Financial illness and political virus: the case of contagious crises in the Eurozone

Samitas, Aristeidis; Kampouris, Elias

doi:10.1080/02692171.2017.1394272

Cited by 9 publications

(5 citation statements)

References 21 publications

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“…However, after the emergence of the Cyprus banking crisis, this correlation was significantly decreased. These findings are in line with similar literature on the topic (Samitas & Kampouris, 2019).…”

Section: Resultssupporting

confidence: 93%

Spillover effects between Greece and Cyprus: a DCC model on the interdependence of small economies

Samitas

Kampouris

Polyzos

et al. 2020

Investment Management and Financial Innovations

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This paper discusses the volatility spillovers between the Greek debt crisis and the Cypriot financial crisis. Cyprus was in the spotlight of financial markets due to significant problems stemming from the banking sector, which were dealt with by EU regulators with a bail-in on bank deposits. The current analysis aims to shed light on the reasons behind implementing this novel approach to bank distress. The study uses a Dynamic Conditional Correlation model on the returns of the stock markets of the two countries, which shows strong spillover effects during the period leading up to the 2013 Cypriot crisis, but a significant decrease of these effects from then on. The results confirm the close interdependence of the Greek and Cypriot economies before 2013 and show that this interdependence was limited from that point onwards. This would indicate that since the risk of contagion to the Eurozone had diminished, regulators could test the bail-in solution in Cyprus in 2015. The current work contributes to the discussion on the interdependence of European economies. The paper’s findings can also be applied to other emerging European economies.

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Section: Resultssupporting

confidence: 93%

Spillover effects between Greece and Cyprus: a DCC model on the interdependence of small economies

Samitas

Kampouris

Polyzos

et al. 2020

Investment Management and Financial Innovations

Self Cite

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“…We have chosen the historical simulation technique since it is widely used by practitioners who appreciate its model-free nature. GARCH models of the returns are vastly assumed in the finance and economics literature (among others see Engle 2001;Engle et al 2008;Samitas and Kampouris 2017). The Monte Carlo simulation exercise consists of the generation of 10,000 values for the P&L distribution.…”

Section: Risk Measures Computation Backtesting and Comparisonmentioning

confidence: 99%

Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk

Hitaj

Mateus

Peri

2018

Risks

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This paper presents the first methodological proposal of estimation of the ΛVaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hence, we test our ΛVaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit and loss distribution. The findings show that our ΛVaR estimations are able to capture the tail risk and react to market fluctuations significantly faster than the VaR and expected shortfall. The backtesting exercise displays a higher level of accuracy for our ΛVaR estimations.

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“…The UK is geographically excessively close to the Eurozone area, and it is also a member of the European Union, which makes the stock markets more correlated and eventually produces more interdependence. This finding applies only to the sample period (until 31st December 2015); things in stock markets may change rapidly, specifically after strong events like the UK's withdrawal from the European Union via Brexit in June of 2016 (Samitas & Kampouris, 2017a, 2017bSamitas, Polyzos, & Siriopoulos, 2017).…”

Section: Resultsmentioning

confidence: 96%

“…As shown in Figures A1–A5, France, Spain and Italy are countries with high rates of unemployment, high Debt to GDP ratios and small or negative GDP growth. These three countries cover a large proportion of the Eurozone, which creates significant concern about the future of the Eurozone and increases the uncertainty in the global financial environment (Samitas & Kampouris, 2017a, 2017b).…”

Section: Introductionmentioning

confidence: 99%

Financial contagion in real economy: The key role of policy uncertainty

2020

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This paper studies the spread of the Subprime Crisis and the European Sovereign Debt Crisis from Eurozone countries to the real economy by examining 10 sectors in major developed and emerging stock markets. First, we employ Cappiello et al., Journal of Financial Economics, 2006, 4, 537-572 model and copula functions to detect and cross-check the correlations and the contagion thereafter. Second, we uncover evidence of correlation behaviour between policy uncertainty indexes and stock market returns. The results demonstrate that no country and sector was immune to spillover effects, highlighting the limited effectiveness of policy makers for both the Subprime Crisis and the European Sovereign Debt Crisis. The empirical application provides evidence of significant volatility and tail dependence from the financial sector to many real sectors in the U.S. economy. Additionally, there is clear evidence that certain sectors, particularly Healthcare, Telecommunications, Utilities and Technology, were less severely affected by the crisis, as observed by Baur,

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Financial illness and political virus: the case of contagious crises in the Eurozone

Cited by 9 publications

References 21 publications

Spillover effects between Greece and Cyprus: a DCC model on the interdependence of small economies

Spillover effects between Greece and Cyprus: a DCC model on the interdependence of small economies

Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk

Financial contagion in real economy: The key role of policy uncertainty

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