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Wednesday, October 7, 2020 | History

6 edition of Financial vulnerability, spillover effects, and contagion found in the catalog.

Financial vulnerability, spillover effects, and contagion

lessons from the Asian crises for Latin America

by Guillermo Perry

  • 24 Want to read
  • 29 Currently reading

Published by World Bank in Washington, D.C .
Written in English

    Places:
  • Asia.,
  • Latin America.
    • Subjects:
    • Banks and banking -- Asia.,
    • Financial crises -- Asia.,
    • Fiscal policy -- Latin America.,
    • Banks and banking -- Latin America.,
    • Financial crises -- Latin America.,
    • Fiscal policy -- Latin America.

    • Edition Notes

      Includes bibliographical references (p. 69).

      StatementGuillermo E. Perry and Daniel Lederman.
      SeriesWorld Bank Latin American and Caribbean studies.
      ContributionsLederman, Daniel, 1968-
      Classifications
      LC ClassificationsHG3252 .P47 1998
      The Physical Object
      Paginationviii, 69 p. :
      Number of Pages69
      ID Numbers
      Open LibraryOL360820M
      ISBN 100821342282
      LC Control Number98020908

      explore the time dimension by distinguishing between “fast-and-furious” contagion and “slow-burn” spillover effects. We explore the crocountry dimension by distinguishing ss-between regional propagation and global propagation and also by analysing the cross-sectional vulnerability of individual sovereign borrowers. This paper examines the relative importance of the global and regional markets for financial markets in developing countries, particularly during the US financial crisis and the European sovereign debt crisis. We examine the way in which the degree of regional (seven African markets combined), global (China, France, Germany, Japan, the UK and the US), commodity (gold and petroleum), and.

      In recent past, emerging market economies gradually become more interdependent, but also much vulnerable because of spillover effects (externalities) and international financial contagion. Moreover, a central characteristic of most emerging countries is the chaotic and unpredictable movement of . In what follows, a simple two-country model is developed to illustrate the role of multiple equilibria and contagion, as well as monsoonal and spillover effects. In this model, a devaluation occurs when foreign exchange reserves approach a certain critical level (as in Krugman () or Flood and Garber ()).

      In addition, our algorithm can be used to pin down the changes of the net worth (marked to market) of each bank in the system as the spillover effect spreads, so as to estimate the extent of contagion, and to provide a metric of financial resilience as well. Our framework can also be easily extended to incorporate the effect of bankruptcy costs. The measure of trade spillovers used in this chapter aggregates the price and income effects induced by the crises in other countries or, respectively, the implied appreciation of the real exchange rate and the implied decline of export market growth, as described previously. 28 Two measures of vulnerability to financial contagion were used.


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Financial vulnerability, spillover effects, and contagion by Guillermo Perry Download PDF EPUB FB2

Financial Vulnerability, Spillover Effects, and Contagion: Lessons from the Asian Crisis for Latin America (Latin Spillover effects and Caribbean Financial vulnerability by. Financial Vulnerability, Spillover Effects, and Contagion: Lessons from the Asian Crises for Latin America World Bank Latin American and Caribbean studies: Viewpoints World Bank e-Library.

Financial vulnerability, spillover effects, and contagion: Lessons from the Asian crises for Latin America Published: July ISBN:. Financial Vulnerability, Spillover Effects and Contagion: Lessons from the Asian Crisis for Latin America - World Bank Latin American & Caribbean Studies.

Viewpoints (Paperback) World Bank (author), Guillermo Perry (volume editor), Daniel Lederman (volume Financial vulnerability. Financial vulnerability, spillover effects, and contagion lessons from the Asian crises for Latin America. Financial vulnerability, spillover effects, and contagion: lessons from the Asian crises for Latin America (English) Abstract.

There is already a large and growing literature about the financial crises in Asia. Some analyses have focused on the mismanagement of the structure of foreign debt, and on the mismanagement of macroeconomic policies. with spillover effects: a multiplex network approach. Gustavo Peralta.

Ricardo Crisóstomo. Abstract. This paper presents a comprehensive model of financial contagion encompassing. both direct and indirect transmission channels. Downloadable. This paper proposes a new approach to modelling financial transmission effects.

