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Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book

Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - CESifo - 2009

beliefs of market participants. We find for our sample that intervention increases exchange rate volatility (and spread) for … the next minutes but that intervention days show a lower degree of volatility (and spread) than non-intervention days. We … also show for intraday data that the price impact of interbank order flow is smaller on intervention days than on non-intervention …

Persistent link: https://www.econbiz.de/10004979392

Transatlantic Monetary and Fiscal Policy Interaction

Aarle, Bas van; Garretsen, Harry; Huart, Florence - CESifo - 2003

This paper studies the design, effects and interactions of monetary and fiscal policies in the euro-area and between the euro-area and the non euro-area. To do so, a stylized three-country model of monetary and fiscal policy rules is constructed. It is analyzed how monetary and fiscal rules...

Persistent link: https://www.econbiz.de/10005765866

National Representation in Multinational Institutions: The Case of the European Central Bank

Badinger, Harald; Nitsch, Volker - CESifo - 2011

Multinational institutions face an important trade-off when hiring personnel. On the one hand, hiring decisions are based, as in most organizations, on a candidate’s professional qualifications. On the other hand, multinational institutions often aim for broad national representation....

Persistent link: https://www.econbiz.de/10009294095

Optimal Central Bank Conservatism and Monopoly Trade Unions

Berger, Helge; Hefeker, Carsten; Schöb, Ronnie - CESifo - 2001

OPTIMThe “conservative central banker” has come under attack recently. Explicitly modeling the interaction of a trade union with monetary policy, it has been argued that the standard solution to the inflationary bias in monetary policy might actually be welfare reducing if the trade union...

Persistent link: https://www.econbiz.de/10005181631

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

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

Oil Prices, Exchange Rates and Asset Prices

Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10010877722

Spillovers from Systemic Bank Defaults

Mink, Mark; Haan, Jakob de - CESifo - 2014

We examine to what extent banks’ stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...

Persistent link: https://www.econbiz.de/10010877758

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

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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