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Empirical modelling of contagion: a review of methodologies
The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods, and shows how they are relatedExpand
Determinants of Ex-Ante Banking System Distress: A Macro-Micro Empirical Exploration of Some Recent Episodes
This paper empirically analyzes the contribution of microeconomic and macroeconomic factors in five recent episodes of banking system problems in the U.S. Southwest (1986-92), Northeast (1991-92),Expand
Transmission of Liquidity Shocks: Evidence from the 2007 Subprime Crisis
We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. AExpand
Contagion in international bond markets during the Russian and the LTCM crises
Abstract The Russian bond default in August 1998 and the long-term capital management (LTCM) recapitalization announcement in the following month represent an unusual period of volatility inExpand
Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998
August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crisesExpand
Sampling Properties of Contagion Tests
The finite sample properties of recent tests of contagion are investigated using a range of Monte Carlo experiments. Some variations of these tests are also investigated to correct for sizeExpand
Banking System Fragility: Likelihood Versus Timing of Failure: An Application to the Mexican Financial Crisis
This paper tests empirically the proposition that bank fragility is determined by bank-specific factors, macroeconomic conditions and potential contagion effects. The methodology allows for theExpand
Investors Risk Appetite and Global Financial Market Conditions
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade.Expand
Are Financial Crises Alike?
This paper investigates whether financial crises are alike by considering whether a single modeling framework can fit multiple distinct crises in which contagion effects link markets across nationalExpand
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