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The Emergence of the Euro as an International Currency

Alogoskoufis, George; Portes, Richard; Rey, Hélène - C.E.P.R. Discussion Papers - 1997

*The European Union will enter Stage Three of Economic and Monetary Union (EMU) in 1999. The development of euro … financial markets and thickness externalities in the use of the euro as means of payment will be the major factors determining … the importance of the euro as an international currency. As euro securities markets become deeper and more liquid and …

Persistent link: https://www.econbiz.de/10005662175

Capital Controls and Macroprudential Measures: What Are They Good For?

Forbes, Kristin; Fratzscher, Marcel; Straub, Roland - C.E.P.R. Discussion Papers - 2014

Are capital controls and macroprudential measures successful in achieving their objectives? Assessing their effectiveness is complicated by selection bias and endogeneity; countries which change their capital-flow management measures (CFMs) often share specific characteristics and are responding...

Persistent link: https://www.econbiz.de/10011084623

Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls

Forbes, Kristin; Fratzscher, Marcel; Straub, Roland - C.E.P.R. Discussion Papers - 2012

We use changes in Brazil’s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil’s tax on...

Persistent link: https://www.econbiz.de/10011084681

Monetary Policy Shocks and Portfolio Choice

Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - C.E.P.R. Discussion Papers - 2010

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/10008692318

Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

Ehrmann, Michael; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2015

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It … identification. The paper finds that euro area government bond markets were well integrated prior to the crisis, but saw a …

Persistent link: https://www.econbiz.de/10011276387

Asset Prices, News Shocks and the Current Account

Fratzscher, Marcel; Straub, Roland - C.E.P.R. Discussion Papers - 2010

We analyze the relationship between asset prices and current account positions estimating a Bayesian VAR for a broad set of 42 industrialized and emerging market countries. To derive model-based identifying restrictions, we model asset price shocks as news shocks about future productivity in a...

Persistent link: https://www.econbiz.de/10008680756

Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model

Chudik, Alexander; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2010

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/10008692308

Capital Flows, Push versus Pull Factors and the Global Financial Crisis

Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2011

The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks--key crisis events as well as...

Persistent link: https://www.econbiz.de/10009207523

The Determinants of Cross-Border Equity Flows

Portes, Richard; Rey, Hélène - C.E.P.R. Discussion Papers - 1999

We apply a new approach to a new panel data set on bilateral gross cross-border equity flows between 14 countries, 1989-96. The remarkably good results have strong implications for theories of asset trade. We find that the geography of information heavily determines the pattern of international...

Persistent link: https://www.econbiz.de/10005067617

Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - C.E.P.R. Discussion Papers - 2011

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...

Persistent link: https://www.econbiz.de/10009148883