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Sovereign risk contagion in the Eurozone: a time-varying coefficient approach
Ludwig, Alexander - Volkswirtschaftliche Fakultät, … - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion proposed by Pesaran and Pick (2007) and Metiu (2012) to allow for time-varying coefficients. This becomes necessary due to changes in the risk pricing of sovereign bonds since the...
Persistent link: https://www.econbiz.de/10011107941
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MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008
Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early … foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard … exchange was deregulated, independent traders finally had access to the biggest trading market of the world; and these forex …
Persistent link: https://www.econbiz.de/10005619306
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An empirical analysis of the curvature factor of the term structure of interest rates
Modena, Matteo - Volkswirtschaftliche Fakultät, … - 2008
This work extends the strand of literature that examines the relation between the term structure of interest rates and macroeconomic variables. The yield curve is summarized by few latent factors (level, slope, and curvature) which are obtained through Kalman filtering. In this paper, we address...
Persistent link: https://www.econbiz.de/10005836194
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Financial Development and Economic Growth in Poland in Transition: Causality Analysis
Gurgul, Henryk; Lach, Łukasz - Volkswirtschaftliche Fakultät, … - 2012
(covering the period 2000 Q1–2008 Q3). The empirical research was performed in two variants: bank- and stock market …
Persistent link: https://www.econbiz.de/10011257877
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Financial development and economic growth in Poland in transition: causality analysis
Gurgul, Henryk; Łukasz, Lach - Volkswirtschaftliche Fakultät, … - 2011
quarterly data for the period Q1 2000 – Q4 2009. The empirical research was performed in two variants: bank– and stock market …
Persistent link: https://www.econbiz.de/10011258269
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Debt and the U.S. Great Moderation
Bezemer, Dirk; Grydaki, Maria - Volkswirtschaftliche Fakultät, … - 2013
During the Great Moderation, borrowing by the U.S. nonfinancial sector structurally exceeded GDP growth. Using flow-of-fund data, we test the hypothesis that this measure of debt buildup was leading to lower output volatility. We estimate univariate GARCH models in order to obtain estimates for...
Persistent link: https://www.econbiz.de/10011260475
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Identifying the Signs of Currency Speculation in Hong Kong's Linked exchange Rate
Li, Kui-Wai - Volkswirtschaftliche Fakultät, … - 2011
This paper identifies the ex ante factors of currency speculation based on the experience of Hong Kong’s three episodes in 1988, 1998 and 2007. The dynamic conditional correlation models are used to study the inter-temporal interactions among the Hang Seng Index, Hang Seng Index futures and...
Persistent link: https://www.econbiz.de/10009370834
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What does financial volatility tell us about macroeconomic fluctuations?
Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre - Volkswirtschaftliche Fakultät, … - 2010
This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic activity. We construct monthly measures of aggregated and industry-level stock volatility, and bond market volatility from daily returns. We model log financial volatility as...
Persistent link: https://www.econbiz.de/10009325644
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Riesgo crediticio derivado del riesgo cambiario: Perspectiva de una Economía Latinoamericana Parcialmente Dolarizada
Jiménez Sotelo, Renzo - Volkswirtschaftliche Fakultät, … - 2003
interaction of other important risks such as derivative credit risks from other unsecured risk by debtors of bank system in …
Persistent link: https://www.econbiz.de/10008727882
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Bank lending to the production sector: credit crunch or extra-credit?
Di Giulio, Daniele - Volkswirtschaftliche Fakultät, … - 2009
, even though a considerable slowdown in bank lending has been recorded, there has not been a credit crunch. After a first …’s demand for bank loans. An Error Correction Model (ECM) is used – estimated for the pre-crisis period (1998.Q2 – 2007.Q2) and …
Persistent link: https://www.econbiz.de/10008727903