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Euro area government bonds : integration and fragmentation during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in …, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion. While this …
Persistent link: https://www.econbiz.de/10010519824
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The global crisis and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2014
indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small …. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its …
Persistent link: https://www.econbiz.de/10010229208
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Global financial transmission of monetary policy shocks
Ehrmann, Michael; Fratzscher, Marcel - 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/10011604662
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Global financial transmission of monetary policy shocks
Ehrmann, Michael; Fratzscher, Marcel - 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/10010263903
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Global Financial Transmission of Monetary Policy Shocks
Ehrmann, Michael; Fratzscher, Marcel - 2021
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/10013317648
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Euro Area Government Bonds : Integration and Fragmentation During the Sovereign Debt Crisis
Ehrmann, Michael - 2015
tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … same time, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion …
Persistent link: https://www.econbiz.de/10013023155
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Euro area government bonds : integration and fragmentation during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … same time, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion …
Persistent link: https://www.econbiz.de/10010508561
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Monetary policy transmission in the euro area
Angeloni, Ignazio; Ehrmann, Michael - 2003
data limitations, we concentrate on three blocks of transmission: the banking, interest-rate and asset-market channels. We …
Persistent link: https://www.econbiz.de/10009635961
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Financial systems and the role of banks in monetary policy transmission in the euro area
Sevestre, Patrick; Martinez-Pages, Jorge; Gambacorta, … - 2001
This paper offers a comprehensive comparison of the structure of banking and financial markets in the euro area. Based …
Persistent link: https://www.econbiz.de/10010295715
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Financial systems and the role of banks in monetary policy transmission in the euro area
Ehrmann, Michael; Gambacorta, Leonardo; Martínez … - 2001
This paper offers a comprehensive comparison of the structure of banking and financial markets in the euro area. Based …
Persistent link: https://www.econbiz.de/10011419463