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The Power of Opinion : More Evidence of a GIPS-Markup in Sovereign Ratings During the Euro Crisis
Nauhaus, Steffen - 2015
This paper examines whether the Big Three credit rating agencies actually played as active a role in the Euro Crisis as …
Persistent link: https://www.econbiz.de/10013016093
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Volatility Patterns of CDs, Bond and Stock Markets Before and During the Financial Crisis : Evidence from Major Financial Institutions
Belke, Ansgar Hubertus - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10013128075
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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
Baum, Christopher F. - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of …-2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and …
Persistent link: https://www.econbiz.de/10013073134
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Early Warning System of Government Debt Crises
Dreger, Christian - 2018
. Against this backdrop, early warning systems are of crucial importance. In this study that focuses on euro area member states …
Persistent link: https://www.econbiz.de/10012924172
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082098
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When Does it Hurt? The Exchange Rate 'Pain Threshold' for German Exports
Belke, Ansgar Hubertus - 2009
euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play … area to about 1.55 US dollar per euro. In our interpretation, this is the current "pain threshold", where a strong spurt … reaction of exports to a further appreciation of the euro is expected to start …
Persistent link: https://www.econbiz.de/10013155088
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Long Memory and Fractional Integration in High Frequency Financial Time Series
Caporale, Guglielmo Maria - 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10013141114
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Regionality Revisited : An Examination of the Direction of Spread of Currency Crisis
Dasgupta, Amil - 2010
What determines the direction of spread of currency crises? We examine data on waves of currency crises in 1992, 1994, 1997, and 1998 to evaluate several hypotheses on the determinants of contagion. We simultaneously consider trade competition, financial links, and institutional similarity to...
Persistent link: https://www.econbiz.de/10013141079
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Price Formation on the EuroMTS Platform
Caporale, Guglielmo Maria - 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro …
Persistent link: https://www.econbiz.de/10013144140
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...
Persistent link: https://www.econbiz.de/10014183200