Advanced Search
MyIDEAS: Login

Modeling Financial Crises and Sovereign Risks

Contents:

Author Info

  • Dale F. Gray

    ()
    (Monetary and Capital Markets Department, International Monetary Fund, Washington, D.C. 20431)

Registered author(s):

    Abstract

    The complex interactions, spillovers, and feedbacks of the global crisis that began in 2007 remind us of how important it is to improve our analysis and modeling of financial crises and sovereign risk. This review provides a broad framework to examine how vulnerabilities can build up and suddenly erupt in a financial crisis, with potentially disastrous feedback effects for sovereign debt and economic growth. Traditional macroeconomic analyses overlook the importance of risk, which makes them ill-suited to examine interconnectedness, risk transmission mechanisms, and contagion. After presenting an overview of the key features of the global 2007-2009 crisis, this review discusses new directions for research on modeling financial crises and sovereign risk, including the need for integrating risk into macroeconomic policy models and enhancing early warning system and financial contagion models through a more comprehensive view of economy-wide risks. Also, new tools to mitigate and control macro risk need to be developed, along with new approaches to regulate financial sector risk-taking and monitor and manage the interactions between private sector and sovereign risk.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev.financial.050808.114316
    Download Restriction: Full text downloads are only available to subscribers. Visit the abstract page for more information.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Annual Reviews in its journal Annual Review of Financial Economics.

    Volume (Year): 1 (2009)
    Issue (Month): 1 (November)
    Pages: 117-144

    as in new window
    Handle: RePEc:anr:refeco:v:1:y:2009:p:117-144

    Contact details of provider:
    Postal: Annual Reviews 4139 El Camino Way Palo Alto, CA 94306, USA
    Web page: http://www.annualreviews.org

    Order Information:
    Web: http://www.annualreviews.org/action/ecommerce

    Related research

    Keywords:

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    2. Yonggang Ye & Jiaqi Yang & Lingfeng Song & Pei ZHang, 2013. "Macroeconomics Framework Considered Risk Factors: Based on Default Distance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 124-133, December.
    3. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4627-4649.
    4. Alter, Adrian & Schüler, Yves S., 2012. "Credit spread interdependencies of European states and banks during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3444-3468.
    5. Adrian Alter & Yves Stephan Schüler, 2011. "Credit Spead Interdependencies of European States and Banks during the Financial Crisis," Working Paper Series of the Department of Economics, University of Konstanz 2011-24, Department of Economics, University of Konstanz.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:anr:refeco:v:1:y:2009:p:117-144. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (http://www.annualreviews.org).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.