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On the international spillovers of US quantitative easing
Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - 2013
, but rather that responses to Fed policies are related to country risk. The results thus illustrate how US unconventional … measures have contributed to portfolio reallocation as well as a re-pricing of risk in global financial markets. …
Persistent link: https://www.econbiz.de/10009763863
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Bubble thy neighbor : portfolio effects and externalities from capital controls ; conference paper
Forbes, Kristin; Fratzscher, Marcel; Kostka, Thomas; … - 2013
We use changes in Brazil s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil s tax on foreign...
Persistent link: https://www.econbiz.de/10010341669
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
responses to Fed policies are related to country risk. The results thus illustrate how US unconventional measures have … contributed to portfolio reallocation as well as a re-pricing of risk in global financial markets …
Persistent link: https://www.econbiz.de/10013081463
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
, but rather that responses to Fed policies are related to country risk. The results thus illustrate how US unconventional … measures have contributed to portfolio reallocation as well as a re-pricing of risk in global financial markets …
Persistent link: https://www.econbiz.de/10013080793
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Home bias in global bond and equity markets: the role of real exchange rate volatility
Fidora, Michael; Fratzscher, Marcel; Thimann, Christian - 2006
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...
Persistent link: https://www.econbiz.de/10011604731
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Taking stock: monetary policy transmission to equity markets
Ehrmann, Michael; Fratzscher, Marcel - 2004
This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance...
Persistent link: https://www.econbiz.de/10011604400
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Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model
Chudik, Alexander; Fratzscher, Marcel - 2011
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced …
Persistent link: https://www.econbiz.de/10011605331
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Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis
Chudik, Alexander; Fratzscher, Marcel - 2012
The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …
Persistent link: https://www.econbiz.de/10011605461
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Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model
Chudik, Alexander; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2010
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced …
Persistent link: https://www.econbiz.de/10008692308
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Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis
Chudik, Alexander; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2012
The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …
Persistent link: https://www.econbiz.de/10011083738