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The Euro and International Capital Markets
Detken, Carsten; Hartmann, Philipp - C.E.P.R. Discussion Papers - 2000
a special emphasis on the first year of the Euro. A contribution is made as to how to measure these roles, both for … identification of changes in the role of the Euro during 1999 compared to the aggregate of Euro predecessor currencies, net of intra-Euro … examined empirically. It turns out that for almost all important market segments for which data are available, the Euro …
Persistent link: https://www.econbiz.de/10005123910
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Has the Euro changed the Business Cycle?
Enders, Zeno; Jung, Philip; Müller, Gernot - C.E.P.R. Discussion Papers - 2012
before and after the introduction of the euro. Exceptions are a strong decline in real exchange rate volatility and a … EMU on standard business cycles statistics. However, further analysis reveals that the euro has changed the nature of the …
Persistent link: https://www.econbiz.de/10011084347
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Is the Euro Sustainable?
Wickens, Michael R. - C.E.P.R. Discussion Papers - 2007
It is widely recognised that the "one-size-fits-all" monetary policy of the euro-zone is a potential problem. How much … of a problem has not been much investigated. It is argued in this paper that it may result in the euro not being … competitiveness. A formal theory of inflation in the euro-zone based on an open-economy version of the New Keynesian model is used to …
Persistent link: https://www.econbiz.de/10005789110
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Sovereign CDS and Bond Pricing Dynamics in the Euro-area
Palladini, Giorgia; Portes, Richard - C.E.P.R. Discussion Papers - 2011
six Euro-area countries over the period 2004-2011. As a first step, the supposed non stationarity of the two series is …
Persistent link: https://www.econbiz.de/10009365646
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Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows and Exchange Rates?
Hau, Harald; Rey, Hélène - C.E.P.R. Discussion Papers - 2004
We explore whether the pattern of international equity returns, equity portfolio flows, and exchange rate returns are consistent with the hypothesis that (unhedged) global investors rebalance their portfolio in order to limit their exchange rate exposure when there are (1) relative equity...
Persistent link: https://www.econbiz.de/10005123845
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Wealth Transfers, Contagion and Portfolio Constraints
Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005
This paper examines the co-movement among stock market prices and exchange rates within a three-country Centre-Periphery dynamic equilibrium model in which agents in the Centre country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...
Persistent link: https://www.econbiz.de/10005504325
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Privatization and Stock Market Liquidity
Bortolotti, Bernardo; de Jong, Frank; Nicodano, Giovanna; … - C.E.P.R. Discussion Papers - 2004
Using panel data of 19 developed economies in the period 1985-2000, we show that share issue privatization (SIP) strongly affects a fundamental aspect of financial development: market liquidity. First, we identify the channels through which a sustained SIP program boosts the liquidity of the...
Persistent link: https://www.econbiz.de/10005504346
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External Adjustment, Global Imbalances and Valuation Effects
Gourinchas, Pierre-Olivier; Rey, Hélène - C.E.P.R. Discussion Papers - 2013
We provide an overview of the recent developments of the literature on the determinants of long term capital flows, global imbalances and valuation effects. We present the main stylized facts of the new international financial landscape in which external balance sheets of countries have grown in...
Persistent link: https://www.econbiz.de/10011083349
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Sudden Spikes in Global Risk
Bacchetta, Philippe; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2012
Recent episodes (October 2008, May 2010, August 2011) have witnessed huge spikes in equity price risk (implied volatility). Apart from their large size, several features characterize these risk panics. They are global phenomena, shared among a broad set of countries. There is substantial...
Persistent link: https://www.econbiz.de/10011084461
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Sovereign Debt Rating Changes and the Stock Market
Michaelides, Alexander; Milidonis, Andreas; Nishiotis, … - C.E.P.R. Discussion Papers - 2012
Using event studies we find statistically and economically significant, negative daily abnormal stock market returns prior to sovereign debt rating downgrade announcements. Instrumental variable techniques show that these findings are more pronounced in countries with lower institutional...
Persistent link: https://www.econbiz.de/10011084556