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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

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

Modelling the time varying determinants of portfolio flows to emerging markets

Lo Duca, Marco - 2012

This paper studies how the drivers of portfolio flows change across periods with a model where regression coefficients endogenously change over time in a continuous fashion. The empirical analysis of daily equity portfolio flows to emerging markets shows that the regression coefficients display...

Persistent link: https://www.econbiz.de/10011605513

On the international spillovers of US quantitative easing

Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - 2013

The paper analyses the global spillovers of the Federal Reserve’s unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to...

Persistent link: https://www.econbiz.de/10011605602