Essays about: "financial contagion"

Showing result 1 - 5 of 29 essays containing the words financial contagion.

  1. 1. Quantifying the Impact of EU-US "Distressed" Financial Market Integration on European Credit Supply

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ioannis Tzoumas; [2023]
    Keywords : ΔCoVaR; Loans; Credit; Risk; Integration; Business and Economics;

    Abstract : 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

  3. 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)

    Author : Nimco Jama Elmi; Beatrice Karlsson; [2022]
    Keywords : Financial globalization; Emerging markets; Financial contagion; Index markets; Pearson correlation; Beggar thy neighbor; Loco motive; International trade;

    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

  4. 3. Bankruptcy prediction models on Swedish companies.

    University essay from Umeå universitet/Företagsekonomi

    Author : Jocelyn Charraud; Adrian Garcia Saez; [2021]
    Keywords : Bankruptcy prediction models; Ohlson model; Altman model; Zmijewski model; Sweden; logistic regression; probit regression; AUC; Youden index; Liu index;

    Abstract : 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

  5. 4. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sofia Fors; Carl Billing; [2020]
    Keywords : BRICS; DCC-GJR-GARCH; risk spillovers; financial contagion; portfolio selection; Business and Economics;

    Abstract : 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

  6. 5. 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