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Animal Spirits in the Euro Area Sovereign CDS Market
Blommestein, Hans J.; Eijffinger, Sylvester C W; Qian, … - C.E.P.R. Discussion Papers - 2012
We study the determinants for the sovereign credit default swap (CDS) spreads of five Euro-area countries (Greece, Ireland, Italy, Portugal, Spain) in the post-Lehman-Brothers period. We find that there are regime switches in the process of sovereign CDS spread changes. We consider three...
Persistent link: https://www.econbiz.de/10011084490
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009
The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...
Persistent link: https://www.econbiz.de/10008491718
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Increased Correlation in Bear markets: A Downside Risk Perspective
Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002
A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …
Persistent link: https://www.econbiz.de/10005124110
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Extreme Correlation of International Equity Markets
Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …
Persistent link: https://www.econbiz.de/10005504611
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Measuring Co-Movements Between US and European Stock Markets
Bonfiglioli, Alessandra; Favero, Carlo A. - C.E.P.R. Discussion Papers - 2000
In this paper we concentrate on the potential consequences for the European stock market of a correction of the US stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By considering a Vector Error Correction Model, in which stock...
Persistent link: https://www.econbiz.de/10005067572
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Use of Banking Services in Emerging Markets--Household-Level Evidence
Beck, Thorsten; Brown, Martin - C.E.P.R. Discussion Papers - 2011
This paper uses survey data for 60,000 households from 29 transition economies in 2006 and 2010 to explore how the use of banking services is related to household characteristics, as well as to bank ownership, deposit insurance and creditor protection. At the household level we find that the...
Persistent link: https://www.econbiz.de/10009205063
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Defensive and Strategic Restructuring in Central European Enterprises
Grosfeld, Irena; Roland, Gérard - C.E.P.R. Discussion Papers - 1995
This paper interprets the existing evidence on enterprise restructuring in Poland, Hungary and the Czech Republic. Despite differences in restructuring policies, the pattern of observed restructuring appears similar in the three countries. Contrary to initial expectations, managers of SOEs have...
Persistent link: https://www.econbiz.de/10005662184
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Key Elements of the Reform of the Hungarian Banking System: Privatization and Portfolio Cleaning
Várhegyi, Eva - C.E.P.R. Discussion Papers - 1993
This paper focuses on some of the major problems of the Hungarian banking system and investigates the possible ways to deal with these problems. It discusses the issue of bank restructuring, concentrating on the large commercial banks for which direct or indirect state ownership is decisive....
Persistent link: https://www.econbiz.de/10005791244
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The Capital Structure of Firms in Central and Eastern Europe
Cornelli, Francesca; Portes, Richard; Schaffer, Mark E - C.E.P.R. Discussion Papers - 1996
According to more recent theories on the optimal capital structure, the availability of external financing is not always guaranteed, or it may come at different costs, depending on the methods of financing used (debt vs. equity, long-term debt vs. short-term debt, etc.). Under such...
Persistent link: https://www.econbiz.de/10005791543
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Financial Reform in Eastern Europe: Progress With the Wrong Model
Corbett, Jennifer; Mayer, Colin - C.E.P.R. Discussion Papers - 1991
Eastern Europe is engaged in a massive programme of financial reform. This paper argues that while this programme has many desirable features, it has failed to address some of the most basic issues. These concern the relationship between the financial system and the enterprise sector, and the...
Persistent link: https://www.econbiz.de/10005791741