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Consumer Preferences and the Reliability of Euler Equation Tests of Capital Mobility ; Some Simulation-Based Evidence
Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2002
The globalization of international financial markets has renewed interest in the measurement of capital mobility. Consumption-based tests such as the Euler equation test are commonly used. These tests, however, are derived under restrictive assumptions on consumer behavior. In this paper, we ask...
Persistent link: https://www.econbiz.de/10005755155
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Business Cycle Volatility in Germany
Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2002
Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the...
Persistent link: https://www.econbiz.de/10005755211
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Evolvement of uniformity and volatility in the stressed global financial village
Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - Institut für Weltwirtschaft (IfW) - 2011
relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … maxima at times of global world events (2001: 9/11-attacks, 2003: Iraq war, SARS, etc). The Japanese market switches … framework provides a way to quantify the evolvement of interdependencies in the global market, to evaluate a world financial …
Persistent link: https://www.econbiz.de/10009358672
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Cross-Border Banking and Transmission Mechanisms: The Case of Europe
Buch, Claudia M. - Institut für Weltwirtschaft (IfW) - 2001
International activities of commercial banks are a potential source for the transmission of shocks across countries. In Europe, bank finance plays a relatively important role, and efforts have been made at creating a level playing field for financial institutions. This paper reviews the stylized...
Persistent link: https://www.econbiz.de/10005755267
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Contagion Between European and US Banks: Evidence from Equity Prices
Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2010
This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US banks. The fact that many regulators have no detailed data sets about interbank cross-exposures raises the necessity of finding market-based indicators in order to analyze the...
Persistent link: https://www.econbiz.de/10008764567
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International transmission of financial stress: evidence from a GVAR
Dovern, Jonas; Roye, Björn van - Institut für Weltwirtschaft (IfW) - 2013
We analyze the international transmission of financial stress and its effects on economic activity. We construct country specific monthly financial stress indexes (FSI) using dynamic factor models from 1970 until 2012 for 20 countries. We show that there is a strong co-movement of the FSI during...
Persistent link: https://www.econbiz.de/10010886840
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Real and Financial Integration in Europe ; Evidence for the Accession States and for the Pre-Ins
Buch, Claudia M.; Döpke, Jörg - Institut für Weltwirtschaft (IfW) - 1999
The process of European integration has gained considerable momentum during the past couple of years. This paper provides an assessment of the degree of integration of both the accession states of central and eastern Europe and of the pre-ins for monetary union with respect to Germany. Using...
Persistent link: https://www.econbiz.de/10005700641
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Business Cycle Volatility and Globalization: A Survey
Buch, Claudia M. - Institut für Weltwirtschaft (IfW) - 2002
The globalization of capital and product markets has many implications for economic welfare. Countries can specialize in the production of goods for which they have comparative advantages, and capital is allocated more efficiently. However, one potentially adverse effect of globalization is the...
Persistent link: https://www.econbiz.de/10005700551
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Politics and the Stock Market ; Evidence from Germany
Döpke, Jörg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2004
We analyze the interaction of stock market movements and politics in Germany. In contrast to the empirical evidence available for the U.S., we do not find that German stock market returns tend to be higher during liberal than during conservative governments. Also in contrast to results for the...
Persistent link: https://www.econbiz.de/10005700518
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DSGE Models and Central Banks
Tovar, Camilo Ernesto - Institut für Weltwirtschaft (IfW) - 2008
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic …
Persistent link: https://www.econbiz.de/10005083409