In simultaneous systems of stock returns, fundamental shocks are identified through heteroscedasticity. The size of contemporaneous spillovers is determined in the fashion of smooth transition regression by the innovations' variances and (negative) signs, both representing typical crisis-related.

FINANCIAL CONTAGION AND VOLATILITY SPILLOVER: AN EXPLORATION INTO INDIAN COMMODITY DERIVATIVE MARKET Rudra P. Roy1&2 & Saikat Sinha Roy3 1Assistant Director, Bureau of Applied Economics and Statistics, Department of Planning, Statistics and Programme Monitoring, Government of West Bengal, India.

2Research Scholar, Department of Economics. As evidenced also by the conference participants, this year's subject of "Contagion and Spillovers – New Insights from the Crisis" turned out to be particularly topical, as first lessons from the financial crisis and global recession were being drawn, while concerns about Greece's government debt problems were threatening to spread to other countries within the euro area, with potential negative.

Financial Vulnerability, Spillover Effects, and Contagion by Guillermo Perry,Daniel Lederman Book Resume: There is already a large and growing literature about the financial crises affecting several former star economic performers in Asia.

FINANCIAL CONTAGION IN THE ERA OF GLOBALISED BANKING • One factor that made the recent financial crisis so deep and widespread is the extent and nature of international banking integration, which led to unprecedented transmission of financial instability.

• Financial contagion through international banking occurs e.g. financial contagion. This book is one of the most extensive collections, to order to reduce a nation's vulnerability to financial crises in the future. Cross-border spillover effects of.

Studies spillover effects of the recent financial crisis on emerging Asian currencies Proposes a novel approach that can be used to identify the channels of spillovers Finds evidence of financial contagion around the collapse of Lehman Brothers. Foreign investment plays an important role for the DCC in international equity markets.

kets and the effect may transmit to the whole financial system and other economic sectors within a country (Huynh, Kreinovich, Sriboonchitta, & Suriya, ). Furthermore, due to the inherent shock transmission channels, the same effect is propagated across borders, an effect termed as financial contagion (Chorafas, ).

Downloadable. This paper presents a comprehensive model of financial contagion encompassing both direct and indirect transmission channels. We introduce direct contagion through a 2-layered multiplex network to account for the distinct dynamics resulting from collateralized and uncollateralized transactions.

Moreover, the spillover effects of fire sales, haircut prociclicality and liquidity. In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from tousing a state-dependent sensitivity value-at-risk model, conditioning on the state of the financial market.

Low during normal times, the same shocks cause. In order to measure the horizontal spillover effect of financial risks among different sectors under extreme shocks, in addition to analyzing cross-market risk transmission, complex network tools provide convenient ways to analyze financial risk contagion from the perspective of correlation networks (Brunetti, Harris, Mankad, & Michailidis.

In this respect, authors argued that while contagion results in financial vulnerability and crisis, spillover effects do not necessarily result in crisis. Dornbusch et al. discussed that contagion indicates the diffusion of market disturbances between countries, a process observed through co-movements in financial indicators/markets.

In this respect, spillover is defined as one of the causes of. The Global Financial Crisis and Financial Contagion Effects in African Stock Markets Ahmadu-Bello, J. PhD thesis deposited in Curve June Original citation: Ahmadu-Bello, J. () The Global Financial Crisis and Financial Contagion Effects in African Stock Markets.

Unpublished Thesis. Coventry: Coventry University. This paper proposes to measure the spillover effects that cross liabilities generate on the magnitude of default in a system of financially linked institutions.

Based on a simple model and an explicit criterion—the aggregate debt repayments—the measure is defined for each institution, affected by its characteristics and links to others.Good examples of recent research in spillover and contagion effects in the Eurozone sovereign debt markets during the crises are Missio & Watzka (), Favero & Missale ( and Groba et al.Perry, G.

and D. Lederman () ‘Financial Vulnerability, Spillover Effects and Contagion: Lessons from the Asian Crises for Latin America’, World Bank Latin American and Caribbean Studies Viewpoints, Washington, DC: World Bank.

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