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How to Exit From Fixed Exchange Rate Regimes?

Aşıcı, Ahmet Atıl; Ivanova, Nadezhda; Wyplosz, Charles - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Even though they can last for decades, fixed exchange rate regimes are increasingly seen as temporary arrangements, (Eichengreen, 1994). The hollowing out hypothesis, see, e.g. Fischer (2001), holds that fixed but adjustable exchange rate regimes of various kinds are scheduled to disappear in...

Persistent link: https://www.econbiz.de/10005858214

Financial Integration And Domestic Sovereignty In European Stock Markets

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

European equity markets since the introduction of the euro. We use a multivariate GARCH(1,1)-M return generating model allowing … euro and that sovereign risk represents a non-negligible component -on average 15%- of the excess ex- pected return … required for investing in the euro-zone as well as in a group of European stock markets enlarged to Switzerland and the UK. …

Persistent link: https://www.econbiz.de/10005859116

Strategic Transparency and Informed Trading : Will Capital Market Integration Force Convergence for Corporate Governance?

Perotti, Enrico C.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Dominant investors can influence the publicly available informa-tion about firms by affecting the cost of information collection. Under strategic competition, transparency results in higher variability of profits and output. Thus lenders prefer less transparency, since this protects firms when...

Persistent link: https://www.econbiz.de/10005859099

A Corporate Balance-Sheet Approach to Currency Crises

Aghion, Philippe; Bacchetta, Philippe; Banerjee, Abhijit - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper presents a general equilibrium currency crisis model of the thirdgeneration, in which the possibility of currency crises is driven by the in-terplay between private ﬁrms credit-constraints and nominal price rigidities.Despite our emphasis on microfoundations, the model remains...

Persistent link: https://www.econbiz.de/10005858997

Dismantling the Global Accrual Anomaly

Leippold, Markus; Lohre, Harald - Institut für Schweizerisches Bankwesen <Zürich> - 2007

International evidence on the accrual anomaly is sparse and conﬂicting. Testing for accrual mispricing in 28 equity markets, we provide statistical evidence for anomalous returns in some countries. However, we question whether this result might have occurred by chance alone and that it might...

Persistent link: https://www.econbiz.de/10005858030

Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations

Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

parsimonious. Estimation based on Functional Gradient Descent is computationally feasible also in very large dimensions without …

Persistent link: https://www.econbiz.de/10005858366

False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas

Barras, Laurent; Scaillet, Olivier; Wermers, R. - Institut für Schweizerisches Bankwesen <Zürich> - 2008

This paper uses a new approach to determine the fraction of truly skilled managers among the universe of U.S. domestic-equity mutual funds over the 1975 to 2006 period. We develop a simple technique that properly accounts for false discoveries, or mutual funds which exhibit significant...

Persistent link: https://www.econbiz.de/10005858726

When It Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News on Bond Returns in Expansions and Recessions

Beber, Alessandro; Brandt, Michael W. - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic expansions and recessions. We ﬁnd that the information content of macroeconomic announcements is mostimportant when it contains bad news for bond returns in expansions and,...

Persistent link: https://www.econbiz.de/10005858024

International Stock-Bond Correlations in a Simple Affine Asset Pricing Model

D'Addona, Stefano; Kind, Axel H. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post-war economies and its...

Persistent link: https://www.econbiz.de/10005858383

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Beber, Alessandro; Brandt, Michael W.; Kavajec, Kenneth A. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit …

Persistent link: https://www.econbiz.de/10005858392