Transmission channels of international financial crises to African stock markets: the case of the euro sovereign debt crisis

2017 ◽  
Vol 50 (18) ◽  
pp. 1992-2011 ◽  
Author(s):  
Sandrine Kablan ◽  
Olfa Kaabia
Keyword(s):  
Stock Markets ◽  
Financial Crises ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
Transmission Channels ◽  
International Financial Crises

scholarly journals Forty Years of Leverage: What Have We Learned About Sovereign Debt?

2014 ◽  
Vol 104 (5) ◽  
pp. 266-271
Author(s):  
Peter Boone ◽  
Simon Johnson
Keyword(s):  
United States ◽  
Financial Crises ◽  
Sovereign Debt ◽  
Best Practice ◽  
Debt Crisis ◽  
The United States ◽  
Banking Crises ◽  
Sovereign Debt Crisis ◽  
Negative Effects ◽  
Regulatory Constraints

Financial crises frequently increase public sector borrowing and threaten some form of sovereign debt crisis. Until recently, high income countries were thought to have become less vulnerable to severe banking crises that have lasting negative effects on growth. Since 2007, crises and attempted reforms in the United States and Europe indicate that advanced countries remain acutely vulnerable. Best practice from developing country experience suggests that regulatory constraints on the financial sector should be strengthened, but this is hard to do in countries where finance has a great deal of political power and cultural prestige, and where leverage is already high.

scholarly journals Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

2019 ◽  
Vol 11 (22) ◽  
pp. 6495 ◽  
Author(s):  
Grabowski
Keyword(s):  
Czech Republic ◽  
Euro Area ◽  
Stock Markets ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Developed Countries ◽  
Sovereign Debt Crisis ◽  
The Czech Republic ◽  
Volatility Spillovers ◽  
The Us

In this paper, time-varying co-movements between the stock markets of Poland, the Czech Republic, Hungary, and the capital markets of developed countries in stable and crisis periods are studied. The parameters of the VAR-AGDCC-GARCH (Vector Autoregressive- Asymmetric Generalized Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity) model are estimated, and volatility spillovers are calculated. The evidence suggests that the level of correlation between stock return shocks of Central and Eastern European countries increased significantly in the period of financial turmoil and was high in the period of the US sub-prime crisis, as well as during the euro area sovereign debt crisis. After the announcement of the OMT (Outright Monetary Transactions) program, the evolution of the stock market indices in Central and Eastern Europe countries (CEECs) have followed different paths. An analysis of the volatility spillovers indicates that CEECs are the recipients of volatility. In the period of 2004–2019, they received much volatility—from Germany and the US, in particular. They also received much volatility from Spain during the euro area sovereign debt crisis. After 2012, volatility transmission to Poland, the Czech Republic, and Hungary dropped significantly.

The Transmission of the Great Recession (2008-2009) and the Sovereign Debt Crisis (2010-2012) to Latin America

2018 ◽  
pp. 19-42
Author(s):  
Roberto J. Santillán-Salgado ◽  
Edgardo A. Ayala-Gaytán
Keyword(s):  
Growth Performance ◽  
Latin American ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
The Great Recession ◽  
International Financial Crises ◽  
International Financial Crisis ◽  
Hypothetical Scenario ◽  
Econometric Evidence

In this work we discuss econometric evidence on four major issues that relate to the six largest Latin American economies (Argentina, Brazil, Chile, Colombia, Mexico, and Peru) during the two consecutive international financial crises between 2008 and 2012. Our first concern has to do with the mechanism of transmission of the international financial crisis and its secondary effects on the real and financial sectors of our sample countries. The second aspect that we explore refers to the actual magnitude of both, real and financial effects of the crisis. Our third objective has to do with an evaluation of the role played by individual countries' external macroeconomic vulnerability. And, finally, we propose a contra-factual analysis of the growth performance of our sample of Latin American economies, with the growth performance they would have experienced in a hypothetical scenario of no external turmoil.

scholarly journals Global crises and populism: the role of Eurozone institutions*

2019 ◽  
Vol 34 (97) ◽  
pp. 95-139 ◽  
Author(s):  
Luigi Guiso ◽  
Helios Herrera ◽  
Massimo Morelli ◽  
Tommaso Sonno
Keyword(s):  
Financial Crises ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Status Quo ◽  
Institutional Constraints ◽  
Sovereign Debt Crisis ◽  
The European Union ◽  
The Face ◽  
Political Backlash

