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What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - 2009

A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...

Persistent link: https://www.econbiz.de/10003867020

Identifying the global transmission of the 2007 - 09 financial crisis in a GVAR Model

Chudik, Alexander; Fratzscher, Marcel - 2011

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...

Persistent link: https://www.econbiz.de/10008901498

Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-11 sovereign debt crisis

Chudik, Alexander; Fratzscher, Marcel - 2012

Persistent link: https://www.econbiz.de/10009765241

Interdependence between the Euro area and the US : what role for EMU?

Ehrmann, Michael (contributor); … - 2002

Persistent link: https://www.econbiz.de/10001749417

Purdah: on the rationale for central bank silence around policy meetings

Ehrmann, Michael (contributor); … - 2008

Despite substantial differences in monetary policy and communication strategies, many central banks share the practice of purdah, a self-imposed guideline of abstaining from communication around policy meetings or other important events. This practice is remarkable, as it seems to contradict the...

Persistent link: https://www.econbiz.de/10003747979

Towards a new early warning system of financial crises

Bussière, Matthieu; Fratzscher, Marcel - 2002

Persistent link: https://www.econbiz.de/10001670914

Global financial transmission of monetary policy shocks

Ehrmann, Michael (contributor); … - 2006

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10003320671

The transmission of emerging market shocks to global equity markets

Fratzscher, Marcel (contributor); … - 2007

The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs,...

Persistent link: https://www.econbiz.de/10003410617

On the international spillovers of US quantitative easing

Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - 2013

Persistent link: https://www.econbiz.de/10009766400

Does it pay to have the euro? : Italy's politics and financial markets under the lira and the euro

Fratzscher, Marcel; Stracca, Livio - 2009

's prosperity. The paper focuses on political events in Italy over the past 35 years and asks whether the adoption of the euro in …'s financial markets throughout the 1970s, 1980s and 1990s. The introduction of the euro appears to have indeed played a major role … interesting for other countries with weak institutions considering adopting a currency based on stronger institutions. -- Euro …

Persistent link: https://www.econbiz.de/10003867036