This paper analyzes the integration process of European equity markets since the 1980s. Its central focus is on the role that EMU, and specifically, changes in exchange rate volatility, has played in this process of financial integration. Building on an uncovered interest rate parity condition...

This paper analyzes the integration process of European equity markets since the 1980s. Its central focus is on the role that EMU, and specifically, changes in exchange rate volatility, has played in this process of financial integration. Building on an uncovered interest rate parity condition...

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...

Im Zahlungssystem der Eurozone, Target 2, sind seit 2007 hohe Verbindlichkeiten der Krisenländer gegenüber den übrigen Mitgliedern der Währungsunion aufgelaufen. Auf dem Höhepunkt dieser Entwicklung Mitte 2012 hatte allein die Deutsche Bundesbank Target-Forderungen in Höhe von 750...

Die Debatte über Target 2 - das Zahlungsverkehrssystem des Europäischen Systems der Zentralbanken - hat in den vergangenen Jahren zu kontroversen Diskussionen in Deutschland geführt. Die vorliegende Studie des DIW Berlin kommt zu dem Ergebnis, dass die in diesem Zusammenhang vielfach...

The debate about TARGET2, the payment system of the European System of Central Banks (ESCB), has resulted in controversial discussions in Germany in recent years. The present study by DIW Berlin concludes that fears often expressed in this context of the risks to Germany are largely unfounded....

We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...

In December 2013 agreement on the second pillar of the banking union was reached. The SRM sets up restructuring guidelines for banks, including a bank-paid resolution fund, fully operational in 2025. In the article we discuss how the current design of the banking union falls short of the goal of...

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...

This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across financial assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a...