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Stock Market Integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …
Persistent link: https://www.econbiz.de/10008583722
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Securitization of Mortgage Debt, Asset Prices and International Risk Sharing
Hoffmann, Mathias; Nitschka, Thomas - CESifo - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption risk sharing: we find that countries with the most...
Persistent link: https://www.econbiz.de/10005406369
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Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis
Arezki, Rabah; Candelon, Bertrand; Sy, Amadou - CESifo - 2011
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The...
Persistent link: https://www.econbiz.de/10008914278
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International Credit Flows and Pecuniary Externalities
Brunnermeier, Markus; Sannikov, Yuliy - CESifo - 2015
This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities. First, an undercapitalized country borrows too...
Persistent link: https://www.econbiz.de/10011124895
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Financial Integration, Globalization, and Real Activity
Nicolò, Gianni De; Juvenal, Luciana - CESifo - 2012
Using data for a large number of advanced and emerging market economies during 1982-2009, this paper examines the distinct impact of financial integration and globalization on several dimensions of real activity. We find that: (a) financial integration has progressed significantly worldwide,...
Persistent link: https://www.econbiz.de/10009645640
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How National and International Financial Development Affect Industrial R&D
Maskus, Keith E.; Neumann, Rebecca; Seidel, Tobias - CESifo - 2011
We examine the impacts of both domestic and international financial market development on R&D intensities in 22 manufacturing industries in 18 OECD countries for the period 1990-2003. We take account of such industry characteristics as the need for external financing and the amount of tangible...
Persistent link: https://www.econbiz.de/10009150632
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Macro News and Bond Yield Spreads in the Euro Area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - CESifo - 2014
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...
Persistent link: https://www.econbiz.de/10010948819
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Equity Risk Premium and Regional Integration
Arouri, Mohamed El Hedi; Teulon, Frédéric; Rault, … - CESifo - 2013
This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...
Persistent link: https://www.econbiz.de/10010877634
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Market Structure and the Cost of Capital
Arouri, Mohamed El Hedi; Rault, Christophe; Sova, Robert; … - CESifo - 2013
We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...
Persistent link: https://www.econbiz.de/10010877642
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Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - CESifo - 2014
This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation...
Persistent link: https://www.econbiz.de/10010877764