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Bubble thy neighbor : portfolio effects and externalities from capital controls ; conference paper
Forbes, Kristin; Fratzscher, Marcel; Kostka, Thomas; … - 2013
We use changes in Brazil s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and …. We find that an increase in Brazil s tax on foreign investment in bonds causes investors to significantly decrease their … portfolio allocations to Brazil in both bonds and equities. Investors simultaneously increase allocations to other countries …
Persistent link: https://www.econbiz.de/10010341669
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The global crisis and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2014
We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...
Persistent link: https://www.econbiz.de/10010229208
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On the international spillovers of US quantitative easing
Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US...
Persistent link: https://www.econbiz.de/10009763863
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to other...
Persistent link: https://www.econbiz.de/10013081463
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US...
Persistent link: https://www.econbiz.de/10013080793
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Monetary Policy Shocks and Portfolio Choice
Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - 2009
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10011605168
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Monetary policy shocks and portfolio choice
Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - 2009
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10003969262
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Monetary Policy Shocks and Portfolio Choice
Fratzscher, Marcel - 2009
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10013153609
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China's dominance hypothesis and the emergence of a tri-polar global currency system
Fratzscher, Marcel; Mehl, Arnaud - 2011
euro and the Chinese renminbi (RMB). It focuses on what we call China’s “dominance hypothesis”, i.e. whether the renminbi … global financial crisis. These results are consistent with China’s dominance hypothesis and with the view that the … international monetary system is already tri-polar. However, we also find that China’s currency movements are to some extent …
Persistent link: https://www.econbiz.de/10011605438
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Euro area government bonds : integration and fragmentation during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...
Persistent link: https://www.econbiz.de/10010508561