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The reception of public signals in financial marketswhat if central bank communication becomes stale?
Ehrmann, Michael; Sondermann, David - European Central Bank - 2009
How do financial markets price new information? This paper analyzes price setting atthe intersection of private and public information, by testing whether and how thereaction of financial markets to public signals depends on the relative importance ofprivate information in agents’ information...
Persistent link: https://www.econbiz.de/10005866483
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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - European Central Bank - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of … therelationship between observed index returns and macroeconomic news as well as marketbasedproxies of default risk, interest rates …, liquidity and risk appetite. The results imply thatdeclining risk appetite and heightened concerns about market illiquidity …
Persistent link: https://www.econbiz.de/10005866585
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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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Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model
Chudik, Alexander; Fratzscher, Marcel - European Central Bank - 2011
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced …
Persistent link: https://www.econbiz.de/10008784826
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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
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Fair value accounting and financial stability
Enria, Andrea; Cappiello, Lorenzo; Dierick, Frank; … - European Central Bank - 2004
, and the interaction with banks’ risk management, supervisory tools and statistical requirements. It also examines how the …
Persistent link: https://www.econbiz.de/10005530668
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The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
Lemke, Wolfgang; Werner, Thomas - European Central Bank - 2009
structure (ofinterest rates) models. Stock returns and bond yields as well as risk premia are affinefunctions of the state …
Persistent link: https://www.econbiz.de/10005866629
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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
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Capital flows, push versus pull factors and the global financial crisis
Fratzscher, Marcel - European Central Bank - 2011
finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that …
Persistent link: https://www.econbiz.de/10009216681
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Liquidity (risk) concepts: definitions and interactions
Nikolaou, Kleopatra - European Central Bank - 2009
We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … the root of liquidity risk lies in information asymmetries and the existence of incomplete markets. The role of central … risk. JEL Classification: G10, G20 …
Persistent link: https://www.econbiz.de/10005002810