Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements
Author
Abstract
Suggested Citation
Note: View the original document on HAL open archive server: https://hal.science/hal-04140856
Download full text from publisher
Other versions of this item:
- Dima Rahman, 2014. "Are banking systems increasingly fragile? Investigating financial institutions' CDS returns extreme co-movements," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 805-830, May.
- Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris Nanterre, EconomiX.
References listed on IDEAS
- P. Hartmann & S. Straetmans & C. G. de Vries, 2004.
"Asset Market Linkages in Crisis Periods,"
The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, February.
- Casper G. De Vries & Philipp Hartman & Stefan Straetmans, 2001. "Asset market linkages in crisis periods," Proceedings 727, Federal Reserve Bank of Chicago.
- P. Hartmann & S. Straetmans & C.G. de Vries, 2001. "Asset Market Linkages in Crisis Periods," Tinbergen Institute Discussion Papers 01-071/2, Tinbergen Institute.
- de Vries, Casper & Hartmann, Philipp & Straetmans, Stefan, 2001. "Asset Market Linkages in Crisis Periods," CEPR Discussion Papers 2916, C.E.P.R. Discussion Papers.
- Hartmann, P. & Straetmans, S. & De Vries, C.G., 2001. "Asset Market Linkages in Crisis Periods," Papers 71, Quebec a Montreal - Recherche en gestion.
- Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2001. "Asset market linkages in crisis periods," Working Paper Series 71, European Central Bank.
- Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
- Taimur Baig & Ilan Goldfajn, 1999.
"Financial Market Contagion in the Asian Crisis,"
IMF Staff Papers, Palgrave Macmillan, vol. 46(2), pages 1-3.
- Mr. Taimur Baig & Mr. Ilan Goldfajn, 1998. "Financial Market Contagion in the Asian Crisis," IMF Working Papers 1998/155, International Monetary Fund.
- Ilan Goldfajn & Taimur Baig, 1999. "Financial market contagion in the Asian crisis," Textos para discussão 400, Department of Economics PUC-Rio (Brazil).
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005.
"Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market,"
Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
- Francois Chesnay & Eric Jondeau, 2001.
"Does Correlation Between Stock Returns Really Increase During Turbulent Periods?,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, February.
- Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.
- Norden, Lars & Weber, Martin, 2004.
"The comovement of credit default swap, bond and stock markets: An empirical analysis,"
CFS Working Paper Series
2004/20, Center for Financial Studies (CFS).
- Weber, Martin & Norden, Lars, 2004. "The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis," CEPR Discussion Papers 4674, C.E.P.R. Discussion Papers.
- Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003.
"A New Approach to Measuring Financial Contagion,"
The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 717-763, July.
- Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2000. "A New Approach to Measuring Financial Contagion," NBER Working Papers 7913, National Bureau of Economic Research, Inc.
- Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2001. "A new approach to measuring financial contagion," Proceedings 743, Federal Reserve Bank of Chicago.
- Helen Haworth & Christoph Reisinger & William Shaw, 2008. "Modelling bonds and credit default swaps using a structural model with contagion," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 669-680.
- Engle, Robert F & Sheppard, Kevin K, 2001.
"Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH,"
University of California at San Diego, Economics Working Paper Series
qt5s2218dp, Department of Economics, UC San Diego.
- Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
- Kim, Tae-Hwan & White, Halbert, 2004. "On more robust estimation of skewness and kurtosis," Finance Research Letters, Elsevier, vol. 1(1), pages 56-73, March.
- Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
- Kristin J. Forbes & Roberto Rigobon, 2002.
"No Contagion, Only Interdependence: Measuring Stock Market Comovements,"
Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
- Tse, Y. K., 2000.
"A test for constant correlations in a multivariate GARCH model,"
Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
- Tom Doan, "undated". "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.
- Tom Doan, "undated". "TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model," Statistical Software Components RTS00214, Boston College Department of Economics.
- De Vries, C.G., 2005. "The simple economics of bank fragility," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 803-825, April.
- Jorion, Philippe & Zhang, Gaiyan, 2007. "Good and bad credit contagion: Evidence from credit default swaps," Journal of Financial Economics, Elsevier, vol. 84(3), pages 860-883, June.
- Virginie Coudert & Mathieu Gex, 2008. "Contagion in the Credit Default Swap Market: the case of the GM and Ford Crisis in 2005," Working Papers 2008-14, CEPII research center.
- Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
- Brian H. Boyer & Michael S. Gibson & Mico Loretan, 1997. "Pitfalls in tests for changes in correlations," International Finance Discussion Papers 597, Board of Governors of the Federal Reserve System (U.S.).
- Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
- Elton, Edwin J. & Gruber, Martin J. & Agrawal, Deepak & Mann, Christopher, 2004. "Factors affecting the valuation of corporate bonds," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2747-2767, November.
- Philippe Jorion & Gaiyan Zhang, 2009. "Credit Contagion from Counterparty Risk," Journal of Finance, American Finance Association, vol. 64(5), pages 2053-2087, October.
- Bera, Anil K. & Kim, Sangwhan, 2002. "Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 171-195, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Ansgar Belke & Christian Gokus, 2011.
"Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions,"
Discussion Papers of DIW Berlin
1107, DIW Berlin, German Institute for Economic Research.
- Belke, Ansgar & Gokus, Christian, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 243, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Rosella Giacometti & Gabriele Torri & Kamonchai Rujirarangsan & Michela Cameletti, 2023. "Spatial Multivariate GARCH Models and Financial Spillovers," JRFM, MDPI, vol. 16(9), pages 1-23, September.
- Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
- Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 0243, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- repec:zbw:rwirep:0243 is not listed on IDEAS
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kim, Bong-Han & Kim, Hyeongwoo & Lee, Bong-Soo, 2015.
"Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries,"
International Review of Economics & Finance, Elsevier, vol. 39(C), pages 192-210.
- Bong-Han Kim & Hyeongwoo Kim, 2011. "Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2011-04, Department of Economics, Auburn University.
- Bong-Han Kim & Hyeongwoo Kim & Bong-Soo Lee, 2012. "Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2012-06, Department of Economics, Auburn University.
- Bong-Han Kim & Hyeongwoo Kim & Bong-Soo Lee, 2015. "Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2015-01, Department of Economics, Auburn University.
- Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
- Yeh, Jin-Huei & Yun, Mu-Shu, 2023. "Assessing jump and cojumps in financial asset returns with applications in futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
- Hans Manner & Bertrand Candelon, 2010.
"Testing For Asset Market Linkages: A New Approach Based On Time‐Varying Copulas,"
Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 364-384, August.
- Manner, H. & Candelon, B., 2007. "Testing for asset market linkages: a new approach based on time-varying copulas," Research Memorandum 052, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Degryse, H.A. & Elahi, M.A. & Penas, M.F., 2012.
"Determinants of Banking System Fragility : A Regional Perspective,"
Other publications TiSEM
1e72ac2e-21f6-423e-8612-c, Tilburg University, School of Economics and Management.
- Degryse, Hans & Penas, Maria Fabiana & Elahi, Muhammad Ather, 2012. "Determinants of Banking System Fragility: A Regional Perspective," CEPR Discussion Papers 8858, C.E.P.R. Discussion Papers.
- Degryse, Hans & Elahi, Muhammad Ather & Penas, María Fabiana, 2013. "Determinants of banking system fragility: a regional perspective," Working Paper Series 1567, European Central Bank.
- Degryse, H.A. & Elahi, M.A. & Penas, M.F., 2012. "Determinants of Banking System Fragility : A Regional Perspective," Discussion Paper 2012-015, Tilburg University, Center for Economic Research.
- Degryse, H.A. & Elahi, M.A. & Penas, M.F., 2012. "Determinants of Banking System Fragility : A Regional Perspective," Other publications TiSEM 15e03b14-3a9b-4ce8-9c1f-4, Tilburg University, School of Economics and Management.
- Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
- Annastiina Silvennoinen & Timo Teräsvirta, 2009.
"Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model,"
Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, Department of Economics and Business Economics, Aarhus University.
- Garcia, René & Tsafack, Georges, 2011.
"Dependence structure and extreme comovements in international equity and bond markets,"
Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
- René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO.
- Paulo Horta & Carlos Mendes & Isabel Vieira, 2010.
"Contagion effects of the subprime crisis in the European NYSE Euronext markets,"
Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 9(2), pages 115-140, August.
- Isabel Maria Pereira Viegas Vieira, 2009. "Contagion Effects of the Subprime Crisis in the European NYSE-Euronext Markets," CEFAGE-UE Working Papers 2009_01, University of Evora, CEFAGE-UE (Portugal).
- Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.
- Elahi, M.A., 2011. "Essays on financial fragility," Other publications TiSEM 882f55bb-10dc-4e49-95ef-e, Tilburg University, School of Economics and Management.
- M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
- Wen, Xiaoqian & Wei, Yu & Huang, Dengshi, 2012. "Measuring contagion between energy market and stock market during financial crisis: A copula approach," Energy Economics, Elsevier, vol. 34(5), pages 1435-1446.
- Zouheir Mighri & Faysal Mansouri, 2013. "Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 637-661.
- Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
- Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
- Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
- Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Lorán Chollete & Andréas Heinen & Alfonso Valdesogo, 2009.
"Modeling International Financial Returns with a Multivariate Regime-switching Copula,"
Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 437-480, Fall.
- Loran , CHOLLETTE & Andreas , HEINEN & Alfonso , VALDESOGO, 2008. "Modelling international financial returns with a multivariate regime switching copula," Discussion Papers (ECON - Département des Sciences Economiques) 2008011, Université catholique de Louvain, Département des Sciences Economiques.
- Chollete, Loran & Heinen, Andreas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," MPRA Paper 8114, University Library of Munich, Germany.
- CHOLLETE, Loran & HEINEN, Andréas & VALDESOGO, Alfonso, 2008. "Modeling international financial returns with a multivariate regime switching copula," LIDAM Discussion Papers CORE 2008013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers 2008/3, Norwegian School of Economics, Department of Business and Management Science.
More about this item
Keywords
Bank fragility; Counterparty risk; Financial crises; Extreme co-movements; Conditional correlation; Multivariate GARCH; Monte Carlo simulation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-04140856. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.