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Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
(2012-09-01)
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the ...
Trust in Government and Fiscal Adjustments
(2013-06-04)
The paper looks at the determinants of fiscal adjustments as reflected in the primary surplus of countries. Our conjecture is that governments will usually find it more attractive to pursue fiscal adjustments in a situation ...
Systemic Risk and Sovereign Debt in the Euro Area
(2013-12-13)
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ...
Measuring Sovereign Contagion in Europe
(2015-04-01)
This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric ...
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
(2017-11-05)
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ...
High-Dimensional Sparse Financial Networks through a Regularised Regression Model
(2019-02-12)
"We propose a shrinkage and selection methodology specifically designed for network inference using high dimensional data through a regularised linear regression model with Spike-and-Slab prior on the parameters. The ...
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