Narrow search
Showing 1 - 10 of 678
Cover Image
Asset fire sales and purchases and the international transmission of financial shocks
Jotikasthira, Chotibhak; Lundblad, Christian T; … - C.E.P.R. Discussion Papers - 2009
We provide new evidence on the channels through which financial shocks are transmitted across international borders. Employing monthly data from 1996 to 2008 on over 1,000 developed country-domiciled mutual and hedge funds, we show that inflows and outflows experienced by these funds translate...
Persistent link: https://www.econbiz.de/10008458295
Cover Image
Asymmetric Information in the Stock Market: Economic News and Co-movement
Albuquerque, Rui; Vega, Clara - C.E.P.R. Discussion Papers - 2006
included in the regression; we provide evidence in the paper that this effect does not derive from contagion as commonly …
Persistent link: https://www.econbiz.de/10005666949
Cover Image
The Role of Portfolio Constraints in the International Propagation of Shocks
Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2008
phenomenon known as contagion. The model generates predictions consistent with other important empirical results such as …
Persistent link: https://www.econbiz.de/10005791401
Cover Image
Wealth Transfers, Contagion and Portfolio Constraints
Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005
wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among …
Persistent link: https://www.econbiz.de/10005504325
Cover Image
Global Imbalances and the Financial Crisis: Products of Common Causes
Obstfeld, Maurice; Rogoff, Kenneth - C.E.P.R. Discussion Papers - 2009
This paper makes a case that the global imbalances of the 2000s and the recent global financial crisis are intimately connected. Both have their origins in economic policies followed in a number of countries in the 2000s and in distortions that influenced the transmission of these policies...
Persistent link: https://www.econbiz.de/10008557008
Cover Image
Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets
Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; … - C.E.P.R. Discussion Papers - 2012
We investigate how "news" affected domestic interest spreads vis-à-vis Germany and how it propagated to other countries during the recent crisis period, thereby distinguishing between the so-called GIIPS countries and other European countries. We make original use of the Eurointelligence...
Persistent link: https://www.econbiz.de/10011083333
Cover Image
The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market
Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; … - C.E.P.R. Discussion Papers - 2014
We use realized variances and covariances based on intraday data from Eurozone sovereign bond market to measure the dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence newsflash, on the dependence structure. More news...
Persistent link: https://www.econbiz.de/10011084398
Cover Image
Evaporating Liquidity
Nagel, Stefan - C.E.P.R. Discussion Papers - 2012
The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time-varying and highly predictable with the VIX index....
Persistent link: https://www.econbiz.de/10011084170
Cover Image
Government Bond Risk Premiums in the EU revisited: The Impact of the Financial Crisis
Schuknecht, Ludger; von Hagen, Jürgen; Wolswijk, Guido - C.E.P.R. Discussion Papers - 2009
This note looks at US$ and DM/Euro denominated government bond spreads relative to US and German benchmark bonds before and after the start of the current financial crisis. The study finds, first, that bond yield spreads before and during the crisis can largely be explained on the basis of...
Persistent link: https://www.econbiz.de/10008477178
Cover Image
Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - C.E.P.R. Discussion Papers - 2002
This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes … existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is … country-specific shocks in Hong Kong, our test finds evidence of contagion for 5 countries out of a sample of 17. This is in …
Persistent link: https://www.econbiz.de/10005791976