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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

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

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

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

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

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

Information Sharing and Credit: Firm-Level Evidence from Transition Countries

Brown, Martin; Jappelli, Tullio; Pagano, Marco - C.E.P.R. Discussion Papers - 2007

information sharing is associated with improved availability and lower cost of credit to firms, and that this correlation is …

Persistent link: https://www.econbiz.de/10005136657

Financial Crisis, Economic Recovery and Banking Development in Former Soviet Union Economies

Huang, Haizhou; Marin, Dalia; Xu, Cheng-Gang - C.E.P.R. Discussion Papers - 2003

This Paper explains both the onset of the financial crisis in 1998 and the striking economic recovery afterwards in Russia and other Former Soviet Union (FSU) economies. Before the crisis banks do not lend to the real sector of the economy, and firms use non-bank finance - including trade...

Persistent link: https://www.econbiz.de/10005067352

Bank Competition and Enterprise restructuring in Transition Economies

Schnitzer, Monika - C.E.P.R. Discussion Papers - 1998

We investigate how bank competition affects the efficiency of credit allocation, using a model of spatial competition. Our analysis shows that bad loans are more likely the larger the number of banks competing for customers. We study further how many banks will be active if market entry is not...

Persistent link: https://www.econbiz.de/10005067568

Financial Systems in Transition: Is there a Case for a Bank Based System?

Grosfeld, Irena - C.E.P.R. Discussion Papers - 1994

This paper looks at empirical evidence and economic theory in order to find some guidelines for building the institutions of a financial system. It argues that in the countries in transition, priority should be given to stimulating information generation about investment opportunities, and to...

Persistent link: https://www.econbiz.de/10005067573

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