SUMMARY Populist parties are likely to gain consensus when mainstream parties and status quo institutions fail to manage the shocks faced by their economies. Institutional constraints, which limit the possible actions in the face of shocks, result in poorer performance and frustration among voters who turn to populist movements. We rely on this logic to explain the different support of populist parties among European countries in response to the globalization shock and to the 2008–11 financial and sovereign debt crisis. We predict a greater success of populist parties in response to these shocks in Eurozone (EZ) countries, and our empirical analysis confirms this prediction. This is consistent with voters’ frustration for the greater inability of the EZ governments to react to difficult-to-manage globalization shocks and financial crises. Our evidence has implications for the speed of construction of political unions. A slow, staged process of political unification can expose the European Union to a risk of political backlash if hard to manage shocks hit the economies during the integration process.

scholarly journals The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe

2019 ◽  
Vol 11 (14) ◽  
pp. 3985 ◽  
Author(s):  
Simona Moagăr-Poladian ◽  
Dorina Clichici ◽  
Cristian-Valeriu Stanciu
Keyword(s):  
Exchange Rates ◽  
Stock Markets ◽  
Sovereign Debt ◽  
Financial Integration ◽  
Debt Crisis ◽  
Eastern European ◽  
Sovereign Debt Crisis ◽  
European Sovereign Debt Crisis ◽  
Exchange Markets ◽  
Eastern European Countries

This paper analyses the link between exchange rates and stock markets in four Central and Eastern European countries. We simultaneously explore the comovements of foreign exchange markets and stock markets at the cross-country level and the link between these two markets within each country while employing a Dynamic Conditional Correlation Mixed Data Sampling (DCC-MIDAS) model. Such an approach to financial markets conveys a much more visible picture of the existing patterns of financial integration between these markets that would otherwise be neglected. The estimates reveal significant differences between the patterns of correlation in our sample countries. First, the paper finds a quite low degree of convergence between foreign exchange markets, with rising correlations during some of the crisis episodes. Second, both the 2004 European Union enlargement and the European sovereign debt crisis underpin the stock market comovements in the Central and Eastern European countries. Third, the correlations between the exchange rate returns and stock markets rise mostly during the European sovereign debt crisis and to a lesser extent during the global financial crisis, revealing signs of contagion and lower portfolio diversification opportunities. These results are of utmost relevance for the process of financial integration and they also have important implications for policy makers, risk management, and investors.

scholarly journals Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?

Entropy ◽  
2020 ◽  
Vol 22 (3) ◽  
pp. 338 ◽  
Author(s):  
Sorin Gabriel Anton ◽  
Anca Elena Afloarei Nucu
Keyword(s):  
Emerging Economies ◽  
Stock Markets ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Credit Default Swap ◽  
Transfer Entropy ◽  
Sovereign Debt Crisis ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap

The purpose of the paper is to investigate the relationship between sovereign Credit Default Swap (CDS) and stock markets in nine emerging economies from Central and Eastern Europe (CEE), using daily data over the period January 2008–April 2018. The analysis deploys a Vector Autoregressive model, focusing on the direction of Granger causality between the credit and stock markets. We find evidence of the presence of bidirectional feedback between sovereign CDS and stock markets in CEE countries. The results highlight a transfer entropy of risk from the private to public sector over the whole period and respectively, from the public to private transfer entropy of risk during the European sovereign debt crisis only in Romania and Slovenia. Another finding that deserves particular attention is that the linkage between the CDS spreads and stock markets is time-varying and subject to regime shifts, depending on global financial conditions, such as the sovereign debt crisis. By providing insights on the inter-temporal causality of the comovements of the CDS–stock markets, the paper has significant practical implications for risk management practices and regulatory policies, under different market conditions of European emerging economies.

European Economies Stability Faced With Potential Outburst of Sovereign Debt Crisis. An Empirical Study Using Neural Network

2013 ◽  
Vol 12 (2) ◽  
pp. 3255-3260
Author(s):  
Stelian Stancu ◽  
Alexandra Maria Constantin
Keyword(s):  
Neural Network ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Banking System ◽  
Sovereign Debt Crisis ◽  
European Level ◽  
Continuous Growth ◽  
Economic Context ◽  
European Economies ◽  
The Impact

Instilment, on a European level, of a state incompatible with the state of stability on a macroeconomic level and in the financial-banking system lead to continuous growth of vulnerability of European economies, situated at the verge of an outburst of sovereign debt crises. In this context, the current papers main objective is to produce a study regarding the vulnerability of European economies faced with potential outburst of sovereign debt crisis, which implies quantitative analysis of the impact of sovereign debt on the sensitivity of the European Unions economies. The paper also entails the following specific objectives: completing an introduction in the current European economic context, conceptualization of the notion of “sovereign debt crisis, presenting the methodology and obtained empirical results, as well as exposition of the conclusions.

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