I examine the evolution of contagion indexes between the European financial
sector and the sovereign sector (Austria, Belgium, France, Germany, Italy,
Netherlands and Spain) during the European sovereign credit crisis.
Contagion indexes, Delta CoVaR and Delta CoES, reflect events associated
with extreme left tail returns and interdependencies between defaults
different than those observed in tranquil times. These measures reveal very
useful information concerning risk management. I use a copula approach
with time-varying parameters to capture changes in the tail dependence
between returns in the financial and the sovereign sectors. I employ a
Switching Markov model to identify the most stressful moments of the
contagion indicators. The results point out the emergence of Greek debt
crisis on March 2010 and the vulnerable situation of Spain and Italy in
summer 2011 as the main periods where the contagion from the sovereign to
the financial sector was stronger. The decrease in contagion was gradual
since the speech made by the ECB on July 26th, 2012. The statistical
significance of the change in the contagion indicators is checked using
boostrap tests.
The effect of entry on price. Evidence from the retail gasoline market
Seminarios Ecobas 2017
Valeria Bernardo - Doutoranda en Económicas
Tania Elena González Alvarado - Departamento de Mercadotecnia e Negocios Internacionais
Diversity, Group Size and Performance in Organizations
Brais Álvarez Pereira - EUI and ODI Fellow at the Ministry of Economy and Finances of Guinea-Bissau)
Diversity, Group Size and Performance in Organizations. Questions
Brais Álvarez Pereira - EUI and ODI Fellow at the Ministry of Economy and Finances of Guinea-Bissau)
Xornada informativa a cargo de Manuel Noya, co-fundador e CEO da empresa Linknovate
Manuel Noya - Co-fundador e CEO
O problema do recorte do presuposto en saude en Cataluña
María José Solís Baltodano - Dep. D'Economía
O problema do recorte do presuposto en saude en Cataluña. Quenda de cuestións
Rolda de preguntas
María José Solís Baltodano - Dep. D'Economía
Essays on corporate social responsibility reporting: Enhancing transparency and communication
Nicolás García Torea - Estudante de Ciencias Económicas y Empresariáis
Nicolás García Torea - Estudante de Ciencias Económicas y Empresariáis
Dinámica da especulación nun modelo de burbullas e manías. Quenda de cuestións
Quenda de cuestións
Manuel S. Santos - Economics Department
Anna Bykova - NATIONAL RESEARCH UNIVERSITY HIGHER SCHOOL OF ECONOMICS, PERM
Anna Bykova - NATIONAL RESEARCH UNIVERSITY HIGHER SCHOOL OF ECONOMICS, PERM
Rolda de Preguntas: Que é e que non é a Innovación. Tecnoloxía e Economía
Seminarios da FCCEE
Enrique Mandado -
Risk measures and capital allocations (Question Time)
Emanuela Rosazza Gianin - University of Milano- Bicocca
Contagion spillovers between sovereign and nancial European sector from a CoV aR approach
Javier Ojea - Foundations of Economic Analysis II
Javier Ojea - Foundations of Economic Analysis II
