¿s patents. However, distance matters more than the intensity of trade flows and the R&D spillover effects between regions are bounded: spi…
On the property of diffusion in the spatial error model.
2005
International audience; The aim of this paper is to illustrate the property of global spillover effects in the first-order spatial autoregressive error model and the associated diffusion process of spatial shocks. An application is provided on a sample of 145 regions over 1989–1999 and highlights the most influential regions.