Similar Search Results

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; … - European Central Bank - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...

Persistent link: https://www.econbiz.de/10008458415

Output growth and fluctuation: the role of financial openness

Popov, Alexander - European Central Bank - 2011

I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel … skewness of the growth process. The increase in output skewness appears to come from a more negatively skewed distribution of …

Persistent link: https://www.econbiz.de/10009276057

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - European Central Bank - 2008

new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …

Persistent link: https://www.econbiz.de/10005344870

Issues in the ECU Markets and Some Tentative Explanations fro Some Apparent Puzzles.

Fell, J.P.C.; Levy, A. - European Central Bank - 1996

This study focuses on longer term influences and provides some potential explanations in ECU markets which were regarder by some financial market participants as puzzles.

Persistent link: https://www.econbiz.de/10005486856

Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?

Peltonen, Tuomas A.; Popescu, Adina; Sager, Michael - European Central Bank - 2009

A core stylized fact of the empirical exchange rate literature is that half-life deviationsof equilibrium real exchange rates from levels implied by Purchasing Power Parity(PPP) are very persistent. Empirical efforts to explain this persistence typicallyproceed along two distinct paths,...

Persistent link: https://www.econbiz.de/10005866489

Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro

Fratzscher, Marcel; Stracca, Livio - European Central Bank - 2009

There is a broad consensus that the quality of the political system and its institutionsare fundamental for a country’s prosperity. The paper focuses on political events inItaly over the past 35 years and asks whether the adoption of the euro in 1999 hashelped insulate Italy’s financial...

Persistent link: https://www.econbiz.de/10005866519

What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - European Central Bank - 2009

A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...

Persistent link: https://www.econbiz.de/10005866568

Productivity shocks and real exchange rate: a reappraisal

Peltonen, Tuomas A.; Sager, Michael - European Central Bank - 2009

We reappraise the relationship between productivity and equilibrium real exchangerates using a panel estimation framework that incorporates a large number ofcountries and importantly, a dataset that allows explicit consideration of the role ofnon-traded, as well as traded, sector productivity...

Persistent link: https://www.econbiz.de/10005866628

The forecasting power of internal yield curve linkages

Modugno, Michele; Nikolaou, Kleopatra - European Central Bank - 2009

This paper investigates whether information from foreign yield curves helps forecast domestic yieldcurves out-of-sample. A nested methodology to forecast yield curves in domestic and internationalsettings is applied on three major countries (the US, Germany and the UK). This novel methodologyis...

Persistent link: https://www.econbiz.de/10005866630

Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - European Central Bank - 2011

unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …

Persistent link: https://www.econbiz.de/10009293721