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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
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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
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Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
Claeys, Peter; Vašíček, Bořek - European Central Bank - 2014
sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009). We then provide a novel … test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to …
Persistent link: https://www.econbiz.de/10011067242
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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - European Central Bank - 2014
, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements …
Persistent link: https://www.econbiz.de/10010753741
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eMu and european government bond market integration
Alonso Abad, Maria Pilar; Chuliá, Helena; Gómez-Puig, … - European Central Bank - 2009
The main objective of this paper is to study whether the introduction of the euro hadan impact on the degree of integration of European Government bond markets. Weadopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from thebeginning of Monetary Union until June 2008, the...
Persistent link: https://www.econbiz.de/10005866480
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Does private equity investment spur innovation? Evidence from Europe
Popov, Alexander; Roosenboom, Peter - European Central Bank - 2009
We provide the first cross-country evidence of the effect of investment by privateequity firms on innovation, focusing on a sample of European countries and usingKortum and Lerner’s (2000) empirical methodology. Using an 18-country panelcovering the period 1991-2004, we study how private...
Persistent link: https://www.econbiz.de/10005866520
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The impact of the euro on money and bond markets
Santillán, Javier; Bayle, Marc; Thygesen, Christian - European Central Bank - 2000
The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction of the euro. Significant development in terms of integration took place in both markets in general to a various degree for the different segments. However, there remain room for...
Persistent link: https://www.econbiz.de/10004969144
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Hedge funds and their implications for financial stability
Garbaravicius, Tomas; Dierick, Frank - European Central Bank - 2005
The paper provides an overview of the hedge fund industry, mainly from a financial stability and European angle. It is primarily based on an extensive analysis of information from the TASS database. On the positive side of the financial stability assessment, hedge funds have a role as providers...
Persistent link: https://www.econbiz.de/10005530646
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The Role of Short Rates and Foreign Long Rates in the Determination of Long-Term Interest Rates
Fell, J.P.C. - European Central Bank - 1996
This study examines the changing relationship between domestic long-term , domestic short-term and foreign long-term interest rates.
Persistent link: https://www.econbiz.de/10005641235
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Measuring financial integration in the euro area
Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - European Central Bank - 2004
In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...
Persistent link: https://www.econbiz.de/10005816123