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America First? : a US-centric view of global capital flows
McQuade, Peter; Schmitz, Martin - 2019
Both academic researchers and policymakers posit a unique role for the US in the inter-national financial system. This paper investigates the characteristics and determinants of US cross-border financial flows and examines how these contrast with those of the rest of the world. We analyse the...
Persistent link: https://www.econbiz.de/10011975553
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Interbank asset-liability networks with fire sale management
Feinstein, Zachary; Hałaj, Grzegorz - 2023
Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...
Persistent link: https://www.econbiz.de/10014278677
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Financial exposure and bank mergers : micro and macro evidence from the EU
Lebastard, Laura - 2022
This paper studies for the first time the links between interbank liability and equity markets (financial exposure), and mergers and acquisitions (M&As) in the European banking sector, both at the micro and macro level. Using a binary logit model, the paper first examines - at the micro level -...
Persistent link: https://www.econbiz.de/10013367631
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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 … doubled or tripled their impact on other stock markets. At the same time, there is evidence that sectors have become more … heterogeneous in each of the three currency areas, ie the response to aggregate shocks has increasingly varied across sectors …
Persistent link: https://www.econbiz.de/10009635881
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Measurement of contagion in banks' equity prices
Gropp, Reint; Moerman, Gerard - 2003
This paper uses the co-incidence of extreme shocks to banksu0092 risk to examine within country and across country contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...
Persistent link: https://www.econbiz.de/10009636520
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Towards European monetary integration
González, Fernando; Launonen, Simo - 2005
We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating currencies are in effect identical from...
Persistent link: https://www.econbiz.de/10009639925
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Multimarket trading and the cost of debt
Petrasek, Lubomir - 2010
Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt. Using a sample of primary and secondary market...
Persistent link: https://www.econbiz.de/10009640328
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Foreign-currency bonds : currency choice and the role of uncovered and covered interest parity
Habib, Maurizio Michael; Joy, Mark - 2008
Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...
Persistent link: https://www.econbiz.de/10003794028
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10003825947
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Multimarket trading and the cost of debt: evidence from global bonds
Petrasek, Lubomir - 2010
Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt. Using a sample of primary and secondary market...
Persistent link: https://www.econbiz.de/10003973581