Suchergebnisse

This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies

Cet article analyse les mécanismes de contagion au sein des marchés obligataires des États fédérés américains, mais aussi la transmission des chocs aux titres du Trésor américain. À partir du test de contagion de Forbes et Rigobon [2002], en utilisant des données journalières sur les rendements obligataires sur la période 2005-2011, deux résultats ont été obtenus. En premier lieu, nous observons des effets de contagion négatifs et significatifs entre les différents marchés obligataires des États fédérés américains : une augmentation des coûts d'emprunt dans un État fédéré améliore les conditions d'emprunt des autres États fédérés, indiquant un mécanisme de fuite vers la qualité. En second lieu, nous n'avons constaté aucun effet de contagion significatif entre les obligations municipales des États fédérés et les marchés fédéraux, sauf pour quelques grands émetteurs. En utilisant les tests de causalité dans le domaine des fréquences, nous constatons aussi que le marché des obligations du Trésor entraîne directement des changements au sein des marchés des obligations municipales à la fois à court et à long termes. Il existe également certaines preuves de causalité entre le marché des obligations municipales et celui des obligations du Trésor, mais uniquement sur le long terme. Ce dernier résultat indique que les titres du Trésor américain sont isolés des chocs survenant sur les marchés obligataires des États fédérés, soulignant l'importance de l'intégration des économies dans une union monétaire en période de crise.

This paper provides new evidence on the nature of occupational differences in unemployment dynamics, which is relevant for the debate between the structural or hysteresis hypotheses. We develop a procedure that permits us to test for the presence of a structural break at unknown date. Our approach allows the investigation of a broader range of persistence than the 0/1 paradigm about the order of integration, usually implemented for testing the hypothesis of hysteresis in occupational unemployment. In almost all occupations, we find support for both the structuralist and the hysteresis hypotheses, but stress the importance of estimating the degree of persistence of seasonal shocks along with the degree
of long-run persistence on raw data without applying seasonal filters. Indeed hysteresis appears to be underestimated when data are initially adjusted using traditional seasonal filters.

This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e. the geometric distribution) is applied to the case of the VaR forecasts validity. Using simple J-statistic based on the moments defined by the orthonormal polynomials associated with the geometric distribution, this new approach tackles most of the drawbacks usually associated to duration based backtesting procedures. First, its implementation is extremely easy. Second, it allows for a separate test for unconditional coverage, independence and conditional coverage hypothesis (Christoffersen, 1998). Third, feasibility of the tests is improved. Fourth, Monte-Carlo simulations show that for realistic sample sizes, our GMM test outperforms traditional duration based test. An empirical application for Nasdaq returns confirms that using GMM test leads to major consequences for the ex-post evaluation of the risk by regulation authorities. Without any doubt, this paper provides a strong support for the empirical application of duration-based tests for VaR forecasts.

This paper assesses whether and how financial development triggers the occurrence of banking crises. It builds on a database that includes financial development as well as financial access, depth and efficiency for almost 100 countries. Through estimation of a dynamic logit panel model, it appears that financial development, from an institutional dimension and to a lesser extent from a market dimension, triggers financial instability within a one- to two-year horizon. Additionally, whereas financial access is destabilizing for advanced countries, it is stabilizing for emerging and low income ones. Both results have important implications for macroprudential policies and financial regulations