Last edited by Niran
Monday, July 20, 2020 | History

2 edition of Contagion and volatility with imperfect credit markets found in the catalog.

Contagion and volatility with imperfect credit markets

Pierre-Richard AgГ©nor

Contagion and volatility with imperfect credit markets

by Pierre-Richard AgГ©nor

  • 251 Want to read
  • 16 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Credit -- Econometric models.,
  • Bank deposits -- Econometric models.,
  • Bank loans -- Econometric models.,
  • Intermediation (Finance) -- Econometric models.,
  • Capital market -- Econometric models.,
  • Banks and banking, International -- Econometric models.,
  • Default (Finance) -- Econometric models.

  • Edition Notes

    StatementPierre-Richard Agénor, Joshua Aizenman.
    SeriesNBER working paper series -- working paper 6080, Working paper series (National Bureau of Economic Research) -- working paper no. 6080.
    ContributionsAizenman, Joshua., National Bureau of Economic Research.
    The Physical Object
    Pagination23, [7] p. :
    Number of Pages23
    ID Numbers
    Open LibraryOL22405542M

    This paper investigates empirically the relevance of external, domestic, and financial weaknesses as well as trade and financial linkages in inducing financial crises for a sample of 61 emerging market and industrial countries. A panel probit estimation finds these economic indicators to be significant for emerging market countries during the Mexican, Asian, and Russian crises.   This paper proposes a novel approach to assessing volatility contagion across equity markets. I decompose the variance risk premia of three major stock indices into: crash and non-crash risk components and analyse their cross-market correlations. I find that crash-risk premia exhibit higher correlations than non-crash risk premia, implying the.

    This paper investigates contagion across stock and currency markets of China, Eurozone, India, Japan and US during global financial crisis and Eurozone crisis. The crisis periods are selected using Markov-switching models for US and Eurozone markets. We, then, utilize the DCC-GARCH model to estimate conditional correlation among the assets and test for contagion/flight to .   The contagion tests imply that the South-East Asian stock markets have a strong interrelationship in regards to market integration. However, the implementation of economic strategies and adaption of financial systems and regulation in each country can bring the stock market : Paramin Khositkulporn.

      Credit Insights Contagion From Equity Market Volatility Spreads to Corporate Bond Market The spike in volatility last week drove a "risk off" sentiment among investors, which sent prices of risky. Luis Oganes is Head of EM Local Markets Strategy and Latin America Research at J. P. Morgan where he started working in September He drives the flagship publications of the Emerging Markets Research group; manages the strategy teams in charge of identifying investment opportunities in currencies and local bond markets in Emerging Asia, EMEA EM, and Latin .


Share this book
You might also like
Discipline in the public schools

Discipline in the public schools

Pauvrette

Pauvrette

Spinning wheels

Spinning wheels

OPECs proposal to peg the price of oil exports to special drawing rights

OPECs proposal to peg the price of oil exports to special drawing rights

Metalepsis 2.

Metalepsis 2.

Handbook of European Union

Handbook of European Union

Dalis mustache

Dalis mustache

Matthew Pariss English history

Matthew Pariss English history

history of engineering and science in the Bell system.

history of engineering and science in the Bell system.

Hideaway

Hideaway

Organizational adaptation in higher education

Organizational adaptation in higher education

Fiction writing frames

Fiction writing frames

Contagion and volatility with imperfect credit markets by Pierre-Richard AgГ©nor Download PDF EPUB FB2

Contagion and volatility with imperfect credit markets. Cambridge, MA: National Bureau of Economic Research, © (OCoLC) Material Type: Internet resource: Document Type: Book, Internet Resource: All Authors / Contributors: Pierre-Richard Agénor; Joshua Aizenman; National Bureau of Economic Research.

Get this from a library. Contagion and volatility with imperfect credit markets. [Pierre-Richard Agénor; Joshua Aizenman; National Bureau of Economic Research.] -- Abstract: This paper interprets contagion effects as a perceived increase (triggered by events occurring elsewhere) in the volatility of aggregate shocks impinging on the domestic economy.

This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic economy. The implications of this approach are analyzed in a model with two types of credit market imperfections: domestic banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results from working.

Contagion and Volatility with Imperfect Credit Markets Article (PDF Available) in IMF Staff Papers 45(2) February with Reads How we measure 'reads'.

Contagion and Volatility with Imperfect Credit Markets Pierre-Richard Agenor, Joshua Aizenman. NBER Working Paper No. Issued in July NBER Program(s):International Finance and Macroeconomics This paper interprets contagion effects as a perceived increase (triggered by events occurring elsewhere) in the volatility of aggregate shocks impinging on Cited by: This paper analyzes contagion and volatility with imperfect credit markets.

