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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

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

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

What drives Target2 Balances? : evidence from a panel analysis

Auer, Raphael A. - 2013

is that since T2 imbalances were caused by a sudden stop and are unlikely to grow without bounds since Euro area CA …

Persistent link: https://www.econbiz.de/10009736765

The countercyclical capital buffer and the composition of bank lending

Auer, Raphael A.; Ongena, Steven - 2019

Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...

Persistent link: https://www.econbiz.de/10012064522

Exchange rate pass-through, domestic competition, and inflation : evidence from the 2005/08 revaluation of the Renminbi

Auer, Raphael A. - 2012

This paper quantifies the effect of the government-controlled appreciation of the Chinese renminbi (RMB) vis-à-vis the USD from 2005 to 2008 on the prices charged by US producers. As the RMB during that time was pegged to a basket of currencies, the empirical strategy must account for the fact...

Persistent link: https://www.econbiz.de/10009511759