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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

The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - Deutsche Bundesbank - 2011

1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for...

Persistent link: https://www.econbiz.de/10009643168

Financial markets and the current account: emerging Europe versus emerging Asia

Herrmann, Sabine; Winkler, Adalbert - Deutsche Bundesbank - 2008

Financial globalisation has been associated with divergent current account patterns in emerging market economies. While countries in emerging Asia have been running sizeable current account surpluses, countries in emerging Europe have been facing large current account deficits. In this paper we...

Persistent link: https://www.econbiz.de/10005059032

Kapitalverflechtung mit dem Ausland

Deutsche Bundesbank - Frankfurt, M. : Dt. Bundesbank - 1993 - 2006

Persistent link: https://www.econbiz.de/10000427040

International portfolios, capital accumulation and foreign assets dynamics

Coeurdacier, Nicolas; Kollmann, Robert Miguel W. K.; … - Deutsche Bundesbank - 2008

Despite the liberalisation of capital flows among OECD countries, equity home bias remains sizable. We depart from the two familiar explanation of equity home bias: transaction costs that impede international diversification, and terms of trade responses to supply shocks that provide risk...

Persistent link: https://www.econbiz.de/10005083063

Financial exchange rates and international currency exposures

Lane, Philip R.; Shambaugh, Jay C. - Deutsche Bundesbank - 2008

Our goal in this project is to gain a better empirical understanding of the international financial implications of currency movements. To this end, we construct a database of international currency exposures for a large panel of countries over 1990-2004. We show that trade-weighted exchange...

Persistent link: https://www.econbiz.de/10005083251

International capital flows, external assets and output volatility

Hoffmann, Mathias; Krause, Michael; Tillmann, Peter - Deutsche Bundesbank - 2014

This paper proposes a new perspective on international capital flows and countries' long-run external asset position. Cross-sectional evidence for 84 developing countries shows that over the last three decades countries that have had on average higher volatility of output growth (1) accumulated...

Persistent link: https://www.econbiz.de/10011093848

How stressed are banks in the interbank market?

Abbassi, Puriya; Fecht, Falko; Weber, Patrick - Deutsche Bundesbank - 2013

recourse to the LOLR facility (a) to derive banks' willingness-to-pay for liquidity through a one-week repo and (b) to show … results suggest (i) that banks' willingness-to-pay for liquidity indeed reflects refinancing conditions in the interbank …

Persistent link: https://www.econbiz.de/10010957097

International banking and liquidity risk transmission: Lessons from across countries

Buch, Claudia M.; Goldberg, Linda - Deutsche Bundesbank - 2014

financial crisis. Yet, we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through … studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …

Persistent link: https://www.econbiz.de/10010957099

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