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Statements of ECB officials and their effect on the level and volatility of the Euro-Dollar exchange rate

Jansen, David-Jan; Haan, Jakob de - 2003

This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB … officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We …. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to talk up the euro have not …

Persistent link: https://www.econbiz.de/10011507830

Capital flow reversals and currency crises : do capital flow types matter?

Zhang, Mengting; Steiner, Andreas; Haan, Jakob de; … - 2024

We analyse how reversals of several types of capital flows impact currency crises in emerging market and developing economies. Estimates of logit models show that reversals of (equity and debt) portfolio flows significantly increase the likelihood of currency crises in emerging market economies....

Persistent link: https://www.econbiz.de/10014502445

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868

Spillovers from systemic bank defaults

Mink, Mark; Haan, Jakob de - 2014

We examine to what extent banks' stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...

Persistent link: https://www.econbiz.de/10010354063

Finance and income inequality : a review and new evidence

Haan, Jakob de; Sturm, Jan-Egbert - 2016

Using a panel fixed effects model for a sample of 121 countries covering 1975-2005, we examine how financial development, financial liberalization and banking crises are related to income inequality. In contrast with most previous work, our results suggest that all finance variables increase...

Persistent link: https://www.econbiz.de/10011536253

Econometric issues in the analysis of contagion

Pesaran, M. Hashem; Pick, Andreas - 2004

This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion can be distinguished from inter-dependence. In a two-country (market) setup it is shown that for a range of fundamentals the solution is not unique, and for sufficiently large...

Persistent link: https://www.econbiz.de/10011402451

Alternative measures for the global financial cycle : do they make a difference?

Tian, Xin; Jacobs, Jan; Haan, Jakob de - 2022

We construct several measures for the global financial cycle using dynamic factor models and data for 25 advanced and emerging countries over 1980-2019. Our results suggest that global cycles in asset prices and capital flows are highly similar and synchronized, especially during crisis...

Persistent link: https://www.econbiz.de/10013186798

Double-question survey measures for the analysis of financial bubbles and crashes

Pesaran, M. Hashem; Johnsson, Ida - 2016

This paper proposes a new double-question survey method that elicits information about how individuals.subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...

Persistent link: https://www.econbiz.de/10011586267

A residual-based threshold method for detection of units that are too big to fail in large factor models

Kapetanios, George; Pesaran, M. Hashem; Reese, Simon - 2018

The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...

Persistent link: https://www.econbiz.de/10011942707

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10003807908