Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 19 of 19 for “"Financial contagion"”.
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Channels of financial contagion
The current contagion literature does not definitely conclude which channels of financial contagion are the most significant in transmitting crises between countries. This paper sets out to fill this gap empirically by determining which contagion channels significantly increase the probability of …
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Financial contagion in emerging markets evidence from BRICS countries
The present study examines the pure form of contagions in the BRICS countries, namely Brazil, Russia, India, China, and South Africa. The pure form of contagion refers to the propagations of shocks due to reasons that are not related macroeconomic fundamentals, and are solely the result of …
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Internally generated intangible assets the vaccine for UK listed finance industry financial contagion?
… industry due to its significant role in global financial contagion during crises. Research Design: This study used quantitative methods, employing firm-specific variables to test the hypotheses developed from existing theories. A longitudinal design was used with cross-sectional data from …
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Essays on the Economics of the Gulf Cooperation Council : Islamic Banking and Financial Contagion.
… drawn to Islamic finance during the 2007 financial crisis when Islamic banks outperformed conventional banks in terms of profitability, asset growth, liquidity and solvency. The comparative performance between Islamic and conventional banks in the face of the financial crisis deserves …
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Harnessing the power of intersection for data disaggregation: a novel similarity measure and unsupervised data-driven classification method applied to financial contagion
… method in the present study is to support financial investors in the portfolio diversification process by providing a less arbitrary approach to quantify similarity levels between investment alternatives (pairwise) as well as revealing the clustering structure (whole sample) and data …
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Currencies' exchange rate trend-before and after financial crisis
Do financial crises tend to arise together? Recent financial crisis that has originated from credit crisis in US in 2008 spread throughout countries ranging from Asia, to Europe, to Africa. Generally a shock to one country's asset market that causes changes in asset prices in another country's …
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Essays in the Gulf Cooperation Council economies and market dynamics
… whether the oil dynamics have acted as a contagion transmission channel, which would have imported the uncertainty pertaining to the Global Financial Crisis from the western economies to the, admittedly secluded, GCC stock markets. The first chapter of the thesis lays out key background …
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Systemic Risk in Financial Networks
… model based approach to study systemic risk in financial networks. In particular, I have worked on generalized extensions of the Eisenberg--Noe [2001] framework to account for realistic financial situations viz. pricing of corporate debt while accounting for network effects, asset liquidation …
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Financial Network Stability and Structure: Econometric and Network Analysis
Since the Global Financial Crisis, the literature of financial networks analysis has been trying to investigate the changes in the financial networks structure, that led to the instability of the financial system. The Global Financial Crisis followed by the Great Recession costed taxpayers an …
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Contagion by shared financial intermediary in the pre-1914 London sovereign debt market
This thesis consists of one empirical essay on contagion (co-authored with Joao Manoel Pinho de Mello¹ and Marcelo de Paiva Abreu²). We document a novel type of international financial contagion whose driving force is shared financial intermediation. In the London peripheral sovereign debt market …
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The effects of contagion during the global financial crisis in government-regulated and sponsored assets in emerging markets
The effects of financial contagion during the Global Financial Crisis (GFC) have been extensively studied in the finance literature. One of the key issues is the devastating effect of the crisis on wealth and asset prices. However, an important difference between this crisis and past crises was the …
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Essays in empirical finance
… chapter develops a measure of international financial contagion using a semi structural approach.
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Learning, dynamics of beliefs, and asset pricing
… The third chapter investigates the role of contagion during the Great Depression. The Great Depression was a worldwide phenomenon, accompanied by financial crisis. I investigate whether financial contagion contributed to the spread of the Great Depression across countries. Contagion happens …
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Financial innovations and macroeconomic stability: an assessment of contingent convertible bonds
… that could not repay. This resulted in a financial crisis that then spread to the real sector via other balance sheet effects (a drop in the net worth of the household sector and therefore in its consumption, a sharp contraction in credit etc.). To prevent this from happening again, …
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Modelling financial volatility using Bayesian and conventional methods
… with duration information. Chapter 2: We examine contagion effects resulting from the US subprime crisis on a sample of EU countries (UK, Switzerland, Netherlands, Germany and France) using a Multivariate Stochastic Volatility (MSV) framework augmented with implied volatilities. The MSV framework …
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Theoretical and empirical evidence of the influence of economic linkages on stock returns
… cash-flow from sales. This is a problem because financially distressed suppliers can pose significant risk to the economic activity of customers that rely on them for goods and services. A case in point is the heavy loss suffered by General Motors when its equipment and parts supplier Delphi went …
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Shadow banking, financial stability and economic performance: implications for regulation in emerging economies
… advanced economies during and after the global financial crisis of 2007/2008. The importance of the study of the shadow banking sector stems from the need to identify the channels through which it benefits the economy and also channels through which it can become detrimental to economic …
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Essays in International Finance and Macroeconomics
… insulating their domestic economies from global financial shocks. The second chapter, which is written in collaboration with Caterina Mendicino and Luigi Falasconi, incorporates realistic financial linkages into an otherwise standard two-country DSGE model to quantitatively explore various …