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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach

Caporale, Guglielmo Maria - 2013

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10013095490

Stock Market Integration between Three CEECs, Russia and the UK

Caporale, Guglielmo Maria - 2013

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

Persistent link: https://www.econbiz.de/10013095004

Spatial and Temporal Diffusion of House Prices in the UK

Holly, Sean - 2013

This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....

Persistent link: https://www.econbiz.de/10013095156

Self-Fulfilling Crises in the Eurozone : An Empirical Test

De Grauwe, Paul - 2013

We test the hypothesis that the government bond markets in the Eurozone are more fragile and more susceptible to self … countries in the Eurozone during 2010-11 was disconnected from underlying increases in the debt to GDP ratios and fiscal space … argue that this can drive member countries of the Eurozone into bad equilibria. We also find evidence that after years of …

Persistent link: https://www.econbiz.de/10013090949

Has the EMU Reduced Wage Growth and Unemployment? Testing a Model of Trade Union Behaviour

Mikosch, Heiner - 2013

By using a model of trade union behaviour Grüner (2010) argues that the introduction of the European Monetary Union (EMU) led to lower wage growth and lower unemployment in participating countries. Following Grüner's model, monetary centralization lets the central bank react less flexibly to...

Persistent link: https://www.econbiz.de/10013093430

Fiscal Spillovers in the Euro Area

Caporale, Guglielmo Maria - 2012

This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...

Persistent link: https://www.econbiz.de/10013112600

‘Whatever It Takes’ to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects

Afonso, António - 2017

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

Persistent link: https://www.econbiz.de/10012943161

The Sovereign Default Problem in the Eurozone : An Insurance-Based Approach

Arnold, Nadjeschda - 2015

This paper argues that the Eurozone crisis stems from a risk management failure in the Eurosystem's design, and that …

Persistent link: https://www.econbiz.de/10013020584

Regional Heterogeneity, the Rise of Public Debt and Monetary Policy in Post-Bubble Japan : Lessons for the EMU

Fischer, Raphael - 2016

Both Japan and parts of the European Monetary Union have experienced boom and bust in stock and real estate markets, which have been followed by a lasting crisis. The paper analyses the role of a high degree of regional heterogeneity for public debt and monetary policy in the context of crisis....

Persistent link: https://www.econbiz.de/10012988893

A Mechanism to Regulate Sovereign Debt Restructuring in the Euro Area

Andritzky, Jochen R. - 2016

To make the no-bailout clause credible and enhance the effectiveness of crisis assistance, a consistent institutional and legal framework is needed to ensure that private creditors contribute to crisis resolution. Getting activated as part of ESM crisis assistance, we propose a two-stage...

Persistent link: https://www.econbiz.de/10012982263