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The Scapegoat Theory of Exchange Rates : The First Tests

Fratzscher, Marcel - 2013

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which...

Persistent link: https://www.econbiz.de/10013082028

Did the introduction of the euro have an impact on inflation uncertainty? : an empirical assessment

Hartmann, Matthias; Herwartz, Helmut - In: Macroeconomic dynamics 18 (2014) 6, pp. 1313-1325

Persistent link: https://www.econbiz.de/10010467980

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

Bernoth, Kerstin - 2019

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...

Persistent link: https://www.econbiz.de/10012891675

On the International Spillovers of US Quantitative Easing

Fratzscher, Marcel - 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), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US...

Persistent link: https://www.econbiz.de/10013080793

The Global Crisis and Equity Market Contagion

Bekaert, Geert - 2014

We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...

Persistent link: https://www.econbiz.de/10013059842

Drivers of Structural Change in Cross-Border Banking Since the Global Financial Crisis

Bremus, Franziska - 2014

banks has risen sharply, especially among banks in the euro area. Our results suggest that expansionary monetary policy in …, both in euro area and non-euro area countries. Regarding regulatory policy, increases in financial supervisory power or … importance of regulatory arbitrage as a driver of cross-border bank flows since the global financial crisis. However, in the euro …

Persistent link: https://www.econbiz.de/10013046446

Did the FED respond to liquidity shortage episodes during the Great Depression?

Damette, Olivier; Parent, Antoine - In: Macroeconomic dynamics 22 (2018) 7, pp. 1727-1749

Persistent link: https://www.econbiz.de/10011918165

Nonlinearity, cyclicity, and persistence in consumption and income relationships : research in honor of Melvin J. Hinich

Jawadi, Fredj; Leoni, Patrick Lucien - In: Macroeconomic dynamics 16 (2012), pp. 376-393

Persistent link: https://www.econbiz.de/10009746015

In-Sample and Out-of-Sample Prediction of Stock Market Bubbles : Cross-Sectional Evidence

Herwartz, Helmut - 2012

We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of price bubble periods are determined. Using these...

Persistent link: https://www.econbiz.de/10013112839

When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries

Fratzscher, Marcel - 2017

This study examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and an effective policy tool, with a success rate in excess of 80 percent under some criteria. The policy works well in terms of smoothing...

Persistent link: https://www.econbiz.de/10012970610