Contagion and risk premia in the amplification of crisis: evidence from Asian names in the global CDS market
In: The international financial crisis and policy challenges in Asia and the Pacific
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- Kim, Don H. & Loretan, Mico & Remolona, Eli M., 2010. "Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market," Journal of Asian Economics, Elsevier, vol. 21(3), pages 314-326, June.
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Citations
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Cited by:
- Hsien-Yi Lee, 2012. "Contagion in International Stock Markets during the Sub Prime Mortgage Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 41-53.
- Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2015. "Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 241-259.
- Hsien-Yi LEE, 2011. "Contagion in International Stock Markets During the sub Prime Mortgage Crisis," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 141-158, December.
- Martha López, 2015.
"Asset price bubbles and monetary policy in a small open economy,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 33(77), pages 93-102, June.
- Martha López, 2015. "Asset price bubbles and monetary policy in a small open economy," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 33(77), pages 93-102, June.
- Martha López, 2014. "Asset Price Bubbles and Monetary Policy in a Small Open Economy," Borradores de Economia 837, Banco de la Republica de Colombia.
- Martha López, 2014. "Asset Price Bubbles and Monetary Policy in a Small Open Economy," Borradores de Economia 12023, Banco de la Republica.
- Xin Huang & Hao Zhou & Haibin Zhu, 2012.
"Systemic Risk Contributions,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 55-83, October.
- Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 36-43, Bank for International Settlements.
- Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
- Falik shear & Hilal Anwar Butt & Imtiaz Badshah, 2017. "An analysis of the relationship between the sovereign credit default swaps and the stock market of Pakistan through handling outliers," Proceedings of Economics and Finance Conferences 4807486, International Institute of Social and Economic Sciences.
- Seungjun Lee & Jaewoon Koo & Youngsik Kwak, 2014. "Determinants Of Common Factors In Korean Banks’ Credit Default Swap Premiums," American Journal of Economics and Business Administration, Science Publications, vol. 6(3), pages 100-108, December.
- Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Spillovers among CDS indexes in the US financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 104-113.
- Riadh El Abed & Sahar Boukadida & Warda Jaidane, 2019. "Financial Stress Transmission from Sovereign Credit Market to Financial Market: A Multivariate FIGARCH-DCC Approach," Global Business Review, International Management Institute, vol. 20(5), pages 1122-1140, October.
- Rebecca Craigie & Anella Munro, 2010. "Financial sector amplification and credit cycles in New Zealand," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 73, pages 15-34, June.
- Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
- Ju-Fang Yen & Chih-Yung Lin & Yan-Shing Chen & Ying-Chen Huang, 2015. "Founding Family Firms and Bank Loan Contracts," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(1), pages 53-82, August.
- Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
- Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 363-377.
- Jessica Leutert, 2018. "The Swiss franc safety premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-21, December.
- Zalán Kocsis, 2013. "Global, Regional and Country-Specific Components of Financial Market Indicators: An Extraction Method and Applications," MNB Working Papers 2013/3, Magyar Nemzeti Bank (Central Bank of Hungary).
- Andrew Filardo, 2011. "The Impact of the International Financial Crisis on Asia and the Pacific: Highlighting Monetary Policy Challenges from a Negative Asset Price Bubble Perspective," BIS Working Papers 356, Bank for International Settlements.
- repec:ipg:wpaper:2014-451 is not listed on IDEAS
- Andrew Filardo & Jason George & Mico Loretan & Guonan Ma & Anella Munro & Ilhyock Shim & Philip Wooldridge & James Yetman & Haibin Zhu, 2010. "The international financial crisis: timeline, impact and policy responses in Asia and the Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 21-82, Bank for International Settlements.
- Dewandaru, Ginanjar & Masih, Rumi & Masih, Mansur, 2017. "Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis," Economic Modelling, Elsevier, vol. 65(C), pages 30-40.
- Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Nephil Matangi Maskay, 2010. "Macro-Financial Links and Monetary Policy Management," Research Studies, South East Asian Central Banks (SEACEN) Research and Training Centre, number rp78, April.
- Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017.
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Emerging Markets Review, Elsevier, vol. 30(C), pages 66-95.
- Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
- Dewandaru, Ginanjar & Alaoui, Abdelkader & Masih, A. Mansur M. & Alhabshi, Syed Othman, 2013. "Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis," MPRA Paper 56980, University Library of Munich, Germany.
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