Suchergebnisse

Cover Page; Title Page; Copyright Page; Contents; Tables; Figures; I. Introduction; II. Methodology; 1. U.S. and EU-wide Stress Tests (2009-2013); III. Results; A. Results for EU Stress Tests; 2. Average Cumulative Abnormal Returns and their Significance at the Announcement and the Results Release of the Stress Tests; 3. Market Reaction to U.S. and EU Stress Tests; B. Results of U.S. Stress Tests; IV. Interpretation of Results; 1. Average CARs for Stressed Banks following the Publication of Stress Test Results; V. Differences in the Governance of Stress Tests; A. Comparison Among EU Exercises

We propose a nonparametric test that distinguishes "depressions" and "booms" from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between 1919 and 2009, including the Great Depression and the World War II boom. Our results suggest that the recent Great Recession does not qualify as a depression. Multinomial logistic regressions show that stock returns, output growth, and inflation exhibit predictive power for depressions. Surprisingly, the term spread is not a leading indicator of depressions, in contrast to recessions.

The potential mutation of the Sub-Prime banking crisis into a sovereign debt one in Euro area countries is investigated. After reviewing the criteria used to measure the debt vulnerability, the balance sheet approach (BSA) is presented in order to illustrate the potential connections between these two types of crises. A graphical analysis yields evidence that at the end 2009 the probability of observing a Euro area country defaulting is less likely than six month before. Nevertheless, the serious threats, which concern Greece and Ireland, do not permit us to exclude the occurrence of a contagious, or self-fulfilling, sovereign debt or currency crises in Euro area in the future.

Global vector autoregressive (GV AR) models are one of the most established econometric frameworks to measure shock transmission in economics and finance. Nevertheless, they are based on ad hoc matrices of distance W, proxying for the tightness of the interconnections among nodes/countries/markets. This paper shows that GV AR can be restated as a specific form of structural VAR and derives the corresponding restrictions. Therefore, it elaborates a simple likelihood ratio test for the validity of the proposed W. Simulation studies show satisfactory asymptotic size and power, and we propose the use of the wild bootstrap version of the test to avoid finite sample distortions. The empirical exercise addresses euro area sovereign bond spread modeling on the onset of the euro area debt crisis. The new test rejects the validity of the W matrix used by Favero (2013) based on fiscal distance and that estimated as in Gross (2019). The nonrejected W matrix however yields important insights. Apartfromthetightnessofinterconnection, thismatrixtakesintoaccountthesplit between foreign countries having a positive (contagion) and negative (flight-to-safety) effects on domestic sovereign yield spreads, highlighting the asymmetric shock transmission in Euro Area government bond markets even before the occurrence of the 2010 sovereign debt crisis.

Global vector autoregressive (GV AR) models are one of the most established econometric frameworks to measure shock transmission in economics and finance. Nevertheless, they are based on ad hoc matrices of distance W, proxying for the tightness of the interconnections among nodes/countries/markets. This paper shows that GV AR can be restated as a specific form of structural VAR and derives the corresponding restrictions. Therefore, it elaborates a simple likelihood ratio test for the validity of the proposed W. Simulation studies show satisfactory asymptotic size and power, and we propose the use of the wild bootstrap version of the test to avoid finite sample distortions. The empirical exercise addresses euro area sovereign bond spread modeling on the onset of the euro area debt crisis. The new test rejects the validity of the W matrix used by Favero (2013) based on fiscal distance and that estimated as in Gross (2019). The nonrejected W matrix however yields important insights. Apartfromthetightnessofinterconnection, thismatrixtakesintoaccountthesplit between foreign countries having a positive (contagion) and negative (flight-to-safety) effects on domestic sovereign yield spreads, highlighting the asymmetric shock transmission in Euro Area government bond markets even before the occurrence of the 2010 sovereign debt crisis.

What role does polyarchy (and thus increased democracy) play in aiding the development of an international financial centre? We find support for decades of theorising that some jurisdictions use autocracy (less polyarchy) to help grow out their financial centres. We look at the growth of these financial centres as the extent to which they attract more funds from abroad (cross-border bank liabilities). Polyarchy decreases as other international financial centres' centrality in the global financial centre network expands. Polyarchy increases in most jurisdictions over time because some financial centres rely on increasingly polyartic governance as a way to foster financial innovation through increased participation by non-previously powerful sectors. Namely, the growth of an international financial centre's centrality in global financial networks relies on tapping down on polyarchy. Yet, such polyarchy – when used by some very central jurisdictions to remain central – "spreads." We model such a relationship between polyarchy and centrality in the global financial network, describing even the most complex quantitative analysis in a way a non-specialist can understand. These results could impact decisions ranging from Brexit to Hong Kong's autonomy in its post-2047 period.

The potential mutation of the Sub-Prime banking crisis into a sovereign debt one in Euro area countries is investigated. After reviewing the criteria used to measure the debt vulnerability, the balance sheet approach (BSA) is presented in order to illustrate the potential connections between these two types of crises. A graphical analysis yields evidence that at the end 2009 the probability of observing a Euro area country defaulting is less likely than six month before. Nevertheless, the serious threats, which concern Greece and Ireland, do not permit us to exclude the occurrence of a contagious, or self-fulfilling, sovereign debt or currency crises in Euro area in the future.