Essays about: "Financial contagion"
Showing result 1 - 5 of 29 essays containing the words Financial contagion.
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1. Quantifying the Impact of EU-US "Distressed" Financial Market Integration on European Credit Supply
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper proposes a new method for quantifying financial integration by adapting Adrian & Brunnermeier (2016)’s ΔCoVaR to conform with standard asset pricing literature (Lewellen & Nagel 2006, Cochrane 2009). We reconcile ΔCoVaR with standard microeconomic theory (Waller & Lewarne 1994) and test for causal relationships with respect to the contagion of US acute financial shocks to the EU’s loan supply. READ MORE
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2. Globalization in emerging markets : A study of how financial globalization can affect emerging markets by viewing correlation in index return.
University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Abstract : This study investigates whether financial globalization influences emerging markets by examining the correlation between a global market in relation to emerging markets. By constructing yearly correlation coefficients through collecting daily return from index markets, financial contagion can be detected. READ MORE
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3. Bankruptcy prediction models on Swedish companies.
University essay from Umeå universitet/FöretagsekonomiAbstract : Bankruptcies have been a sensitive topic all around the world for over 50 years. From their research, the authors have found that only a few bankruptcy studies have been conducted in Sweden and even less on the topic of bankruptcy prediction models. READ MORE
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4. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This study investigates the correlation between the US stock market, oil prices, gold prices and the stock markets of five emerging markets: Brazil, Russia, India, China and South Africa (BRICS), in order to explore the risk spillovers and the financial contagion between the markets. A DCC-GJR-GARCH model is applied to daily data of returns from January 2000 to April 2020 and considers both a full sample analysis along with a three-pronged subsample analysis. READ MORE
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5. The Role of Uncertainty in the Scandinavian Banking Sector
University essay from Linköpings universitet/NationalekonomiAbstract : 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