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Citations for "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads"

by Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno

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  1. Song, Wei-Ling & Uzmanoglu, Cihan, 2016. "TARP announcement, bank health, and borrowers’ credit risk," Journal of Financial Stability, Elsevier, vol. 22(C), pages 22-32.
  2. Iftekhar Hasan & Liuling Liu & Gaiyan Zhang, 2016. "The Determinants of Global Bank Credit-Default-Swap Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 275-309, December.
  3. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
  4. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Journal of Finance, American Finance Association, vol. 69(6), pages 2597-2649, December.
  5. Cetorelli, Nicola & Goldberg, Linda S., 2012. "Liquidity management of U.S. global banks: Internal capital markets in the great recession," Journal of International Economics, Elsevier, vol. 88(2), pages 299-311.
  6. Eichengreen, Barry, 2009. "The financial crisis and global policy reforms," Proceedings, Federal Reserve Bank of San Francisco, issue Oct, pages 299-334.
  7. Wim Naudé, 2010. "Africa And The Global Economic Crisis: A Risk Assessment And Action Guide," EUI-RSCAS Working Papers 27, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
  8. Raddatz, Claudio & Schmukler, Sergio L., 2012. "On the international transmission of shocks: Micro-evidence from mutual fund portfolios," Journal of International Economics, Elsevier, vol. 88(2), pages 357-374.
  9. Bilal Kargi, 2014. "Credit Default Swap (Cds) Spreads: The Analysis Of Time Series For The Interaction With The Interest Rates And The Growth In Turkish Economy," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 10(1), pages 59-66.
  10. Ahn, Seung C. & Perez, M. Fabricio, 2010. "GMM estimation of the number of latent factors: With application to international stock markets," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 783-802, September.
  11. Helene Poirson Ward & Jochen M. Schmittmann, 2013. "Risk Exposures and Financial Spillovers in Tranquil and Crisis Times; Bank-Level Evidence," IMF Working Papers 13/142, International Monetary Fund.
  12. Raddatz, Claudio, 2010. "When the rivers run dry : liquidity and the use of wholesale funds in the transmission of the U.S. subprime crisis," Policy Research Working Paper Series 5203, The World Bank.
  13. Gorton, Gary & Metrick, Andrew, 2012. "Securitized banking and the run on repo," Journal of Financial Economics, Elsevier, vol. 104(3), pages 425-451.
  14. Narayan, Paresh Kumar, 2015. "An analysis of sectoral equity and CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 80-93.
  15. Mamatzakis, Emmanuel & Bermpei, Theodora, 2014. "What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 102-117.
  16. Da Fonseca, José & Gottschalk, Katrin, 2014. "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 386-400.
  17. Kallestrup, René & Lando, David & Murgoci, Agatha, 2016. "Financial sector linkages and the dynamics of bank and sovereign credit spreads," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 374-393.
  18. Ashoka Mody & Damiano Sandri, 2012. "The eurozone crisis: how banks and sovereigns came to be joined at the hip," Economic Policy, CEPR;CES;MSH, vol. 27(70), pages 199-230, 04.
  19. Amine Amar & Ikrame Ben Slimane & Makram Bellalah, 2017. "Are Non-Conventional Banks More Resilient than Conventional Ones to Financial Crisis?," Working Papers hal-01455752, HAL.
  20. repec:eee:riibaf:v:43:y:2018:i:c:p:79-89 is not listed on IDEAS
  21. Wang, Ping & Moore, Tomoe, 2012. "The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 1-15.
  22. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 167-177.
  23. Kang, Dae Woong & Ligthart, Nick & Mody, Ashoka, 2015. "The European Central Bank: Building a shelter in a storm," CFS Working Paper Series 527, Center for Financial Studies (CFS).
  24. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
  25. Stephan Schulmeister, 2009. "Die neue Weltwirtschaftskrise - Ursachen, Folgen, Gegenstrategien," Working Paper Reihe der AK Wien - Materialien zu Wirtschaft und Gesellschaft 106, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik.
  26. Virginie Coudert & Mathieu Gex, 2010. "The Credit Default Swap Market and the Settlement of Large Defaults," International Economics, CEPII research center, issue 123, pages 91-120.
  27. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
  28. Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2016. "Credit constraints and the international propagation of US financial shocks," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 67-80.
  29. Smales, Lee A., 2016. "News sentiment and bank credit risk," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 37-61.
  30. Virginie Coudert & Mathieu Gex, 2010. "Le règlement des défauts sur le marché des credit default swaps : le cas de Lehman Brothers," Revue d'Économie Financière, Programme National Persée, vol. 97(2), pages 15-34.
  31. Dwyer, Shane & Tan, Chih Ming, 2014. "Hits and runs: Determinants of the cross-country variation in the severity of impact from the 2008–09 financial crisis," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 69-90.
  32. Ballester, Laura & González-Urteaga, Ana, 2017. "How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 200-214.
  33. Mardi Dungey & Gerald Dwyer & Thomas Flavin, 2013. "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Open Economies Review, Springer, vol. 24(1), pages 5-32, February.
