21.6 Διάχυση Επιπτώσεων και Μετάδοση

Βιβλιογραφία

Angeloni C., Wolff G.B. (2012) Are banks affected by their holdings of government debt? Bruegel working paper No 2012/07.

Baig T., Goldfajn I. (1999) Financial Market Contagion in the Asian Crisis, IMF Staff Papers, 46(2), pp. 167-195.

Baur D., Fry R.A. (2005) Endogenous Contagion – A Panel Analysis, CAMA Working Paper 2006-09, Australia National University.

Beirne J., Caporale G.M., Schulze-Ghattas M., Spagnolo N. (2009) Volatility Spillovers and Contagions from Mature to Emerging Stock Markets, ECB Working Paper No. 1113.

Beirne J., Fratzscher M. (2012) The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis, Journal of International Money and Finance, doi: 10.1016/j.jimonfin.2012.11.004.

Beirne J., Gieck J. (2012) Interdependence and Contagion in Global Asset Markets, Working Paper Series, No 1480/ October.

Bekaert G., Ehrmann M., Fratzscher M., Mehl A. (2011) Global Crises and Equity Market Contagion, NBER Working Paper No. 17121.

Blanchard O., Christopher E.J., Lindé J. (2015) Jump Starting the Euro Area Recovery: Would a Rise in Core Fiscal Spending Help the Periphery?, NBER Working Paper No. 21426.

Blinder A.S. (2006) Offshoring: The next industrial revolution? Foreign Affairs, 85(2), 113–128.

Bohl M.T., Serwa D. (2005) Financial Contagion Vulnerability and Resistance: A Comparison of European Stock Markets, Economic Systems, 29(3), p. 344-362.

Bond S., Dungey M., Fry R.A. (2005) A Web of Shocks: Crises Across Asian Real Estate Markets, Journal of Real Estate Finance and Economics, 32(3), pp. 253-274.

Cerra V., Saxena S.C. (2002) Contagion, Monsoons and Domestic Turmoil in Indonesia’s Currency Crisis, Review of International Economics, 10 (1), pp. 36-44.

Chudik A., Fratzscher M. (2011) Identifying the Global Transmission of the 2007-2009 Financial Crisis in a GVAR model, European Economic Review, 55, pp. 325-339.

Dees S., di Mauro F., Pesaran M.H., Smith L.V. (2007) Exploring the International Linkages of the Euro Area: A Global VAR Analysis, Journal of Applied Econometrics, 22(1), pp. 1-38.

Dungey M., Martin V.L. (2004) A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis, Journal of Emerging Markets Finance, 3(3), pp. 305-330.

ECB (2013) The Pricing of Sovereign risk and Contagion during the European Sovereign Debt Crisis, ISSN 1725-2806, available here: https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1625.pdf.

Ehrmann M., Fratzscher M., Rigobon R. (2011) Stocks, Bonds, Money Markets and Exchange Rates, Journal of Applied Econometrics, 26, p. 948-974.

Gravelle T., Kichian M., Morley J. (2003) Shift Contagion in Asset Markets, Bank of Canada Working Paper 2003-5.

Ito T., Hashimoto Y. (2005) High-Frequency Contagion of Currency Crises in Asia, Asian Economic Journal, 19(4), p. 357-381.

Lomakin A., Paiz S. (1999) Measuring Contagion in the Face of Fluctuating Volatility, MIT-Sloan Project, 15.036.

Rigobon R. (2000) Identification through Heteroskedasticity: Measuring ‘Contagion’ between Argentinian and Mexican Sovereign Bonds, NBER Working Paper No. 7493.

Van Rijckeghem C., Weder B. (2001) Sources of Contagion: Is it Finance or Trade? Journal of International Economics, 54, p. 293-308.

 

Further Reading List

Andrle M., Garcia-Saltos R., Ho G. (2014) A Model-Based Analysis of Spillovers: The Case of Poland and the Euro Area, IMF Working Paper No. 14/186.

Alter A., Schüler Y. (2012) Credit spread interdependencies of European states and banks during the financial crisis, Journal of Banking and Finance, Volume 36 (12), pp. 3444-3468.

Arellano C., Bai Y. (2013) Linkages across Sovereign Debt Markets, Staff Report 491, Federal Reserve Bank of Minneapolis.

Arezki R., Candelon B., Sy A. (2011) Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis, IMF.

Arezki R., Candelon B., Sy A. (2012) Spillover effects in a fiscal union: Evidence from US states and Treasury bond markets.

Auerbach A.J., Gorodnichenko Y. (2012) Output Spillovers from Fiscal Policy, American Economic Association meetings.

