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The extreme risk problem for monetary policies of the Euro-candidates
Gabrisch, Hubert; Orłowski, Lucjan T. - 2010
. -- Regeln der Geldpolitik ; Tail-Risks ; Euro-Konvergenz ; weltweite Finanzkrise ; Vermögensrisiko ; Zinsrisiko …Wir argumentieren, dass die Geldpolitik in den Euro-Kandidatenländern darauf abzielen sollte, die exzessive … Instabilität in den zentralen Ziel- und Instrumentenvariablen der Geldpolitik zu mildern, insbesondere in Phasen turbulenter …
Persistent link: https://www.econbiz.de/10003969864
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A dynamic approach to interest rate convergence in selected euro-candidate countries
Gabrisch, Hubert; Orłowski, Lucjan T. - 2009
, Slowenien und Polen, eine schwächere für Ungarn und die Slowakei. Seit ihrem EUBeitritt zeichnet sich allerdings auch eine …
Persistent link: https://www.econbiz.de/10003839554
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A market-based indicator of currency risk : evidence from American depositary receipts
Eichler, Stefan; Roevekamp, Ingmar - 2016
We introduce a novel currency risk measure based on American Depositary Receipts (ADRs). Using a multifactor pricing model, we exploit ADR investors’ exposure to potential devaluation losses to derive an indicator of currency risk. Using weekly data for a sample of 831 ADRs located in 23...
Persistent link: https://www.econbiz.de/10011435929
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Monetary policy in an oil-dependent economy in the presence of multiple shocks
Drygalla, Andrej - Leibniz-Institut für Wirtschaftsforschung Halle - 2017
Russian monetary policy has been challenged by large and continuous private capital outflows and a sharp drop in oil prices during 2014, with both ongoings having put a significant depreciation pressure on the ruble and having led the central bank to eventually give up its exchange rate...
Persistent link: https://www.econbiz.de/10011657233
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Avoiding the fall into the loop : isolating the transmission of bank-to-sovereign distress in the euro area and its drivers
Böhm, Hannes; Eichler, Stefanie - 2018
We isolate the direct bank-to-sovereign distress channel within the eurozone's sovereign-bank-loop by exploiting the global, non-eurozone related variation in stock prices. We instrument banking sector stock returns in the eurozone with exposure-weighted stock market returns from non-eurozone...
Persistent link: https://www.econbiz.de/10011923619
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What might central banks lose or gain in case of Euro adoption : a GARCH-analysis of money market rates for Sweden, Denmark and the UK
Buscher, Herbert S.; Gabrisch, Hubert - 2011
negativen monetären Schocks nicht durch eine gemeinsame Geldpolitik schützen können und es somit aus Sicht der skandinavischen …
Persistent link: https://www.econbiz.de/10009162063
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Sovereign stress, banking stress, and the monetary transmission mechanism in the Euro area
Holtemöller, Oliver; Scherer, Jan-Christopher - 2018
In this paper, we investigate to what extent sovereign stress and banking stress have contributed to the increase in the level and in the heterogeneity of nonfinancial firms' financing costs in the Euro area during the European debt crisis and how both have affected the monetary transmission...
Persistent link: https://www.econbiz.de/10011787375
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Sovereign stress, banking stress, and the monetary transmission mechanism in the Euro area
Holtemöller, Oliver; Scherer, Jan-Christopher - 2022 - This version: May 2022
In this paper, we investigate to what extent sovereign stress and banking stress have contributed to the increase in the level and in the heterogeneity of non-financial firms’ refinancing costs in the Euro area during the European debt crisis and how they did affect the monetary transmission...
Persistent link: https://www.econbiz.de/10013473968
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Global political ties and the global financial cycle
Ambrocio, Gene; Hasan, Iftekhar; Li, Xiang - Leibniz-Institut für Wirtschaftsforschung Halle - 2023
We study the implications of forging stronger political ties with the US on the sensitivities of stock returns around the world to a global common factor - the global financial cycle. Using voting patterns at the United Nations as a measure of political ties with the US along with various...
Persistent link: https://www.econbiz.de/10014451331
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Central bank transparency and the volatility of exchange rates
Eichler, Stefan; Littke, Helge C. N. - 2017
We analyze the effect of monetary policy transparency on bilateral exchange rate volatility. We test the theoretical predictions of a stylized model using panel data for 62 currencies from 1998 to 2010. We find strong empirical evidence that an increase in the availability of information about...
Persistent link: https://www.econbiz.de/10011743154