Showing 1 - 10 of 14
-a-vis the core EU member states (EU-15) over the period 1990-2006. Specifically, we focus on whether there is a shift towards …
Persistent link: https://www.econbiz.de/10014206526
We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our … aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are … intercepts) are a crucial determinant of ratings. Whilst "new" EU countries typically have lower ratings than "old" ones, after …
Persistent link: https://www.econbiz.de/10013141115
This paper reviews the main features of the banking and financial sector in ten new EU members, and then examines the …
Persistent link: https://www.econbiz.de/10014201474
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10013141038
This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...
Persistent link: https://www.econbiz.de/10013119070
Using annual bilateral data over the period 1988-2011 for a panel of 24 industrialised and emerging economies, we analyse in a time-varying framework the determinants of output synchronisation in EMU (European Monetary Union) distinguishing between core and peripheral member states. The results...
Persistent link: https://www.econbiz.de/10013084449
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...
Persistent link: https://www.econbiz.de/10013014905
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in...
Persistent link: https://www.econbiz.de/10013155346
This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...
Persistent link: https://www.econbiz.de/10012960910
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/10013050104