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Shifts in the portfolio holdings of euro area investors in the midst of COVID-19: Looking-through investment funds

Carvalho, Daniel; Schmitz, Martin - 2021

We study the impact of the COVID-19 shock on the portfolio exposures of euro area investors. The analysis "looks-through" holdings of investment fund shares to first gauge euro area investors' full exposures to global debt securities and listed shares by sector at end-2019 and to subsequently...

Persistent link: https://www.econbiz.de/10012515447

Cross-border bank contagion in Europe

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

Financial integration of new EU Member States

Cappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; … - 2006

This study assesses the degree of financial integration for a selected number of new EU member states between themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the amount of variance explained by the common factor relative to...

Persistent link: https://www.econbiz.de/10011604729

The impact of the euro on equity markets: a country and sector decomposition

Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008

This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity...

Persistent link: https://www.econbiz.de/10011604952

Comovements in volatility in the euro money market

Cassola, Nuno; Morana, Claudio - 2006

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary long memory, of similar degree, in all series....

Persistent link: https://www.econbiz.de/10011604749

Cross-Border Mergers and acquisitions: Financial and institutional forces

Coeurdacier, Nicolas; De Santis, Roberto A.; Aviat, Antonin - 2009

Cross-border mergers and acquisitions (M&As) sharply increased over the last two decades. It is often pointed out that cross-border capital reallocation is partly the result of financial liberalization policies, government policies and regional agreements. In this paper, we identify some of the...

Persistent link: https://www.econbiz.de/10011605064

Large debt financing: syndicated loans versus corporate bonds

Altunbas, Yener; Kara, Alper; Marqués-Ibáñez, David - 2009

Following the introduction of the euro, the markets for large debt financing experienced a historical expansion. We investigate the financial factors behind the issuance of syndicated loans for an extensive sample of euro area non-financial corporations. For the first time we compare these...

Persistent link: https://www.econbiz.de/10011605074

The role of financial variables in predicting economic activity

Espinoza, Raphael; Fornari, Fabio; Lombardi, Marco J. - 2009

Previous research has shown that the US business cycle leads the European cycle by a few quarters, and can therefore help predicting euro area GDP. We investigate whether financial variables provide additional predictive power. We use a VAR model of the US and the euro area GDPs and extend it to...

Persistent link: https://www.econbiz.de/10011605154

Mutual assistance between Federal Reserve Banks, 1913-1960 as prolegomena to the TARGET2 debate

Eichengreen, Barry; Mehl, Arnaud; Chiţu, Livia; … - 2014

This paper reconstructs the forgotten history of mutual assistance among Reserve Banks in the early years of the Federal Reserve System. We use data on accommodation operations by the 12 Reserve Banks between 1913 and 1960 which enabled them to mutualise their gold reserves in emergency...

Persistent link: https://www.econbiz.de/10011605731

The political economy under monetary union: has the euro made a difference?

Fratzscher, Marcel; Stracca, Livio - 2008

Economic and Monetary Union (EMU) has transformed Europe and has created an integrated pan-European economy. Much research has focused on understanding this integration process and what benefits and costs it entails. This paper identifies a political economy channel of EMU as the monetary union...

Persistent link: https://www.econbiz.de/10011605002