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Time-Varying Spot and Futures Oil Price Dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10008557209
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Drivers of Structural Change in Cross-Border Banking since the Global Financial Crisis
Bremus, Franziska; Fratzscher, Marcel - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
importance of regulatory arbitrage as a driver of cross-border bank flows since the global financial crisis. However, in the euro … area, arbitrage in capital stringency was linked to lower cross-border lending since the crisis. …
Persistent link: https://www.econbiz.de/10011185763
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The Global Crisis and Equity Market Contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...
Persistent link: https://www.econbiz.de/10011266597
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Evaluating Greek Equity Funds Using Data Envelopment Analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an...
Persistent link: https://www.econbiz.de/10004963857
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Cross-Country Stock Market Reactions to Major Terror Events: The Role of Risk Perception
Drakos, Konstantinos - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
The extant literature has established that the occurrence of major terrorist events leads to negative abnormal returns not only to the location of the event, but also to third countries. However, the literature has neither investigated which are the diffusion mechanisms of terrorist shocks, nor...
Persistent link: https://www.econbiz.de/10008519458
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. …
Persistent link: https://www.econbiz.de/10008742946
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10008541304
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Theory of Storage: An Empirical Assessment of the European Natural Gas Market
Stronzik, Marcus; Rammerstorfer, Margarethe; Neumann, Anne - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
, considering the theory of storage to derive a testable hypothesis imposed by the non-arbitrage condition. To model the efficiency … operators of storage facilities realize seasonal arbitrage profits, and that market performance overall is substantially …
Persistent link: https://www.econbiz.de/10005068760
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Electric Vehicles in Imperfect Electricity Markets: A German Case Study
Schill, Wolf-Peter - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
We analyze the impacts of a hypothetical fleet of plug-in electric vehicles on the imperfectly competitive German electricity market with a game-theoretic model. Electric vehicles bring both additional demand and additional storage capacity to the market. We determine their effects on prices,...
Persistent link: https://www.econbiz.de/10008754941
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Institutional Determinants of Financial Development in MENA Countries
Cherif, Mondher; Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
Developed and well regulated financial markets are usually seen as a precondition for an efficient allocation of resources and can foster long term economic growth. This paper explores the institutional determinants for financial development in the countries of the Middle East and North African...
Persistent link: https://www.econbiz.de/10010942859