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In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...
Persistent link: https://www.econbiz.de/10003977656
The communication policy of the European Central Bank attracts a lot of attention from financial markets. This paper analyses the informational content of the monthly introductory statements of the ECB president explaining interest rate decisions with regard to inflation expectations of...
Persistent link: https://www.econbiz.de/10003528856
European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...
Persistent link: https://www.econbiz.de/10011764975
This paper analyses the growth effects of EU structural funds using a new panel dataset of 124 NUTS-1 / NUTS-2 regions over the time period 1995-2005. We extend the current literature with regard to at least three aspects: First of all, we extend the time period of investigation, using...
Persistent link: https://www.econbiz.de/10003770912
case of ARGARCH models, the approximation process chosen in this paper shows a better estimation of the stock price … development based on autoregressive models and, thus, more robust estimation results for the reaction to a regulatory change … because of the national process of governments’ adjustments. Thus, the estimation results provide evidence that companies …
Persistent link: https://www.econbiz.de/10008701352
Persistent link: https://www.econbiz.de/10009244220
In this paper, the relationship between the degree of centralisation and the distributive outcomes in European schemes of social assistance is investigated. For this purpose, a scheme of classification suitable for grouping the EU15 schemes except for Luxembourg according to features related to...
Persistent link: https://www.econbiz.de/10011448410
Persistent link: https://www.econbiz.de/10001911609
We investigate the effect of the European Union Emissions Trading System (EU ETS) on the economic performance of manufacturing firms in Germany. Our difference-in-differences framework relies on several parametric conditioning strategies and nearest neighbor matching. As a measure of economic...
Persistent link: https://www.econbiz.de/10011574888
This paper presents an analysis of pension funds' performance in Poland and Hungary, two Central European countries characterized by strong regulation of their private pension fund industries. Thus, the paper extends the literature which has so far mostly focused on performance of pension fund...
Persistent link: https://www.econbiz.de/10008665401