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Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel - 2011

unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …. - Contagion ; financial crisis ; equity markets ; global transmission ; market integration ; country risk ; factor model …

Persistent link: https://www.econbiz.de/10009380410

Stock return comovement when investors are distracted : more, and more homogeneous

Ehrmann, Michael; Jansen, David-Jan - 2020

This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the...

Persistent link: https://www.econbiz.de/10012216666

Global financial transmission of monetary policy shocks

Ehrmann, Michael (contributor); … - 2006

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10003320671

Stocks, bonds, money markets and exchange rates : measuring international financial transmission

Ehrmann, Michael (contributor); … - 2005

The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and the euro area. We find that asset prices react strongest to other domestic asset price shocks, and that there are...

Persistent link: https://www.econbiz.de/10002817412

Taking stock : monetary policy transmission to equity markets

Ehrmann, Michael (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002125122

Starting from a blank page? : semantic similarity in central bank communication and market volatility

Ehrmann, Michael; Talmi, Jonathan - 2017

Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Due to their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement, and update the...

Persistent link: https://www.econbiz.de/10011637411

The reception of public signals in financial markets : what if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - 2009

How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents’...

Persistent link: https://www.econbiz.de/10003963731

Central bank communication on financial stability

Born, Benjamin; Ehrmann, Michael; Fratzscher, Marcel - 2011

Central banks regularly communicate about financial stability issues, by publishing Financial Stability Reports (FSRs) and through speeches and interviews. The paper asks how such communications affect financial markets. Building a unique dataset, it provides an empirical assessment of the...

Persistent link: https://www.econbiz.de/10009006629