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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - European Central Bank - 2014
filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …
Persistent link: https://www.econbiz.de/10010753741
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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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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 sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...
Persistent link: https://www.econbiz.de/10005002763
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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - European Central Bank - 2009
Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...
Persistent link: https://www.econbiz.de/10005002780
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Interbank lending, credit risk premia and collateral
Heider, Florian; Hoerova, Marie - European Central Bank - 2009
may amplify the volatility of interest rates in secured markets. We use the model to discuss various policy responses to …
Persistent link: https://www.econbiz.de/10008549311
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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
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The effect of G20 summits on global financial markets
Lo Duca, Marco; Stracca, Livio - European Central Bank - 2014
equity returns, bond yields and measures of market risk such as implied volatility, skewness and kurtosis. Our main finding …
Persistent link: https://www.econbiz.de/10011067256
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Do decreasing hazard functions for price changes make any sense?
Álvarez, Luis J.; Burriel, Pablo; Hernando, Ignacio - European Central Bank - 2005
A common finding in empirical studies using micro data on consumer and producer prices is that hazard functions for price changes are decreasing. This means that a firm will have a lower probability of changing its price the longer it has kept it unchanged. This result is at odds with standard...
Persistent link: https://www.econbiz.de/10004969166
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Hierarchical Markov normal mixture models with applications to financial asset returns
Geweke, John; Amisano, Gianni - European Central Bank - 2007
-year bonds. We compare the performance of the model with ARCH and stochastic volatility models using predictive likelihoods. The …
Persistent link: https://www.econbiz.de/10005530825
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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