Essays about: "contagion and spillover effect"

Found 3 essays containing the words contagion and spillover effect.

  1. 1. The Role of Uncertainty in the Scandinavian Banking Sector

    University essay from Linköpings universitet/Nationalekonomi

    Author : Viktor Forsström; Karl Lind; [2019]
    Keywords : Scandinavian banking sector; Uncertainty; Spillovers; Contagion; Connectedness; Network analysis; Quantile regression;

    Abstract : In this thesis we analyse the impact of uncertainty shocks in the Scandinavian banking sector. We apply the spillover approach developed by Diebold and Yilmaz (2009; 2012; 2014), followed by network analysis. Furthermore, the dynamics of uncertainty shocks are examined by applying a quantile regression approach. READ MORE

  3. 2. Volatility and Contagion Effect from US and GIIPS to the Largest European Economies

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Nerea Landa Vallejo; [2016]
    Keywords : contagion; GIIPS; subprime; eurozone; spillover; Business and Economics;

    Abstract : This research paper explores the nature of the mean and volatility spillovers from the US and aggregate GIIPS to the largest GDP countries for the EMU and non-EMU countries. I develop a three step univariate volatility spillover model followed by Christiansen (2007) and Ng (2000) to analyze the relevance of local (own country), regional (aggregate GIIPS) and global (US) shocks. READ MORE

  4. 3. Volatility and Contagion effects originating from the financial sector: An analysis of economic sectors in two different stock market downturns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emanuel Alfranseder; [2009]
    Keywords : financial crisis; equity markets; EGARCH; Spillover and Contagion; financial sector; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : The essay applies the methodology put forward in Baur (2003) with some modifications and extensions in order to investigate on contagion and spillover effects originating from the financial sector in European and U.S. equity markets during the crisis following the “dot-com” bubble in 2000-2003 and the financial crisis of 2007-2009. READ MORE