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Gropp, Reint E.; Lo Duca, Marco; Vesala, Jukka - 2006

This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …

Persistent link: https://www.econbiz.de/10011604708

Global corporate bond issuance: what role for US quantitative easing?

Lo Duca, Marco; Nicoletti, Giulio; Vidal Martinez, Ariadna - 2014

The paper investigates the impact of US quantitative easing (QE) on global non-financial corporate bond issuance. It distinguishes between two QE instruments, MBS/GSE debt and Treasury bonds, and disentangles between two channels of transmission of QE to global bond markets, namely flow effects...

Persistent link: https://www.econbiz.de/10011605694

Excess returns on net foreign assets: the exorbitant privilege from a global perspective

Habib, Maurizio Michael - 2010

This paper studies net foreign assets and the differential returns between gross foreign assets and liabilities for a sample of 49 countries between 1981 and 2007. It shows that investment income is more important than capital gains in imparting a drift to net foreign assets over the long-run,...

Persistent link: https://www.econbiz.de/10011605204

Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity

Habib, Maurizio Michael; Joy, Mark - 2008

Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...

Persistent link: https://www.econbiz.de/10011604993

Getting beyond carry trade: what makes a safe haven currency?

Habib, Maurizio Michael; Stracca, Livio - 2011

There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...

Persistent link: https://www.econbiz.de/10011605334

Foreign investors and risk shocks: seeking a safe haven or running for the exit?

Habib, Maurizio Michael; Stracca, Livio - 2013

In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks with a more idiosyncratic nature (such as the euro debt crisis) on cross border portfolio flows, taking the perspective of foreign investors. We find robust evidence of...

Persistent link: https://www.econbiz.de/10011605654

The effect of G20 summits on global financial markets

Lo Duca, Marco; Stracca, Livio - 2014

In the wake of the global financial crisis, the G20 has become the most important forum of global governance and cooperation, largely replacing the once powerful G7. In this paper we run an event study to test whether G20 meetings at ministerial and Leaders level have had an impact on global...

Persistent link: https://www.econbiz.de/10011605713

Financial exposure to the euro area before and after the crisis: home bias and institutions at home

Floreani, Vincent Arthur; Habib, Maurizio Michael - 2015

This paper investigates whether global investors are over or under exposed to- wards the euro area and the role of home bias and institutions at home in shaping this exposure. According to a simple benchmark from standard portfolio theory, euro area investors - in particular those from euro area...

Persistent link: https://www.econbiz.de/10011605844

The portfolio of euro area fund investors and ECB monetary policy announcements

Bubeck, Johannes; Manganelli, Simone; Habib, Maurizio … - 2017

This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven...

Persistent link: https://www.econbiz.de/10011853304

Mutual funds and safe government bonds: Do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Persistent link: https://www.econbiz.de/10014543600