The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model.The interdependence and co-movement of financial markets in different countries has been enhanc...The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model.The interdependence and co-movement of financial markets in different countries has been enhanced due to the globalization of international trade,and investment trends can spread globally as a result of investors owning international portfolios.This study uses a regime-switching model to illustrate the timing of the crisis regime and calm regime for United States(US)stock index returns and the corresponding impact on Indian stock index returns.The Indian stocks investigated are classified into“remote”and“reachable”stocks,and different effects are found for these two types.It is found that shocks originating in the US can be transferred to the Indian reachable market as a result of foreign investors.There is,however,a less persistent impact on remote stocks.Accordingly,the study contributes to the literature on the material impacts of the crisis resulting from liquidity constraints and fear of contagion among investors.展开更多
How does stablecoin design affect market behavior during turbulent periods?Stable-coins attempt to maintain a“stable”peg to the US dollar,but do so with widely varying structural designs.The spectacular collapse of ...How does stablecoin design affect market behavior during turbulent periods?Stable-coins attempt to maintain a“stable”peg to the US dollar,but do so with widely varying structural designs.The spectacular collapse of the TerraUSD(UST)stablecoin and the linked Terra(LUNA)token in May 2022 precipitated a series of reactions across major stablecoins,with some experiencing a fall in value and others gaining value.Using a Baba,Engle,Kraft and Kroner(1990)(BEKK)model,we examine the reaction to this exogenous shock and find significant contagion effects from the UST collapse,likely partially due to herding behavior among traders.We test the varying reactions among stablecoins and find that stablecoin design differences affect the direction,magnitude,and duration of the response to shocks.We discuss the implications for stablecoin developers,exchanges,traders,and regulators.展开更多
The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment...The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium.The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies.These illustrate the individual and joint impact of interbank liabilities,bankruptcy costs,fire sales and cross-holdings on systemic risk.We study policy implications and regulatory instruments,including central bank guarantees and quantitative easing,the significance of last wills of financial institutions,and capital requirements.展开更多
文摘The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model.The interdependence and co-movement of financial markets in different countries has been enhanced due to the globalization of international trade,and investment trends can spread globally as a result of investors owning international portfolios.This study uses a regime-switching model to illustrate the timing of the crisis regime and calm regime for United States(US)stock index returns and the corresponding impact on Indian stock index returns.The Indian stocks investigated are classified into“remote”and“reachable”stocks,and different effects are found for these two types.It is found that shocks originating in the US can be transferred to the Indian reachable market as a result of foreign investors.There is,however,a less persistent impact on remote stocks.Accordingly,the study contributes to the literature on the material impacts of the crisis resulting from liquidity constraints and fear of contagion among investors.
基金funding agencies in the public,commercial,or not-for-profit sectors.Luca Galati was founded by the Rozetta Institute(formerly CMCRC-SIRCA),55 Harrington St,The Rocks,Sydney,NSW 2000,Australia.
文摘How does stablecoin design affect market behavior during turbulent periods?Stable-coins attempt to maintain a“stable”peg to the US dollar,but do so with widely varying structural designs.The spectacular collapse of the TerraUSD(UST)stablecoin and the linked Terra(LUNA)token in May 2022 precipitated a series of reactions across major stablecoins,with some experiencing a fall in value and others gaining value.Using a Baba,Engle,Kraft and Kroner(1990)(BEKK)model,we examine the reaction to this exogenous shock and find significant contagion effects from the UST collapse,likely partially due to herding behavior among traders.We test the varying reactions among stablecoins and find that stablecoin design differences affect the direction,magnitude,and duration of the response to shocks.We discuss the implications for stablecoin developers,exchanges,traders,and regulators.
文摘The paper presents a comprehensive model of a banking system that integrates network effects,bankruptcy costs,fire sales,and cross-holdings.For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium.The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies.These illustrate the individual and joint impact of interbank liabilities,bankruptcy costs,fire sales and cross-holdings on systemic risk.We study policy implications and regulatory instruments,including central bank guarantees and quantitative easing,the significance of last wills of financial institutions,and capital requirements.