  34. Hui Tong & Shang-Jin Wei, 2011. "The Composition Matters: Capital Inflows and Liquidity Crunch During a Global Economic Crisis," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2023-2052.
  35. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  36. Berrospide, Jose M. & Herrerias, Renata, 2015. "Finance companies in Mexico: Unexpected victims of the global liquidity crunch," Journal of Financial Stability, Elsevier, vol. 18(C), pages 33-54.
  37. Elyas Elyasiani & Elena Kalotychou & Sotiris Staikouras & Gang Zhao, 2015. "Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(1), pages 21-52, August.
  38. Beltratti, Andrea & Stulz, René M., 2012. "The credit crisis around the globe: Why did some banks perform better?," Journal of Financial Economics, Elsevier, vol. 105(1), pages 1-17.
  39. Kamin, Steven B. & DeMarco, Laurie Pounder, 2012. "How did a domestic housing slump turn into a global financial crisis?," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 10-41.
  40. Kim, Bong-Han & Kim, Hyeongwoo & Lee, Bong-Soo, 2015. "Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 192-210.
  41. Bekaert, Geert & Ehrmann, Michael & Fratzscher, Marcel & Mehl, Arnaud, 2011. "Global crises and equity market contagion," Working Paper Series 1381, European Central Bank.
  42. Alina Carare & Ashoka Mody, 2012. "Spillovers of Domestic Shocks: Will They Counteract the ‘Great Moderation’?," International Finance, Wiley Blackwell, vol. 15(1), pages 69-97, April.
  43. Blau, Benjamin M. & Roseman, Brian S., 2014. "The reaction of European credit default swap spreads to the U.S. credit rating downgrade," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 131-141.
  44. Michael R King, 2009. "Time to buy or just buying time? The market reaction to bank rescue packages," BIS Working Papers 288, Bank for International Settlements.
  45. Don H Kim & Mico Loretan & Eli M Remolona, 2010. "Contagion and risk premia in the amplification of crisis: evidence from Asian names in the global CDS market," BIS Papers chapters,in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 318-339 Bank for International Settlements.
  46. AndrewK. Rose & MarkM. Spiegel, 2010. "Cross-Country Causes And Consequences Of The 2008 Crisis: International Linkages And American Exposure," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 340-363, August.
  47. Rita Babihuga & Marco Spaltro, 2014. "Bank Funding Costs for International Banks," IMF Working Papers 14/71, International Monetary Fund.
  48. Dejan Šoškić, 2015. "Global Financial Reform Since 2008: Achievements and Shortcomings," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 385-400, June.
  49. José Dias & Sofia Ramos, 2014. "The aftermath of the subprime crisis: a clustering analysis of world banking sector," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 293-308, February.
  50. Dumontaux, Nicolas & Pop, Adrian, 2013. "Understanding the market reaction to shockwaves: Evidence from the failure of Lehman Brothers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 269-286.
  51. Kang Dae Woong & Nick Ligthart & Ashoka Mody, 2015. "The European Central Bank: Building a Shelter in a Storm," Working Papers 248, Princeton University, Department of Economics, Center for Economic Policy Studies..
  52. Yu, Sherry, 2017. "Sovereign and bank Interdependencies—Evidence from the CDS market," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 68-84.
  53. Yan, Cheng & Phylaktis, Kate & Fuertes, Ana-Maria, 2016. "On cross-border bank credit and the U.S. financial crisis transmission to equity markets," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 108-134.
  54. Steven B. Kamin, 2010. "Financial globalization and monetary policy," International Finance Discussion Papers 1002, Board of Governors of the Federal Reserve System (U.S.).
  55. YAMAMOTO, Yohei, 2015. "Asymptotic Inference for Common Factor Models in the Presence of Jumps," Discussion Papers 2015-05, Graduate School of Economics, Hitotsubashi University.
  56. Gannon, Gerard L. & Thuraisamy, Kannan S., 2017. "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 328-350.
  57. Zuccardi Huertas Igor Esteban, 2015. "Sovereign Spreads in the Eurozone: Is Market Discipline Working?," Working Papers 2015-20, Banco de México.
  58. Fazio, Dimas M. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2015. "Inflation targeting: Is IT to blame for banking system instability?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 76-97.
  59. Goldstein, Morris & Xie, Daniel, 2009. "The impact of the financial crisis on emerging Asia," Proceedings, Federal Reserve Bank of San Francisco, issue Oct, pages 27-80.
  60. Dooley, Michael & Hutchison, Michael, 2009. "Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1331-1349, December.
  61. Kennedy, Mike & Palerm, Angel, 2014. "Emerging market bond spreads: The role of global and domestic factors from 2002 to 2011," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 70-87.
  62. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Spillovers among CDS indexes in the US financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 104-113.
