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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

The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro...

Persistent link: https://www.econbiz.de/10011185763

Testing for Convergence in Stock Markets: A Non-linear Factor Approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10008461820

Oil Prices, Exchange Rates and Asset Prices

Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10010659948

Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis

Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

in the CIS countries, and global drivers such as gold, oil and share prices. Global, regional and idiosyncratic shocks …

Persistent link: https://www.econbiz.de/10010661278

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

Persistent link: https://www.econbiz.de/10010635677

Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis

Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

in the CIS countries, and global drivers such as gold, oil and share prices. Global, regional and idiosyncratic shocks …

Persistent link: https://www.econbiz.de/10010783955

Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis

Dreger, Christian; Fidrmuc, Jarko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

in the CIS countries, and global drivers such as gold, oil and share prices. Global, regional and idiosyncratic shocks …

Persistent link: https://www.econbiz.de/10005069074

Spillovers between Food and Energy Prices and Structural Breaks

Al-Maadid, Alanoud; Caporale, Guglielma Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food...

Persistent link: https://www.econbiz.de/10011213875

Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market

Caporale, Guglielmo Maria; Girardi, Alessandro; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...

Persistent link: https://www.econbiz.de/10008742946

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity … exchange rate uncertainty on equity flows is negative in the euro area, the UK and Sweden, and positive in Australia, whilst it … aversion, this suggests that exchange rate uncertainty induces a home bias and causes investors to reduce their financing …

Persistent link: https://www.econbiz.de/10011128874