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Net Foreign Asset (Com)position: Does Financial Development Matter?

Vermeulen, Robert; Haan, Jakob de - de Nederlandsche Bank - 2012

We investigate the relationship between a country's domestic financial development and the (composition of its) net foreign asset position using a pooled mean group estimator and data for 51 countries during the period 1970-2007. The results show that financial development reduces a country's...

Persistent link: https://www.econbiz.de/10009652211

Modelling time-varying correlations of financial markets

Wong, A.S.K.; Vlaar, P.J.G. - de Nederlandsche Bank - 2003

In this report we examine time-varying correlations of asset returns using the Dynamic Conditional Correlation (DCC) models, recently proposed by Engle (2002), that are estimated by a two-step procedure. First, we conclude that correlations vary considerably over time. Secondly, the conditional...

Persistent link: https://www.econbiz.de/10005106732

The pitch rather than the pit: investor inattention during FIFA World Cup matches

Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2012

At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...

Persistent link: https://www.econbiz.de/10009493318

A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets

Goorbergh, Rob van den - de Nederlandsche Bank - 2004

This paper investigates the level and development of cross-country stock market dependence using daily returns on stock indices. The use of copulas allows us to build exible models of the joint distribution of stock index returns. In particular, we apply univariate AR(p)-GARCH(1,1) models to the...

Persistent link: https://www.econbiz.de/10005101799

Contagion during the Greek Sovereign Debt Crisis

Mink, Mark; Haan, Jakob de - de Nederlandsche Bank - 2012

Using an event study approach, we examine the impact of news about Greece and news about a Greek bailout on bank stock prices in 2010 using data for 48 banks included in the European stress tests. We identify the twenty days with extreme returns on Greek sovereign bonds and categorize the news...

Persistent link: https://www.econbiz.de/10009493319

Early warning for currency crises: what is the role of financial openness?

Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013

constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a … risk of a crisis for EMEs. Third, contagion has a very strong impact, consistent with the past literature, especially …

Persistent link: https://www.econbiz.de/10010757284

Measuring Stock Market Contagion with an Application to the Sub-prime Crisis

Mink, Mark; Mierau, Jochen - de Nederlandsche Bank - 2009

We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between …

Persistent link: https://www.econbiz.de/10004963328

Interbank Contagion in the Dutch Banking Sector

Lelyveld, Iman van; Liedorp, Franka - de Nederlandsche Bank - 2004

We investigate interlinkages and contagion risks in the Dutch interbank market. Based on severaldata sources, including … a scenario analysis to measure contagion risks. We find that the bankruptcy of one of the large banks will put a … considerable burden on the other banks, but will not lead to a complete collapse of the interbank market. The contagion effects of …

Persistent link: https://www.econbiz.de/10005106664

Herding and financial panics: a role for cognitive psychology?

Prast, H.M. - de Nederlandsche Bank - 2000

The purpose of this Research Memorandum is to assess whether concepts from psychological theory may be useful in explaining herding and crises in financial markets. The conclusion is that the theory of cognitive dissonance, which assumes that the human brain seeks and processes information in a...

Persistent link: https://www.econbiz.de/10004970710

Banking Sector Strenght and the Transmission of Currency Crises

Bruinshoofd, Allard; Candelon, Bertrand; Raabe, Katharina - de Nederlandsche Bank - 2005

We show that, complementary to trade and financial linkages, the strength of the banking sector helps explain the transmission of currency crises. Specifically, we demonstrate that the Mexican, Thai, and Russian crises predominantly spread to countries with weaknesses in their banking sectors....

Persistent link: https://www.econbiz.de/10005101825