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Determinants of government bond spreads in the Euro area – in good times as in bad
Aßmann, Christian; Hogrefe, Jens - Institut für Weltwirtschaft (IfW) - 2009
Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond spreads are usually attributed to differing default and liquidity risks. Recent research points out that time-varying global factors, approximated by risk measures or short term...
Persistent link: https://www.econbiz.de/10005026904
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Volatility Spillover in the Foreign Exchange Market: The Indian Experience
Ghosh, Saurabh - Institut für Weltwirtschaft (IfW) - 2012
We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex … market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government … to be most important. Empirical findings also indicate that the volatility spillover differed across variables in terms …
Persistent link: https://www.econbiz.de/10010886827
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Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?
Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - Institut für Weltwirtschaft (IfW) - 2001
This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...
Persistent link: https://www.econbiz.de/10005700511
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The Effects of the Real Exchange Rate Volatility and Misalignments on Foreign Trade Flows in Uzbekistan
Olimov, Ulugbek; Sirajiddinov, Nishanbay - Institut für Weltwirtschaft (IfW) - 2008
period of 1994q32005q2. The results suggest that the real exchange rate volatility and misalignment have depressing effects … volatility proving that the policy-induced changes in exchange rate has a stabilizing effect on trade flows. The implied … elasticity for the most significant real exchange rate volatility coefficient is 0.20. Using a two-step Engle-Granger technique …
Persistent link: https://www.econbiz.de/10005083383
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Real Financial Market Exchange Rates and Capital Flows
Leppin, Julian S.; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2014
This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...
Persistent link: https://www.econbiz.de/10010886881
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010956052
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A parsimonious model for intraday European option pricing
Scalas, Enrico; Politi, Mauro - Institut für Weltwirtschaft (IfW) - 2012
A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A...
Persistent link: https://www.econbiz.de/10009646512
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Noise Traders'Trigger Rates, FX Options, and Smiles
Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2000
the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …
Persistent link: https://www.econbiz.de/10005700565
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The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis
Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2000
period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …
Persistent link: https://www.econbiz.de/10005755270
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The aggregate effects of long run sectoral reallocation
Reicher, Claire - Institut für Weltwirtschaft (IfW) - 2014
The construction bust which accompanied the Great Recession, and the accompanying need to shift workers across sectors, have provoked a discussion about mismatch and the Beveridge Curve, alongside a discussion about firm-level dispersion. These discussions echo an ongoing discussion about the...
Persistent link: https://www.econbiz.de/10010887017