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Firm-level evidence on international stock market comovement

Brooks, Robin; Del Negro, Marco - Deutsche Bundesbank - 2005

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10005059019

Does lowering dividend tax rates increase dividends repatriated?: evidence of intra-firm cross-border dividend repatriation policies by German Multinational Enterprises

Leibrecht, Markus; Bellak, Christian; Wild, Michael - Deutsche Bundesbank - 2009

This paper explores the impact dividend taxes exert on the dividends repatriated from foreign affiliates to their … significant negative impact on the expected value of dividends repatriated: Evaluated at the overall mean dividend payment a one … percentage point increase in the dividend tax rate would decrease dividends repatriated by about 3.5 percent. Evaluated at the …

Persistent link: https://www.econbiz.de/10005059018

The discontinuous integration of Western Europe's heterogeneous market for corporate control from 1995 to 2007

Frey, Rainer - Deutsche Bundesbank - 2010

As, in Europe, many institutional reforms have been undertaken to establish an economic union, it can be expected that the relevance of borders has decreased over time. For the EU 15, we investigate the expected integration process of the market for corporate control - an illustrative market for...

Persistent link: https://www.econbiz.de/10008611435

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

The home bias in equities and distribution costs

Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - Deutsche Bundesbank - 2010

We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the 'home bias' in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if...

Persistent link: https://www.econbiz.de/10008804629

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

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

What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?

Dötz, Niko; Fischer, Christoph - Deutsche Bundesbank - 2010

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

Persistent link: https://www.econbiz.de/10008564414

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - Deutsche Bundesbank - 2002

The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an...

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