The paper interprets contagion effects as an increase in the volatility of shocks impinging on the economy. The implications of this approach are analyzed in a model in which domestic banks borrow at a premium on world capital markets, and domestic producers borrow at a premium from.

Contagion and Volatility with Imperfect Credit Markets By Pierre-Richard Agenor and Joshua Aizenman. Full Text of This Article (PDF 1, K). Abstract: This paper interprets contagion effects as an increase in the volatility of shocks impinging on the implications of this approach are analyzed in a model in which domestic banks borrow at a premium on world capital markets.

Joshua Aizenman & Pierre-Richard Agénor, "Contagion and Volatility with Imperfect Credit Markets," IMF Working Papers 97/, International Monetary Fund. Pierre-Richard Agenor & Joshua Aizenman, "Contagion and Volatility with Imperfect Credit Markets," NBER Working PapersNational Bureau of Economic Research, Inc.

Downloadable. This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic economy. The implications of this approach are analyzed in a model with two types of credit market imperfections: domestic banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results.

The approach is motivated by the standard definition in the literature of contagion as a significant increase in correlation between volatility indices in different markets during a crisis period, beyond the linkages in fundamentals (Boyer et al.,Forbes and Rigobon, ).

2 It is also based on recent empirical evidence which shows that. Books A - Z; Journals A - Z; Videos; 45, Issue 2, June ISSN: (Print) X (Online) In this issue (8 articles) OriginalPaper. Contagion and Volatility with Imperfect Credit Markets.

Pierre-Richard Download PDF (KB) OriginalPaper. Labor Market Institutions and Unemployment Dynamics in Transition Economies. Abstract. This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic economy.

The implications of this approach are analyzed in a model with two types of credit market imperfections: domestic banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results from.

Title: Contagion and Volatility with Imperfect Credit Markets Created Date: 3/12/ AM. Contagion and Volatility with Imperfect Credit Markets. By Pierre-Richard Agenor and Joshua Aizenman. Download PDF ( KB) Abstract. This paper interprets contagion effects as a perceived increase (triggered by events occurring elsewhere) in the volatility of aggregate shocks impinging on the domestic economy.

where the subscript mkt stands for market, V aR reg is the regulatory value at risk, SV aR reg is the stressed value at risk, IRC stands for incremental risk charge due to the counterpart credit risk. SSRC embraces the risk of loss from changes in the market value of a position that could result from factors other than market movements and includes event risk, default risk, and.

markets, resulting in reduced market liquidity, increased price volatility in both markets, and increased correlation. Through this mechanism, the wealth effect leads to contagion. This mechanism is consistent with the report pub-lished by Bank for International Settlements ~BIS.

and empirical stud-ies of Kaminsky and Reinhart ~!. The idea that there may be volatility spillovers across markets also has been examined by Hamao, Masulis, and Ng (). They used a GARCH-based model of volatility and found that higher lagged volatility in both own and other markets was associated with higher current volatility.

Contagion and Volatility with Imperfect Credit Markets. IMF Working Paper. International Monetary Fund. International Monetary Fund, Direction of Trade Statistics. Washing-ton D.C. _____, Current explanations of contagion often focus on cases where markets may stabilize at one of two or more possible levels.

In such. Agénor, Pierre-Richard and Aizenman, Joshua () Contagion and volatility with imperfect credit markets. IMF Staff Pap – Aliaga-Díaz, Roger and Olivero, María Pía () The cyclicality of price–cost margins in banking: An empirical analysis of its determinants.

Financial Market Volatility and International Reserve Holding Behaviour: A Case Study for Korea, and institutions can play a large role in causing or amplifying financial crises because of balance sheet effects and contagion, among others.

“ Credit Rationing in Markets with Imperfect Information.” American Economic Review 71 (3). The model presented addresses issues that have recently been discussed under the term ‘financial contagion’.

I analyze a situation where the fractions of repaid loans (i.e., the returns on lending) in two domains (e.g., industries or countries) are driven by two independent factors, one specific to the domain and the other a general factor. The fact that these different factors are.CONTAGION AND VOLATILITY WITH IMPERFECT CREDIT MARKETS Yh =n (1++o +8+eh), P Eh is a producer-specific, idiosyncratic shock with zero mean.Mr Ballantyne said credit markets would remain volatile, as banks still relied heavily on offshore wholesale funding.

They were still worried about euro-debt contagion and general market volatility.