How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach

Vides, José Carlos; Golpe, Antonio A.; Iglesias, Javier

doi:10.1007/s10663-017-9386-2

Cited by 4 publications

(2 citation statements)

References 62 publications

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“…[Insert Table 6 here] As expected, the negative and statistically significant estimates on the contemporaneous parameter( 2 ) suggest that increases in the cost of capital might reduce the supply of credit to to the transmission channel under investigation in this study, equity investors perceive these institutions as relatively riskier than core country banks (see, Chiesa and Mansilla-Fernández 2018). 13 Following Vides et al (2018) who perform a thorough analysis of the integration of European stock markets after the sovereign-debt crisis, we include the CDS of sovereign debt at the country level to avoid confounding effects. customers in the short-term.…”

Section: The Effects Of the Cost Of Capital On The Supply Of Creditsupporting

confidence: 57%

The dynamic effects of non-performing loans on banks’ cost of capital and lending supply in the Eurozone

Chiesa

Fernández

2020

Empirica

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This paper analyses the transmission channel from non-performing loans (NPLs) to the cost of capital, credit provision and liquidity creation in the banks of the Eurozone. The empirical results suggest that holdings of non-performing loans increase both the long-and short-term cost of capital for banks. Moreover, the less capitalized the bank, the greater the reduction in credit provision and liquidity creation due to the increased cost of capital. This phenomenon is found to be more economically significant for European periphery country banks than for core country banks. The identification of the transmission channel is robust to the Granger predictability test.

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Section: The Effects Of the Cost Of Capital On The Supply Of Creditsupporting

confidence: 57%

The dynamic effects of non-performing loans on banks’ cost of capital and lending supply in the Eurozone

Chiesa

Fernández

2020

Empirica

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“…We note that there is another commonly used cointegration approachthe fractional cointegration approach introduced by Cheung and Lai (1993), Marinucci and Robinson (2001) and others. There are many applications of using this approach, , Chen et al (2007), Shrestha et al (2007), Lee et al (2013) and Vides et al (2017). 4.7 Covariance, copulas and variability Models of covariance, copulas and variability can be used in analyzing important issues in behavioral economics and behavioral finance.…”

Section: Volume and Volatilitymentioning

confidence: 99%

Review on behavioral economics and behavioral finance

Wong

2020

SEF

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Purpose This paper aims to give a brief review on behavioral economics and behavioral finance and discusses some of the previous research on agents' utility functions, applicable risk measures, diversification strategies and portfolio optimization. Design/methodology/approach The authors also cover related disciplines such as trading rules, contagion and various econometric aspects. Findings While scholars could first develop theoretical models in behavioral economics and behavioral finance, they subsequently may develop corresponding statistical and econometric models, this finally includes simulation studies to examine whether the estimators or statistics have good power and size. This all helps us to better understand financial and economic decision-making from a descriptive standpoint. Originality/value The research paper is original.