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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

Foreign Bank Entry into Emerging Economies: An Empirical Assessment of the Determinants and Risks Predicated on German FDI Data

Wezel, Torsten - 2004

The paper investigates the factors crucial in the locational decisions of multinational German banks in selected emerging markets of central and eastern Europe, Latin America and Asia between 1994 and 2001. Emphasis is placed on testing variables of macroeconomic and financial sector risk along...

Persistent link: https://www.econbiz.de/10010295628

Does co-financing by multilateral development banks increase "risky" direct investment in emerging markets?

Wezel, Torsten - 2004

The paper discusses the question of whether financial participation of multilateral development banks does prompt private investors to inject more risky equity capital in emerging market banks. Using a theoretical model, it is stipulated that the presence of an official lender in a project gives...

Persistent link: https://www.econbiz.de/10010295629

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

Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - 2010

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that …

Persistent link: https://www.econbiz.de/10010300391

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

The determinants of cross-border bank flows to emerging markets: New empirical evidence on the spread of financial crises

Herrmann, Sabine; Mihaljek, Dubravko - 2010

This paper studies the nature of spillover effects in bank lending flows from advanced to the emerging market economies and identifies specific channels through which such effects occur. Based on a gravity model we examine a panel data set on cross-border bank flows from 17 advanced to 28...

Persistent link: https://www.econbiz.de/10010301350

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

Global business cycles: convergence or decoupling?

Kose, M. Ayhan; Otrok, Christopher M.; Prasad, Eswar S. - 2008

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups: industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...

Persistent link: https://www.econbiz.de/10010298739