Abstract In this article, we analyse the asymmetric causality linkages between credit growth and output during banking crises. We employ a recently developed procedure, based on bivariate Markov switching model, to test hypotheses of independence, output. Using sample 103 crises around world, find that neither nor takes precedence as variable in calm crisis periods, although there is evidence instantaneous interdependence real sector The results suggest shocks propagate mostly within year...

This paper provides evidence on the short-run reactions of an emerging financial market to monetary policy announcements. An instrumental variable estimation approach is employed, based ‘identification through heteroscedasticity’ technique, estimate impact a change in official interest rate and its surprise component asset prices Poland. The recently introduced methodology controls for possible feedback relationships between variables changes. In this analysis, short-term rates respond...

Abstract In this paper, we introduce the concept of causality in Markov switching framework into analysis financial inter-market dependencies. We extend methodology testing for spillovers between capital markets by explicitly defining contagion, and independence, providing statistics to test existence causality. apply stock index returns on Japanese (Nikkei 225) Hong Kong (HSI) during Asian crisis find no evidence contagion markets, but strong feedback them. Acknowledgments gratefully...

In this study we analyze how funding liquidity shocks affecting large international banks were transmitted to Polish subsidiaries and branches of these in recent years. We investigate differences the effects on owned by both foreign institutions. All reacted after Lehman Brothers failure; however, only parent adjusted their had taken place during sovereign debt crisis Eurozone. Mortgage lending currencies was also affected crisis. Our results suggest that intragroup links between banking...

We study market perception of sovereign credit risk in the Euro area during financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate implied measures probability default (PD) and loss given (LGD). find that separate identification PD LGD appears empirically tractable for numer countries. empirical results estimated LGDs stay comfortably below 40% most samples. also macroeconomic institutional developments were only weakly correlated with risk, whereas contagion...

Using unique data about capital flows from the public social security institute ZUS (Zakład Ubezpieczeń Społecznych) to private pension funds OFEs (Otwarte Fundusze Emerytalne) in Poland, we find that their impact, as a group of large institutional investors, on stock returns is statistically significant short-term but no such effect exists long-run. This result consistent with temporary price pressure hypothesis Ben-Rephael et al. (2011). We analyze transfers, form aggregated contributions...

We estimated a structural vector autoregressive (SVAR) model describing the links between banking sector and real economy. proposed new method to verify robustness of impulse-response functions in SVAR model. This applies permutations variable ordering uses Cholesky decomposition error covariance matrix identify parameters. Impulse response are computed for all then combined. explored practice by analyzing macro-financial linkages Polish Our results indicate that combined impulse more...

This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit households. We show that value household GDP ratio depends on lending-deposit interest rate spread, uncertainty, productivity persistence, and generosity pension system. Subsequently, we provide empirical evidence for predictions theoretical basis data OECD EU countries.

We analyze the market assessment of sovereign credit risk using a reduced-form model to price default swap (CDS) spreads, thus enabling us derive values for probability (PD) and loss given (LGD) from quotes CDS contracts. compare different specifications models allowing both fixed time-varying LGD, we use these Polish debt throughout period global financial crisis. Our results suggest presence low LGD relatively high PD during recent

Abstract The paper analyses the factors explaining vulnerability of European countries’ industries to foreign trade and production downturn in years 2008-2009 attempts identify branches (or their features significant this context) that most greatly contributed last crisis transmission Europe, mainly through slump trade. Among those we took into particular consideration: level specialization versus diversification export basket production, openness cross-country cross-industry perspective,...