Bartelme D., Gorodnichenko Y. (2015) Linkages and economic development, VOX.

Bekaert G., Harvey C., Ng A. (2005) Market Integration and Contagion, Journal of Business, Volume 78(1), pp. 39-70.

Benz S., Larch M., Zimmer M. (2014) Trade in Ideas: Outsourcing and Knowledge Spillovers-Ifo Working Paper No. 173, IFO.

Blanchard O., Laeven L., Vesperoni E.R. (2014) Challenges ahead: Managing spillovers, VOX, CEPR’s Policy Portal.

Blanchard O., Laeven L., Vesperoni E.R. (2014) Understanding Spillovers, iMFdirect.

Brooks S., Da Cunha R., Mosley L. (2012) Categories, Creditworthiness and Contagion: How Investors’ Shortcuts Affect Sovereign Debt Markets, for IPES.

Caceres C., Guzzo V., Segoviano M. (2010) Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals? IMF.

Carlino G.A., Inman R.P. (2013) Spillovers: Why macro-fiscal policy should be coordinated in economic unions, VOX.

Caporin M., Pelizzon L., Ravazzolo F., Rigobon R. (2013) Measuring Sovereign Contagion in Europe – Working Paper No. 18741, NBER.

Chen J., Mancini-Griffoli T., Sahay R. (2014) Spillovers from United States Monetary Policy on Emerging Markets: Different This Time? IMF Working Paper No. 14/240.

Chinn M.D. (2014) BIS Working Papers No 436 Global spillovers and domestic monetary policy, Bank for International Settlements.

Dao M.C. (2013) International spillovers of labour market policies, Oxford Economic Papers 65, 417–446, Oxford University Press.

De Haan J. (2014) Spillovers from systemic bank defaults, VOX.

Devereux M.B., Yu C. (2014) International Financial Integration and Crisis Contagion, NBER Working Paper No. 20526, NBER.

De Vries C., Los B., Timmer M. (2014) Global Value Chains: ‘Factory World’ is emerging, VOX.

Disyatat P., Rungcharoenkitkul P. (2015) Monetary Policy and Financial Spillovers: Losing Traction? – BIS Working Papers No 518.

Eberhardt M., Helmers C., Strauss H. (2011) Do Spillovers Matter when Estimating Private Returns to R&D? EIB Economic and Financial Report 2010/01.

Elekdag S., Muir D. (2013) Trade Linkages, Balance Sheets, and Spillovers: The Germany-Central European Supply Chain, WP. 13/210, IMF.

Giuliodori M., Beetsma R. (2004) What are the Spillovers from Fiscal Shocks in Europe? An Empirical Analysis, Working Paper Series No. 325, ECB.

Glover B., Richards-Shubik S. (2014) Contagion in the European sovereign debt crisis, VOX, CEPR’s Policy Portal.

Goujard A. (2013) Cross-Country Spillovers from Fiscal Consolidations, OECD Economics Department Working Papers No. 1099, OECD.

Hoekman B. (2014) Supply Chains, Mega-Regionals and Multilateralism: A Road Map for the WTO, CEPR Press.                   

IMF (2011) Consolidated spillover report: implications from the analysis of the systemic-5, IMF.

IMF (2013) IMF Multilateral Policy Issues Report 2013, Spillover Report- Analytical Underpinnings and Other Background, IMF.

IMF (2014) Spillover Report, IMF Policy Paper.

in ‘t Veld J. (2013) Fiscal consolidations and spillovers in the Euro area periphery and core – Economic Papers 506, European Commission.

Kireyev A., Leonidov A. (2015) Network Effects of International Shocks and Spillovers, WP/15/149, IMF.

Kümmritz V. (2015) And yet it moves – Why GVCs benefit the domestic economy, VOX, CEPR’s Policy Portal.

Parisi-Capone E., Ziemba R., Sen R., Atanasov P. (2012) Global Contagion Watch: G20 Ready to Act After Greek Elections, Roubini Global Economics.

Saccomanni F. (2015) Monetary spillovers? Boom and bust? Currency wars? The international monetary system strikes back, BIS.

Shinagawa Y. (2014) Determinants of Financial Market Spillovers: The Role of Portfolio Diversification, Trade, Home Bias, and Concentration, IMF Working Paper No. 14/187.

Stavrev E., Vesperoni E.R., Weber S. (2014) Spillovers from unwinding monetary support in advanced economies, VOX.

Thomadakis A. (2012) Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns, University of Surrey.

Vitek F. (2014) Policy and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach, IMF Working Paper No. 14/200.