Similar Search Results

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

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

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

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

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Caporale, Guglielmo Maria - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen … dollar rate vis-à-vis the Euro and the Japanese Yen respectively …

Persistent link: https://www.econbiz.de/10013144331

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

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

Financial Transaction Tax Contributes to More Sustainability in Financial Markets

Schäfer, Dorothea - 2012

We argue that a financial transaction tax complements financial market regulation. With the tax, governments have an additional instrument at hand to influence trading activity. FTT aims to reduce regulatory arbitrage, flash trading, overactive portfolio management, excessive leverage and...

Persistent link: https://www.econbiz.de/10013108341

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

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria; Gil-Alaña, 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