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The determinants of the euro-dollar exchange rate: synthetic fundamentals and a non-existing currency

Clostermann, Jörg; Schnatz, Bernd - 2000

At the beginning of 1999 the euro was launched as a common currency in 11 European countries. This paper addresses … empirically the medium to long-term forces driving the real euro-dollar exchange rate. Constructing a synthetic euro … determinants of the real euro-dollar exchange rate: the international real interest rate differential, relative prices in the …

Persistent link: https://www.econbiz.de/10010295690

Monetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads

Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011

In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...

Persistent link: https://www.econbiz.de/10010286429

Currency blocs in the 21st century

Fischer, Christoph - 2011

economic variables determine a given country's currency bloc affiliation. The dollar bloc differs from the euro bloc in that …

Persistent link: https://www.econbiz.de/10010305207

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10010295747

Testing for structural breaks in dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - 2009

structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and … correlated. We also apply the suggested test procedure to a US dataset used in Stock and Watson (2005) and a euro-area dataset …

Persistent link: https://www.econbiz.de/10010298752

Monetary policy, housing booms and financial (im)balances

Eickmeier, Sandra; Hofmann, Boris - 2010

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

Persistent link: https://www.econbiz.de/10010300360

Price discovery on traded inflation expectations: does the financial crisis matter?

Schulz, Alexander; Stapf, Jelena - 2009

break-even inflation rates in the euro area and the US. For maturities up to 5 years new information comes from both the … swap and the bond markets. For longer maturities the swap market provides less and less information in the euro area. In …

Persistent link: https://www.econbiz.de/10010298999

Crises, rescues, and policy transmission through international banks

Buch, Claudia M.; Koch, Cathérine Tahmee; Koetter, Michael - 2011

The World Financial Crisis has shaken the fundamentals of international banking and triggered a downward spiral of asset prices. To prevent a further meltdown of markets, governments have intervened massively through rescues measures aimed at recapitalizing banks and through liquidity support....

Persistent link: https://www.econbiz.de/10010306000

Is socially responsible investing really beneficial? New empirical evidence for the US and European stock markets

Mollet, Janick Christian; Ziegler, Andreas - 2012

This paper empirically examines the theoretically ambivalent relationship between socially responsible investing (SRI) and stock performance. It extends the existing literature by considering both the US and the entire European stock markets as well as by using consistent world-wide corporate...

Persistent link: https://www.econbiz.de/10010294388

Central Bank accountability and transparency: theory and some evidence

Eijffinger, Sylvester C. W.; Hoeberichts, Marco - 2000

The first part of this paper outlines the concept of democratic accountability of central banks, and compares the legal accountability of the ECB with some other central banks (Bank of Canada, Bank of Japan, Bank of England and the Federal Reserve System). In the second part, we present a theory...

Persistent link: https://www.econbiz.de/10010295694