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Euro area government bonds : integration and fragmentation during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
identification. The paper finds that euro area government bond markets were well integrated prior to the crisis, but saw a …
Persistent link: https://www.econbiz.de/10010519824
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Euro area government bonds : fragmentation and contagion during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - In: Journal of international money and finance 70 (2017), pp. 26-44
Persistent link: https://www.econbiz.de/10011752308
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Asset Prices, News Shocks and the Current Account
Fratzscher, Marcel; Straub, Roland - C.E.P.R. Discussion Papers - 2010
We analyze the relationship between asset prices and current account positions estimating a Bayesian VAR for a broad set of 42 industrialized and emerging market countries. To derive model-based identifying restrictions, we model asset price shocks as news shocks about future productivity in a...
Persistent link: https://www.econbiz.de/10008680756
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Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10010659948
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - European Central Bank - 2014
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10011067221
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Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10010877722
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Asset prices and current account fluctuations in G7 economies
Fratzscher, Marcel; Straub, Roland - 2009
in 1974-2007. It uses a Bayesian VAR with sign restrictions for the identification of asset price shocks and to test …
Persistent link: https://www.econbiz.de/10011605060
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2014
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10011605734
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Euro area government bonds: Integration and fragmentation during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
identification. The paper finds that euro area government bond markets were well integrated prior to the crisis, but saw a …
Persistent link: https://www.econbiz.de/10010520526
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Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis
Ehrmann, Michael; Fratzscher, Marcel - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
identification. The paper finds that euro area government bond markets were well integrated prior to the crisis, but saw a …
Persistent link: https://www.econbiz.de/10011273259