Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.622041
Title: Essays on financial stability, systemic risk and the spillover effects of financial crises
Author: Tsopanakis, Andreas
ISNI:       0000 0004 5360 7279
Awarding Body: University of Glasgow
Current Institution: University of Glasgow
Date of Award: 2014
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Abstract:
This thesis investigates in depth several aspects of economic activity through an aggregated metric, which aims to account for the inherent distressful characteristics of the financial system. This work is strongly motivated by the extraordinary evolution of the financial and economic landscape and the induced fragility within its foundations, especially during the last years. Chapter 1 provides an overview of the theoretical considerations on the topics discussed in this thesis. Additionally, the motivations and a brief presentation of the thesis contents are provided. Chapter 2 empirically investigates the leading indicator properties of the aggregate systemic risk indices to the real economy. In order to do that, I construct a series of financial stress indices for 25 countries. The countries are bundled into three groups (OECD, Asian, Latin American countries) and, apart from the national indexes, regional and a global index are computed. In order to do this, a number of variables from the banking sector, financial and capital markets and the foreign exchange market of each country, have been used for the implementation of these indicators. The indexes are successful early warning indicators, accurately capturing previous financial stress periods, while the financial turmoil of 2007-2009 is, without doubt, the most severe one. Forecasting exercises indicate the improved ability of indices-enhanced models to successfully predict the evolution of economic activity. Chapter 3 investigates the interrelations and financial interconnections of the Eurozone economies. Financial stress indices are constructed for, both, countries and their four most important financial markets (banking, money, equity and bond). Using VAR models, a number of innovative conclusions are reached, such that: 1) not all peripheral countries (and especially Greece and Portugal) should be blamed for the crisis exacerbation 2) there is clear evidence of stronger interdependencies between banking and bond markets and 3) a degree of segregation (in terms of financial stress interdependence) between peripheral and core Eurozone economies. The last essay aims to the deeper empirical investigation of potential crosscovariances and spillover effects between the Eurozone economies and financial markets. Full, asymmetric GARCH-BEKK models are estimated, both on a market (or 3 country) wide level and, then, with the full spectrum of Euro Area markets. In other words, we complete an empirical examination, both “within” and “between” Eurozone economies and markets. The results reveal a number of interesting insights: on country wide level, there is strong volatility transmission channel from the most heavily hit, from the crisis, economies towards the rest. Additionally, the crucial importance and role on this transmission from the banking and bond markets is underlined. Contrary to common wisdom, Greece is not the main propagator of volatility uncertainty, while it is between the most important receivers of volatility risk. The same holds for other peripheral economies, while the importance of money market is also evident in the large, “between”, empirical approach.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.622041  DOI: Not available
Keywords: HB Economic Theory ; HG Finance
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