The Transmission Mechanism of Stress in the International Banking System
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More about this item
Keywords
Banks; CIP deviations; Cross-currency basis swaps; Dynamic connectedness; TVP-VAR; Yield curves;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- F3 - International Economics - - International Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2023-05-08 (Banking)
- NEP-EEC-2023-05-08 (European Economics)
- NEP-FDG-2023-05-08 (Financial Development and Growth)
- NEP-MON-2023-05-08 (Monetary Economics)
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