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Commonality in hedge fund returns: driving factors and implications

Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - European Central Bank - 2014

We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...

Persistent link: https://www.econbiz.de/10010753747

Run-prone banking and asset markets

Hoerova, Marie - European Central Bank - 2007

insure consumers against privately observed liquidity shocks. Asset market investments insure consumers against losses from … bank runs. If the probability of a run is small, then banks specialize fully into the provision of liquidity insurance …: They provide a higher degree of liquidity insurance when compared to the economy with banks alone. If the probability of a …

Persistent link: https://www.econbiz.de/10005816287

Liquidity hoarding and interbank market spreads: the role of counterparty risk

Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - European Central Bank - 2009

banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …

Persistent link: https://www.econbiz.de/10008558914

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - European Central Bank - 2009

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...

Persistent link: https://www.econbiz.de/10008549311

What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?

Attinasi, Maria-Grazia; Checherita-Westphal, Cristina; … - European Central Bank - 2009

This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis-à-vis Germany in selected euro area countries during the period end-July 2007 to end-March 2009, when the financial turmoil developed into a full-blown financial and economic...

Persistent link: https://www.econbiz.de/10008502699

The role of fiscal transfers for regional economic convergence in Europe

Checherita-Westphal, Cristina; Nickel, Christiane; … - European Central Bank - 2009

This paper provides evidence on the role of net fiscal transfers to households and EU structural funds for per-capita output convergence across a large sample of European regions during the period 1995-2005. We find that net fiscal transfers, while achieving regional redistribution, seem to...

Persistent link: https://www.econbiz.de/10005002785

Debt and growth: new evidence for the euro area

Baum, Anja; Checherita-Westphal, Cristina; Rother, Philipp - European Central Bank - 2012

Against the background of the euro area sovereign debt crisis, our paper investigates the relationship between public debt and economic growth and adds to the existing literature in the following ways. First, we extend the threshold panel methodology by Hansen (1999) to a dynamic setting in...

Persistent link: https://www.econbiz.de/10010686872

The impact of high and growing government debt on economic growth: an empirical investigation for the euro area

Checherita-Westphal, Cristina; Rother, Philipp - European Central Bank - 2010

This paper investigates the average impact of government debt on per-capita GDP growth in twelve euro area countries over a period of about 40 years starting in 1970. It finds a non-linear impact of debt on growth with a turning point—beyond which the government debt-to-GDP ratio has a...

Persistent link: https://www.econbiz.de/10008484246

Risk, uncertainty and monetary policy

Bekaert, Geert; Hoerova, Marie; Duca, Marco Lo - Nationale Bank van België/Banque national de Belqique (BNB) - 2012

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty”), we find that a lax monetary policy decreases...

Persistent link: https://www.econbiz.de/10011272780

Money talks

Hoerova, Marie; Monnet, Cyril; Temzelides, Ted - European Central Bank - 2009

We study credible information transmission by a benevolent Central Bank. We consider two possibilities: direct revelation through an announcement, versus indirect information transmission through monetary policy. These two ways of transmitting information have very different consequences. Since...

Persistent link: https://www.econbiz.de/10008513277