SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Contagion and the European debt crisis
15 references·16 citing·49 second hop
Contagion and the European debt crisis (2012)Contagion and the European debt crisisThe Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal (2012)The Euro Area Sovereign Debt …Banking Stability Measures (2012)Banking Stability MeasuresSovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (2011)Sovereign Rating News and Fin…A framework for assessing the systemic risk of major financial institutions (2009)A framework for assessing the…Market Integration and Contagion (2005)Market Integration and Contag…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Systemic risk: A survey (2000)Systemic risk: A surveyBanking Panics: The Role of the First‐Come, First‐Served Rule and Information Externalities (1999)Banking Panics: The Role of t…Contagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…Servicing the Public Debt: The Role of Expectations* *I have greatly benefited from comments received at Johns Hopkins University, Georgetown University, the Macro Lunch Group of the University of Pennsylvania, MIT, and the Research Department of the International Monetary Fund. I am particularly indebted to Matt Canzoneri, Sara Guerschanik-Calvo, Joseph Harrington, Jr, Elhanan Helpman, Nissan Leviatan, Maury Obstfeld, Assaf Razin, Sweder van Wijnbergen and two anonymous referees. The research on this paper was partly done while I was a visiting scholar at the Research Department of the Internationed Monetary Fund, and it was partially funded by the National Science Foundation. However, any opinions expressed are entirely my own and not those of any of the above institutions. This paper has already been published in the The American Economic Review, 78, 4, September 1988, pp. 647–661. (1989)Servicing the Public Debt: Th…The Cyclical Component of U. S. Economic Activity (1987)The Cyclical Component of U. …Trends and Cycles in Macroeconomic Time Series (1985)Trends and Cycles in Macroeco…Macroeconomics and Reality (1980)Macroeconomics and RealityThe Problem of Social Cost (1960)The Problem of Social CostA Europe of creditor and debtor states: explaining the north/south divide in the Eurozone (2019)A Europe of creditor and debt…Dealing with Dealers: Sovereign CDS Comovements (2017)Dealing with Dealers: Soverei…Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility (2016)Using connectedness analysis …Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries (2016)Determinants of sovereign bon…Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion (2016)Causes and hazards of the eur…Volatility spillovers in EMU sovereign bond markets (2015)Volatility spillovers in EMU …The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion (2014)The impact of the 2008 and 20…The global financial crisis: Is there any contagion between real estate and equity markets? (2014)The global financial crisis: …The concept of systemic risk (2014)The concept of systemic riskFinancial crises and dynamic linkages among international currencies (2013)Financial crises and dynamic …Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis (2013)Disentangling Contagion Among…Assessing Asset Purchases within the ECB’s Securities Markets Programme (2013)Assessing Asset Purchases wit…The Use of the Eurosystem's Monetary Policy Instruments and Operational Framework since 2009 (2012)The Use of the Eurosystem's M…The "Big C": Identifying Contagion (2012)The "Big C": Identifying Cont…The "Big C": Identifying and Mitigating Contagion* (2012)The "Big C": Identifying and …Bank/Sovereign Risk Spillovers in the European Debt Crisis (2012)Bank/Sovereign Risk Spillover…Crises and Prices: Information Aggregation, Multiplicity, and VolatilityRules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Staggered prices in a utility-maximizing framework (1983)Default Risk on Government Debt in OECD Countries (1992)Staggered Prices in a Utility-Maximizing Framework (1996)Signaling in a Global Game: Coordination and Policy Traps (2006)Bank Runs, Deposit Insurance, and Liquidity (1983)Rules, discretion and reputation in a model of monetary policy (1983)Contagion and Trade: Why Are Currency Crises Regional? (1998)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Measuring Business Cycles (1947)Trends and random walks in macroeconmic time series (1982)Univariate detrending methods with stochastic trends (1986)Sources of Business Cycle Fluctuations (1988)Variable Trends in Economic Time Series (1988)Permanent and Transitory Components of GNP and Stock Prices (1994)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling and Forecasting Realized Volatility (2003)How does competition affect bank systemic risk? (2013)Network Structure and Systemic Risk in Banking Systems (2013)Bank size, capital, and systemic risk: Some international evidence (2015)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Common Stochastic Trends in a System of Exchange Rates (1989)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging markets finance (2003)International Stock Return Comovements (2005)Capital flows, push versus pull factors and the global financial crisis (2012)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration (1986)A Survey of Corporate Governance (1997)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop

References

  • 1960The Problem of Social Cost18,243 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2005Market Integration and Contagion1,061 cited
  • 1996Contagious Currency Crises: First Tests847 cited
  • 1987The Cyclical Component of U. S. Economic Activity741 cited
  • 1985Trends and Cycles in Macroeconomic Time Series688 cited
  • 2009A framework for assessing the systemic risk of major financial institutions638 cited
  • 1989Servicing the Public Debt: The Role of Expectations* *I have greatly benefited from comments received at Johns Hopkins University, Georgetown University, the Macro Lunch Group of the University of Pennsylvania, MIT, and the Research Department of the International Monetary Fund. I am particularly indebted to Matt Canzoneri, Sara Guerschanik-Calvo, Joseph Harrington, Jr, Elhanan Helpman, Nissan Leviatan, Maury Obstfeld, Assaf Razin, Sweder van Wijnbergen and two anonymous referees. The research on this paper was partly done while I was a visiting scholar at the Research Department of the Internationed Monetary Fund, and it was partially funded by the National Science Foundation. However, any opinions expressed are entirely my own and not those of any of the above institutions. This paper has already been published in the The American Economic Review, 78, 4, September 1988, pp. 647–661.450 cited
  • 2000Systemic risk: A survey375 cited
  • 1999Banking Panics: The Role of the First‐Come, First‐Served Rule and Information Externalities

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

319 cited
  • 2012The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal240 cited
  • 2011Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis237 cited
  • 2012Banking Stability Measures195 cited
  • Cited by

    • 2012The "Big C": Identifying Contagion145 cited
    • 2013Financial crises and dynamic linkages among international currencies92 cited
    • 2014The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion92 cited
    • 2012The "Big C": Identifying and Mitigating Contagion*90 cited
    • 2013Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis78 cited
    • 2016Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility74 cited
    • 2013Assessing Asset Purchases within the ECB’s Securities Markets Programme72 cited
    • 2012Bank/Sovereign Risk Spillovers in the European Debt Crisis69 cited
    • 2015Volatility spillovers in EMU sovereign bond markets65 cited
    • 2017Dealing with Dealers: Sovereign CDS Comovements58 cited
    • 2016Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion55 cited
    • 2012The Use of the Eurosystem's Monetary Policy Instruments and Operational Framework since 200952 cited
    • 2019A Europe of creditor and debtor states: explaining the north/south divide in the Eurozone51 cited
    • 2014The concept of systemic risk51 cited
    • 2016Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries48 cited
    • 2014The global financial crisis: Is there any contagion between real estate and equity markets?43 cited