 | Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece Author/Editor: Brenda Gonzalez-Hermosillo, Christian A Johnson. Release Date:May, 2014 This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines howkey European sovereign credit default swap (CDS) spreads affect each other; specifically, the more...
| Price: $18.00
|
| Global Market Conditions and Systemic Risk Author/Editor: Brenda Gonzalez-Hermosillo, Heiko Hesse. Release Date:October, 2009 This paper examines several key global market conditions, such as a proxy for market uncertainty and measures of interbank funding stress, to assess financial volatility and the likelihood of crisis. more...
| Price: $18.00
|
| Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis Author/Editor: Heiko Hesse, Nathaniel Frank, Brenda Gonzalez-Hermosillo. Release Date:August, 2008 We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A more...
| Price: $18.00
|
| Investors' Risk Appetite and Global Financial Market Conditions Author/Editor: Brenda Gonzalez-Hermosillo. Release Date:April, 2008 A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. more...
| Price: $18.00
|
| Empirical Modeling of Contagion : A Review of Methodologies Author/Editor: Mardi Dungey, Renee Fry, Vance Martin, Brenda Gonzalez-Hermosillo. Release Date:May, 2004 The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related more...
| Price: $15.00
|
| Unanticipated Shocks and Systemic Influences : The Impact of Contagion in Global Equity Markets in 1998 Author/Editor: Brenda Gonzalez-Hermosillo, Vance Martin, Renee Fry, Mardi Dungey. Release Date:April, 2003 August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises more...
| Price: $15.00
|
| International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse Author/Editor: Renee Fry, Vance Martin, Brenda Gonzalez-Hermosillo, Mardi Dungey. Release Date:April, 2002 We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in more...
| Price: $15.00
|
| The Bank of Canada's Monetary Policy Framework : Have Recent Changes Enhanced Central Bank Credibility? Author/Editor: Takatoshi Ito, Brenda Gonzalez-Hermosillo. Release Date:December, 1997 In recent years the Bank of Canada has made important changes in the way it conducts monetary policy. In particular, the bank has adopted explicit inflation targets and introduced significant changes more...
| Price: $15.00
|
| Banking System Fragility : Likelihood Versus Timing of Failure: An Application to the Mexican Financial Crisis Author/Editor: Robert Billings, Brenda Gonzalez-Hermosillo, Ceyla Pazarbasioglu. Release Date:December, 1996 This paper tests empirically the proposition that bank fragility is determined by bank-specific factors, macroeconomic conditions and potential contagion effects. The methodology allows for the more...
| Price: $15.00
|
| Banking Sector Fragility and Systemic Sources of Fragility Author/Editor: Brenda Gonzalez-Hermosillo. Release Date:February, 1996 A theoretical framework to assess the degree of fragility or, inversely, the soundness of the banking system is proposed. It is argued that, while a bank may be either solvent or insolvent at any more...
| Price: $15.00
|
|
Help