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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

German bank lending during emerging market crises: A bank level analysis

Heid, Frank; Nestmann, Thorsten; Mauro, di; Weder, Beatrice - Deutsche Bundesbank - 2004

This paper studies German bank lending during the Asian and Russian crises, using a bank level data set, which has been compiled from credit data at the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We...

Persistent link: https://www.econbiz.de/10005082775

German bank lending to industrial and non-industrial countries: driven by fundamentals or different treatment?

Nestmann, Thorsten - Deutsche Bundesbank - 2005

This paper shows that the substantial disparity in German bank lending towards industrial (IC) and non-industrial (Non-IC) countries is largely explained by differences in countries' endowments and only to a minor extent by German banks' different treatment of these country groups. This is...

Persistent link: https://www.econbiz.de/10005082765

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

Decomposition of country-specific corporate bond spreads

Dötz, Niko - Deutsche Bundesbank - 2014

This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...

Persistent link: https://www.econbiz.de/10011122560

Repo funding and internal capital markets in the financial crisis

Düwel, Cornelia - Deutsche Bundesbank - 2013

This paper examines how the exposure of German parent banks to the disruptions on sale and repurchase markets (repo markets) during the financial crisis has affected their provision of funds to their foreign branches and subsidiaries via bank-internal capital markets. The collapse of the...

Persistent link: https://www.econbiz.de/10010984715

Sovereign default swap market efficiency and country risk in the eurozone

Gündüz, Yalin; Kaya, Orcun - Deutsche Bundesbank - 2013

This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the sovereign markets and persistency of country risks. Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10 eurozone countries to test the...

Persistent link: https://www.econbiz.de/10010984736

Real financial market exchange rates and capital flows

Gelman, Maria; Jochem, Axel; Reitz, Stefan - Deutsche Bundesbank - 2013

Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...

Persistent link: https://www.econbiz.de/10010957142

Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators

Uhlenbrock, Birgit - Deutsche Bundesbank - 2009

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10005082768

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