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How safe was the "safe haven"? : financial market liquidity during the 1998 turbulences
Upper, Christian - 2000
The turbulences in the international financial markets during the summer and autumn of 1998 put the price formation and liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took place, investors shifted a large part of their...
Persistent link: https://www.econbiz.de/10011418740
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Financial integration, specialization and systemic risk
Fecht, Falko (contributor); Grüner, Hans Peter (contributor) - 2008
This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks. After integration they can share these risks in a complete interbank market. When...
Persistent link: https://www.econbiz.de/10003794446
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Financial marketś appetite for risk : and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - 2009
Assessments of investors’ risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10003857724
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Exchange rate pass-through and real exchange rate in EU candidate countries
Darvas, Zsolt M. - 2001
This paper studies a particular aspect of the choice of exchange rate regime by EU candidate countries in the run-up to membership of European Economic and Monetary Union (EMU). The fact that these countries have adopted various exchange rate systems reflects a divergence of opinion on the...
Persistent link: https://www.econbiz.de/10011419367
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Currency portfolios and currency exchange in a search economy
Craig, Ben R.; Waller, Christopher - 2001
We develop a dual currency search model to study equilibrium currency exchange and the determination of nominal exchange rates. Agents hold portfolios consisting of two distinct currencies. We study equilibria in which the two currencies are identical and equilibria in which the two currencies...
Persistent link: https://www.econbiz.de/10011419415
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The determinants of the euro-dollar exchange rate : synthetic fundamentals and a non-existing currency
Clostermann, Jörg; Schnatz, Bernd - 2000
At the beginning of 1999 the euro was launched as a common currency in 11 European countries. This paper addresses empirically the medium to long-term forces driving the real euro-dollar exchange rate. Constructing a synthetic euro-dollar exchange rate over a period from 1975 to 1998 and...
Persistent link: https://www.econbiz.de/10011418743
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Concepts to calculate equilibrium exchange rates : an overview
MacDonald, Ronald - 2000
In this paper we present a critical overview of differnt methods of constructing an equilibrium exchange rate. The recent literature on purchasing power parity (PPP) indicates that on its own PPP is not a good vehicle for defining an equilibrium exchange rate. Rather, we argue that the latter...
Persistent link: https://www.econbiz.de/10011418788
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Bubbles and incentives : a post-mortem of the Neuer Markt in Germany
Kalckreuth, Ulf von; Silbermann, Leonid - 2010
This paper aims to shed light on some of the major allocative consequences of financial market bubbles. In March 1997 … of corporate financing shows that bubbles on financial markets will induce entrepreneurs and providers of external … the success of the enterprises considered. -- Bubbles ; corporate governance ; quantile regressions ; nonparametric …
Persistent link: https://www.econbiz.de/10008653397
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German bank lending during emerging market crises : a bank level analysis
Heid, Frank; Nestmann, Thorsten; Weder, Beatrice; … - 2004
This paper investigates whether the new Basel Accord will induce a change in bank lending to emerging markets using a comprehensive new data set on German banks` foreign exposure. We test two interlinked hypotheses on the conditions under which the change in the regulatory capital would leave...
Persistent link: https://www.econbiz.de/10002398512
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Sovereign bond market integration: the euro, trading platforms and globalization
Schulz, Alexander (contributor);  … - 2008
We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15...
Persistent link: https://www.econbiz.de/10003721534