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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
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Financial imbalances and financial fragility
Boissay, Frédéric - European Central Bank - 2011
This paper develops a general equilibrium model to analyze the link between financial imbalances and financial crises. The model features an interbank market subject to frictions and where two equilibria may (co-)exist. The normal times equilibrium is characterized by a deep market with highly...
Persistent link: https://www.econbiz.de/10008922897
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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
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 … frequent surges in market co-movement are driven by larger shocks rather than by contagion. JEL Classification: G12, C14, E43 …
Persistent link: https://www.econbiz.de/10011067242
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Current account benchmarks for central and eastern Europe: a desperate search?
Ca' Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - European Central Bank - 2009
This paper examines two competing approaches for calculating current account benchmarks, i.e. the external sustainability approach á la Lane and Milesi-Ferretti (LM) versus the structural current accounts literature (SCA) based on panel econometric techniques. The aim is to gauge the medium...
Persistent link: https://www.econbiz.de/10005344844
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Portuguese banks in the euro area market for daily funds
Farinha, Luísa; Gaspar, Vítor - European Central Bank - 2008
In this paper, we use the Furfine (1999) statistical procedure to identify money market operations from Payments Systems data. Given the availability of an alternative data set, recording money market operations we could confirm the accuracy of the method. We examine evidence on integration of...
Persistent link: https://www.econbiz.de/10005344884
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Interbank market integration under asymmetric information
Freixas, Xavier; Holthausen, Cornelia - European Central Bank - 2001
While domestic interbank markets are often considered to work in an efficient way, cross-country bank lending appears to be subjected to market imperfections leading to persistent interest rate differentials. In a model where banks need to cope with liquidity shocks by borrowing or by...
Persistent link: https://www.econbiz.de/10005344929
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The euro at ten - lessons and challenges, 5th ECB Central Banking Conference, 13-14 November 2008
Mackowiak, Bartosz (contributor);  … - European Central Bank
This volume contains a collection of papers, commentaries and speeches concerning the first decade of the euro and the recent global financial crisis.
Persistent link: https://www.econbiz.de/10009209885
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What lies beneath the euro's effect on financial integration? Currency risk, legal harmonization, or trade?
Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydró, … - European Central Bank - 2010
Although recent research shows that the euro has spurred cross-border financial integration, the exact mechanisms remain unknown. We investigate the underlying channels of the euro’s effect on financial integration using data on bilateral banking linkages among twenty industrial countries in...
Persistent link: https://www.econbiz.de/10008550448
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Global financial transmission of monetary policy shocks
Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2006
The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...
Persistent link: https://www.econbiz.de/10005530767