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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - European Central Bank - 2011
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...
Persistent link: https://www.econbiz.de/10009293721
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Large global volatility shocks, equity markets and globalisation: 1885-2011
Mehl, Arnaud - European Central Bank - 2013
I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre …
Persistent link: https://www.econbiz.de/10010686825
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The transmission of emerging market shocks to global equity markets
Cuadro Sáez, Lucía; Fratzscher, Marcel; Thimann, Christian - European Central Bank - 2007
The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs,...
Persistent link: https://www.econbiz.de/10005530739
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The euro and international capital markets
Detken, Carsten; Hartmann, Philipp - European Central Bank - 2000
This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with … viewpoint of international financing as well as from the one of international investment activities. Time series of these new … currency distribution of international portfolio investments, such as relative market liquidity and relative risk …
Persistent link: https://www.econbiz.de/10005222389
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Euro area sovereign yield dynamics: the role of order imbalance
Menkveld, Albert J.; Cheung, Yiu Chung; de Jong, Frank - European Central Bank - 2004
We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...
Persistent link: https://www.econbiz.de/10005162883
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International equity flows and returns: a quantative equilibrium approach
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - European Central Bank - 2004
’ international equity trades: (i ) trading by US investors occurs in bursts of simultaneous buying and selling, (ii ) Americans build …
Persistent link: https://www.econbiz.de/10005816253