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Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe

Vinhas de Souza, Lúcio - Deutsche Bundesbank - 2004

This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of ?emerging...

Persistent link: https://www.econbiz.de/10005083257

Portfolio holdings in the euro area - home bias and the role of international, domestic and sector-specific factors

Jochem, Axel; Volz, Ute - Deutsche Bundesbank - 2011

This paper aims to identify the determinants of portfolio restructuring in EMU member states since the introduction of the euro and especially during the financial turbulence of the past years. We find that, besides exchange rate volatility and traditional indicators of information and...

Persistent link: https://www.econbiz.de/10009004690

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - Deutsche Bundesbank - 2002

ungewöhnlich grossen Preisveränderung auf einem Aktienmarkt, wenn eine ungewöhnlich grosse Preisveränderung auf einem anderen Markt … starker gegenseitiger Abhängigkeit in Bezug auf den deutschen Aktienmarkt, während die Aktienmärkte in Grossbritannien und … Italien weniger eng mit dem deutschen Aktienmarkt verbunden sind. Viertens sind die Abhängigkeiten zwischen zwei Märkten …

Persistent link: https://www.econbiz.de/10005083062

The Forecasting Performance of German Stock Option Densities

Keller, Joachim; Glatzer, Ernst; Craig, Ben R.; … - Deutsche Bundesbank - 2003

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...

Persistent link: https://www.econbiz.de/10005083099

Spill-over effects of monetary policy: a progress report on interest rate convergence in Europe

Fladung, Michael - Deutsche Bundesbank - 2007

This study examines differences in the interest rate response to an ECB policy impulse in the euro area, the new EU-member states, and in the other non-eurozone EU countries in order to gauge the degree of interest rate alignment in Europe. To this end, PANIC, a Panel Analysis of...

Persistent link: https://www.econbiz.de/10005083102

Moral hazard and bail-out in fiscal federations: evidence for the German Länder

Heppke-Falk, Kirsten H.; Wolff, Guntram B. - Deutsche Bundesbank - 2007

We identify investor moral hazard in the German fiscal federation. Our identification strategy is based on a variable, which was used by the German Federal Constitutional Court as an indicator to determine eligibility of two German states (Länder) to a bail-out, the interest payments-to-revenue...

Persistent link: https://www.econbiz.de/10005083197

International diversification at home and abroad

Cai, Fang; Warnock, Francis E. - Deutsche Bundesbank - 2005

We analyze foreigners' and domestic institutional investors' positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that...

Persistent link: https://www.econbiz.de/10005083205

Does trade openness increase firm-level volatility?

Strotmann, Harald; Döpke, Jörg; Buch, Claudia M. - Deutsche Bundesbank - 2006

From a theoretical point of view, greater trade openness affects firm-level volatility by changing the exposure and the reaction of firms to macroeconomic shocks. The net effect is ambiguous, though. This paper provides firm-level evidence on the link between openness and volatility. Using two...

Persistent link: https://www.econbiz.de/10005083213

Fiscal institutions, fiscal policy and sovereign risk premia

Hallerberg, Mark; Wolff, Guntram B. - Deutsche Bundesbank - 2006

We investigate the effect of fiscal institutions such as the strength of the finance minister in the budget process and deficits on interest spreads contained in bond yields of the countries now belonging to the Eurozone. Deficits significantly increase risk premia measured by relative swap...

Persistent link: https://www.econbiz.de/10005083235

Sovereign bond market integration: the euro, trading platforms and globalization

Wolff, Guntram B.; Schulz, Alexander - Deutsche Bundesbank - 2008

We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15...

Persistent link: https://www.econbiz.de/10005083308