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Volatility Patterns of CDs, Bond and Stock Markets Before and During the Financial Crisis : Evidence from Major Financial Institutions

Belke, Ansgar Hubertus - 2011

This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...

Persistent link: https://www.econbiz.de/10013128075

When Does it Hurt? The Exchange Rate 'Pain Threshold' for German Exports

Belke, Ansgar Hubertus - 2009

euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play … area to about 1.55 US dollar per euro. In our interpretation, this is the current "pain threshold", where a strong spurt … reaction of exports to a further appreciation of the euro is expected to start …

Persistent link: https://www.econbiz.de/10013155088

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

Bernoth, Kerstin - 2019

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...

Persistent link: https://www.econbiz.de/10012891675

Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound : Evidence for the ECB and the Fed

Belke, Ansgar Hubertus - 2012

We propose an alternative way of estimating Taylor reaction functions if the zero-lowerbound on nominal interest rates is binding. This approach relies on tackling the real rather than the nominal interest rate. So if the nominal rate is (close to) zero central banks can influence the inflation...

Persistent link: https://www.econbiz.de/10013103372

Global Liquidity, World Savings Glut and Global Policy Coordination

Belke, Ansgar Hubertus - 2010

The global imbalances of the 2000s and the recent global financial crisis are intimately connected. Both originate in the combination of economic policies adopted by the two key economies, the US and China. Global financial markets served as a transmission belt, both during the boom as during...

Persistent link: https://www.econbiz.de/10013144334

Reinforcing EU Governance in Times of Crisis : The Commission Proposals and Beyond

Belke, Ansgar Hubertus - 2011

governance in the EU and the euro area since the launch of the Economic and Monetary Union. Broader and enhanced surveillance of …

Persistent link: https://www.econbiz.de/10014187416

The Credibility of Monetary Policy Announcements : Empirical Evidence for OECD Countries Since the 1960s

Belke, Ansgar Hubertus - 2012

Monetary policy rules have been considered as fundamental protection against inflation. However, empirical evidence for a correlation between rules and inflation is relatively weak. In this paper, we first discuss likely causes for this weak link and present the argument that monetary commitment...

Persistent link: https://www.econbiz.de/10013103579

Interest Rate Pass-Through in the EMU : New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data

Belke, Ansgar Hubertus - 2012

between loan rates and the Euro OverNight Index Average (EONIA). Based on these findings, we allow for different nonlinear …

Persistent link: https://www.econbiz.de/10013103644

In-Sample and Out-of-Sample Prediction of Stock Market Bubbles : Cross-Sectional Evidence

Herwartz, Helmut - 2012

We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of price bubble periods are determined. Using these...

Persistent link: https://www.econbiz.de/10013112839

Real Convergence, Capital Flows, and Competitiveness in Central and Eastern Europe

Belke, Ansgar Hubertus - 2009

The paper scrutinizes the role of wages and capital flows for competitiveness in the new EU member states in the context of real convergence. For this purpose it extends the seminal Balassa-Samuelson model by international capital markets. The augmented Balassa-Samuelson model is linked to the...

Persistent link: https://www.econbiz.de/10013155099