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Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions

Belke, Ansgar; Gokus, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …

Persistent link: https://www.econbiz.de/10008855329

Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data

Kollias, Christos; Papadamou, Stephanos; Siriopoulos, Costas - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

. Findings reported herein indicate that the volatility of stock market returns is increased in all three cases. …

Persistent link: https://www.econbiz.de/10010553342

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

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

characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. …

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

Capital Controls and Macroprudential Measures: What Are They Good For?

Forbes, Kristin; Fratzscher, Marcel; Straub, Roland - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

Are capital controls and macroprudential measures successful in achieving their objectives? Assessing their effectiveness is complicated by selection bias and endogeneity; countries which change their capital-flow management measures (CFMs) often share specific characteristics and are responding...

Persistent link: https://www.econbiz.de/10010721647

Convergence of Electricity Wholesale Prices in Europe?: A Kalman Filter Approach

Zachmann, Georg - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2005

This study tests the hypothesis that the ongoing restructuring process in the European electricity sector, as well as market participants' adaptation to the new legal framework, have caused electricity wholesale day-ahead prices to converge towards arbitrage freeness. Using hourly cross-border...

Persistent link: https://www.econbiz.de/10005069054

Rogue State Behavior and Markets: The Financial Fallout of North Korean Nuclear Tests

Kollias, Christos; Papadamou, Stephanos - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

Financial markets react to major political events. The two nuclear tests conducted by North Korea in 2006 and 2009 were a sober confirmation of the nuclear weapon capacity of this state with the concomitant potential security threat this posed for the stability of the greater region. We examine...

Persistent link: https://www.econbiz.de/10010579076

Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis

Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

also increased its volatility. Downgrading increased the yields of French, Italian and Spanish bonds but lowered the German …

Persistent link: https://www.econbiz.de/10011128878

In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence

Herwartz, Helmut; Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011

We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of price bubble periods are determined. Using these...

Persistent link: https://www.econbiz.de/10009371745

Bank Lending Procyclicality and Credit Quality during Financial Crises

Caporale, Guglielmo Maria; Colli, Stefano Di; Lopez, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate...

Persistent link: https://www.econbiz.de/10010783998

Risk Attitudes and Private Business Equity

Fossen, Frank M. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

Why do people engage in entrepreneurship and commit large parts of their personal wealth to their business, despite comparably low returns and high risk? This paper connects several streams of literature to shed some light on this puzzle and suggests possible future research avenues. Key...

Persistent link: https://www.econbiz.de/10010544328