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Financial Globalization and Bank Lending : The Limits of Domestic Monetary Policy?

Cao, Jin - 2018

covered) interest rate parity. The Norwegian banking sector represents an ideal laboratory since the exogenous exchange rate …

Persistent link: https://www.econbiz.de/10012921278

Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...

Persistent link: https://www.econbiz.de/10013045338

Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis

Caporale, Guglielmo Maria - 2014

This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation...

Persistent link: https://www.econbiz.de/10013048822

Sovereign Rating News and Financial Markets Spillovers : Evidence from the European Debt Crisis

Arezki, Rabah - 2011

This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The...

Persistent link: https://www.econbiz.de/10013127179

Stock Market Integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 2010

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

Persistent link: https://www.econbiz.de/10008583722

Unexpected Loan Losses and Bank Capital in an Estimated DSGE Model of the Euro Area

Hristov, Nikolay - 2016

We develop a stylized DSGE model in which banks face capital regulation and their loan portfolios are subject to non-diversifiable losses due to aggregate shocks. The framework is used to explore the importance of the interaction between macroeconomic conditions, credit default and bank...

Persistent link: https://www.econbiz.de/10012978077

International Credit Flows and Pecuniary Externalities

Brunnermeier, Markus K. - 2015

This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities. First, an undercapitalized country borrows too...

Persistent link: https://www.econbiz.de/10013028913

Financial Integration, Globalization, and Real Activity

De Nicolo, Gianni - 2013

Using data for a large number of advanced and emerging market economies during 1982-2009, this paper examines the distinct impact of financial integration and globalization on several dimensions of real activity. We find that: financial integration has progressed significantly worldwide,...

Persistent link: https://www.econbiz.de/10013091562

How National and International Financial Development Affect Industrial R&D

Maskus, Keith E. - 2013

We examine the impacts of both domestic and international financial market development on R&D intensities in 22 manufacturing industries in 18 OECD countries for the period 1990-2003. We take account of such industry characteristics as the need for external financing and the amount of tangible...

Persistent link: https://www.econbiz.de/10013092838

Foreign Currency Loans and Credit Risk : Evidence from U.S. Banks

Niepmann, Friederike - 2020

When firms borrow in foreign currency but collect revenues in local currency, exchange rate changes can affect their ability to repay their debt. Using loan-level data from U.S. banks' regulatory filings, this paper studies the effect of exchange rate changes on firms' loan payments. A 10...

Persistent link: https://www.econbiz.de/10012853395

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