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Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel?

Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel? »

Source: Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel?

Volume/Issue: 2011/227

Series: IMF Working Papers

Author(s): Stijn Claessens , Hui Tong , and Igor Zuccardi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463904951

Keywords: Euro crisis, non-financial firms, financial channel, trade channel, bank exposure, financial dependence, stock prices, stock price, banking,

This paper analyzes through what channels the euro crisis has affected firm valuations globally. It examines stock price responses over the past year for 3045 non-financial firms in 16 countries to three key crisis...

Transmission of Financial Stress in Europe

Transmission of Financial Stress in Europe »

Source: Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece

Volume/Issue: 2014/76

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , and Christian Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 May 2014

ISBN: 9781484368190

Keywords: Volatility, Contagion, Credit Default Swaps, financial crisis, financial markets, Time-Series Models, Model Construction and Estimation, Financial Markets and the Macroeconomy, Asset Pricing,

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyse...

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis1

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis1 »

Source: Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

Volume/Issue: 2012/174

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Estelle Liu , and Jochen M. Schmittmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505221

Keywords: equity returns, sovereign debt crisis, regulatory capital, panel data econometrics, banking, tier 1 capital, bank bond, General Financial Markets,

This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk an...

Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel?

Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel? »

Volume/Issue: 2011/227

Series: IMF Working Papers

Author(s): Stijn Claessens , Hui Tong , and Igor Zuccardi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

DOI: http://dx.doi.org/10.5089/9781463904951.001

ISBN: 9781463904951

Keywords: Euro crisis, non-financial firms, financial channel, trade channel, bank exposure, financial dependence, stock prices, stock price, banking,

This paper analyzes through what channels the euro crisis has affected firm valuations globally. It examines stock price responses over the past year for 3045 non-financial firms in 16 countries to three key crisis...

Transmission of Financial Stress in Europe
			: The Pivotal Role of Italy and Spain, but not Greece

Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece »

Volume/Issue: 2014/76

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , and Christian Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 May 2014

DOI: http://dx.doi.org/10.5089/9781484368190.001

ISBN: 9781484368190

Keywords: Volatility, Contagion, Credit Default Swaps, financial crisis, financial markets, Time-Series Models, Model Construction and Estimation, Financial Markets and the Macroeconomy, Asset Pricing,

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyse...

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis »

Volume/Issue: 2012/174

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Estelle Liu , and Jochen M. Schmittmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

DOI: http://dx.doi.org/10.5089/9781475505221.001

ISBN: 9781475505221

Keywords: equity returns, sovereign debt crisis, regulatory capital, panel data econometrics, banking, tier 1 capital, bank bond, General Financial Markets,

This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk an...