  63. Troug, Haytem Ahmed & Murray, Matt, 2015. "Crisis Determination and Financial Contagion: An Analysis of the Hong Kong and Tokyo Stock Markets using an MSBVAR Approach," MPRA Paper 68706, University Library of Munich, Germany.
  64. Ballester, Laura & Casu, Barbara & González-Urteaga, Ana, 2016. "Bank fragility and contagion: Evidence from the bank CDS market," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 394-416.
  65. Strachman, Eduardo & Fucidji, José Ricardo, 2010. "The Current Financial and Economic Crisis: Empirical and Methodological Issues," MPRA Paper 27130, University Library of Munich, Germany.
  66. Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2017. "The changing international network of sovereign debt and financial institutions," Working Papers 2017-04, University of Tasmania, Tasmanian School of Business and Economics.
  67. Gonçalves, Sílvia & Perron, Benoit, 2014. "Bootstrapping factor-augmented regression models," Journal of Econometrics, Elsevier, vol. 182(1), pages 156-173.
  68. Pagano, Michael S. & Sedunov, John, 2016. "A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt," Journal of Financial Stability, Elsevier, vol. 23(C), pages 62-78.
  69. Kristin J. Forbes, 2012. "The “Big C”: identifying and mitigating contagion," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 23-87.
  70. Cornette, Marcia Millon & Mehran, Hamid & Pan, Kevin & Phan, Minh & Wei, Chenyang, 2014. "CDS and equity market reactions to stock issuances in the U.S. financial industry: evidence from the 2002-13 period," Staff Reports 697, Federal Reserve Bank of New York, revised 01 Dec 2014.
  71. Kristin Forbes, 2012. "The "Big C": Identifying Contagion," NBER Working Papers 18465, National Bureau of Economic Research, Inc.
  72. Cathy Chen & Wolfgang Härdle, 2015. "Common factors in credit defaults swap markets," Computational Statistics, Springer, vol. 30(3), pages 845-863, September.
  73. Kavussanos, Manolis G. & Tsouknidis, Dimitris A., 2014. "The determinants of credit spreads changes in global shipping bonds," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 70(C), pages 55-75.
  74. Tsionas, Efthymios G. & Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2016. "Bayesian GVAR with k-endogenous dominants & input–output weights: Financial and trade channels in crisis transmission for BRICs," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 1-26.
  75. Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio & Parrado-Martínez, Purificación & di Pietro, Filippo, 2016. "Determinants of bank CDS spreads in Europe," Journal of Economics and Business, Elsevier, vol. 86(C), pages 1-15.
  76. Dell’Erba Salvatore & Sola Sergio, 2016. "Does fiscal policy affect interest rates? Evidence from a factor-augmented panel," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(2), pages 395-437, June.
  77. Nobi, Ashadun & Maeng, Seong Eun & Ha, Gyeong Gyun & Lee, Jae Woo, 2014. "Effects of global financial crisis on network structure in a local stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 135-143.
  78. Kim, Bong Han & Min, Hong-Ghi, 2011. "Household lending, interest rates and housing price bubbles in Korea: Regime switching model and Kalman filter approach," Economic Modelling, Elsevier, vol. 28(3), pages 1415-1423, May.
  79. Jean-Pierre Allegret & Helene Raymond & Houda Rharrabti, 2016. "The Impact of the Eurozone Crisis on European Banks Stocks Contagion or Interdependence?," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 129-148.
  80. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  81. Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
  82. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2016. "Hot money in bank credit flows to emerging markets during the banking globalization era," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 29-52.
  83. Dumontaux, N. & Pop, A., 2013. "Contagion Effects in the Aftermath of Lehman’s Collapse: Evidence from the US Financial Services Industry," Working papers 427, Banque de France.
  84. Juan R. Hernández, 2014. "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers 2014-09, Banco de México.
  85. Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru, 2016. "Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 35-55.
  86. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284 Edward Elgar Publishing.
  87. Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
  88. Stijn Claessens & Hui Tong & Igor Zuccardi, 2011. "Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel?," IMF Working Papers 11/227, International Monetary Fund.
  89. Martino, Ricci & Patrizio, Tirelli, 2017. "Subprime Mortgages and Banking in a DSGE Model," Working Papers 366, University of Milano-Bicocca, Department of Economics, revised 22 Jun 2017.
  90. Aiyar, Shekhar, 2011. "How did the crisis in international funding markets affect bank lending? Balance sheet evidence from the United Kingdom," Bank of England working papers 424, Bank of England.
  91. Ashoka Mody, 2009. "From Bear Stearns to Anglo Irish; How Eurozone Sovereign Spreads Related to Financial Sector Vulnerability," IMF Working Papers 09/108, International Monetary Fund.
  92. Shehzad, Choudhry Tanveer & De Haan, Jakob, 2013. "Was the 2007 crisis really a global banking crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 113-124.
  93. Edgardo Cayón, 2014. "The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 30, December.
  94. Cui, Jin & In, Francis & Maharaj, Elizabeth Ann, 2016. "What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 358-375.
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