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Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe
Vinhas de Souza, Lúcio - Deutsche Bundesbank - 2004
This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of ?emerging...
Persistent link: https://www.econbiz.de/10005083257
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Project Finance at the World Bank: An Overview of Policies and Instruments.
Benoit, P. - World Bank Group - 1996
Private and public sector sponsors of infrastructure, industrial and other commercial projects in developing countries are looking increasingly to the project finance structure to fund these operations. The World Bank has an array of financial instruments to support these projects. This paper...
Persistent link: https://www.econbiz.de/10005780263
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World Bank Lending for Small Enterprises 1989-1993.
Webster, L.M.; Riopelle, R.; Chidzero, A.M. - World Bank Group - 1996
The main objective of this report is to evaluate World Bank lending for small enterprises between FY89 and FY93, including both small and medium enterprises and microenterprises. There has been a marked shift in the Bank's work in this area, and this review details the nature and content of this...
Persistent link: https://www.econbiz.de/10005639100
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German bank lending during emerging market crises: A bank level analysis
Heid, Frank; Nestmann, Thorsten; Mauro, di; Weder, Beatrice - Deutsche Bundesbank - 2004
This paper studies German bank lending during the Asian and Russian crises, using a bank level data set, which has been compiled from credit data at the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We...
Persistent link: https://www.econbiz.de/10005082775
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Asset Allocation in Transition Economies.
Jondeau, E.; Rockinger, M. - Banque de France - 2002
Designing an investment strategy in transition economies is a difficult task, because stock markets opened through time, time series are short, and there is little guidance how to obtain expected returns and covariance matrices necessary for mean-variance asset allocation. Moments of market...
Persistent link: https://www.econbiz.de/10005056532
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Une mesure de la persistance dans les indices boursiers.
Avouyi-Dovi, S.; Guégan, D.; Ladoucette, S. - Banque de France - 2002
We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the...
Persistent link: https://www.econbiz.de/10005056504
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010956052
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Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - Institut für Weltwirtschaft (IfW) - 2012
The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10010956076
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Contagion Between European and US Banks: Evidence from Equity Prices
Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2010
This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …
Persistent link: https://www.econbiz.de/10008764567
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Is there Evidence of Shift-Contagion in International Housing Markets?
de Bandt, O.; Malik, S. - Banque de France - 2010
The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e …
Persistent link: https://www.econbiz.de/10008682873