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Country and sector-specific spillover effects in the euro area, the United States and Japan
Kaltenhaeuser, Bernd - 2003
Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...
Persistent link: https://www.econbiz.de/10009635881
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Finance and growth in the EU
De Ávila, Diego Romero - 2003
This paper analyses the link between finance and growth by studying the effect that the process of financial deregulation and harmonisation of banking laws at the EU level has brought about on growth over the last 40 years. Our main findings point to the existence of a positive long-run growth...
Persistent link: https://www.econbiz.de/10009635911
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Indeterminacy of rational expectations equilibria in sequential financial markets
Donati, Paola - 2003
for pure exchange, sequential economies, with deffinitely many states of private information, an incomplete financial …
Persistent link: https://www.econbiz.de/10009635915
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Developing statistical indicators of the integration of the euro area banking system
Manna,Michele - 2004
This paper discusses a wide range of indicators of the degree of integration of the euro area banking system. It is concerned with volume data, a less developed field of research compared with studies on prices/rates. We first set out a methodological framework, a mixture of elementary and more...
Persistent link: https://www.econbiz.de/10009636523
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Fiscal policy events and interest rate swap spreads
Afonso, António; Strauch, Rolf - 2004
In this paper we assess the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in the course of 2002 produced a reaction in the long-term bond segment of the capital markets. Firstly, we...
Persistent link: https://www.econbiz.de/10009636526
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International equity flows and returns
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...
Persistent link: https://www.econbiz.de/10009636533
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Risk sharing through financial markets with endogenous enforcement of trades
Köppl, Thorsten V. - 2004
When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are an integral part of financial marketsu0092 organization. We assess the degree of risk sharing that can be achieved through financial markets when enforcement is based on the...
Persistent link: https://www.econbiz.de/10009636542
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International stock return comovements
Bekaert, Geert (contributor); Hodrick, Robert J. (contributor) - 2008
We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We...
Persistent link: https://www.econbiz.de/10003789454
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Cross-border bank contagion in Europe
Gropp, Reint (contributor); Lo Duca, Marco (contributor);  … - 2006
This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day (coexceedancesʺ) as a function of variables measuring...
Persistent link: https://www.econbiz.de/10003358636
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Exchange rate stabilization in developed and underdeveloped capital markets
Chmelarova, Viera (contributor);  … - 2006
The target zone model by Krugman (1991) assumes that foreign exchange intervention targets exchange rate levels. We … argue that the fit of this model depends on the stage of development of capital markets. Foreign exchange intervention of … countries with highly developed capital markets is in line with Krugman’s (1991) model as the exchange rate level is targeted …
Persistent link: https://www.econbiz.de/10003337240