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Financial Market Integration in Europe : On the Effects of Emu on Stock Markets
Fratzscher, Marcel - 2021
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...
Persistent link: https://www.econbiz.de/10013320297
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013
strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the … financialisation process of oil prices explaining most of the strengthening of this correlation. -- Oil prices ; asset prices … ; exchange rates ; US dollar ; identification ; time-varying correlation …
Persistent link: https://www.econbiz.de/10009745917
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013
strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the … financialisation process of oil prices explaining most of the strengthening of this correlation. …
Persistent link: https://www.econbiz.de/10009748353
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Euro area government bonds : integration and fragmentation during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
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...
Persistent link: https://www.econbiz.de/10010519824
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Neue Banken- und Fiskalarchitektur für Europa : Krisen vermeiden, statt sie nur zu bewältigen
Fratzscher, Marcel; Lambert, Claudia; Rieth, Malte - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 94 (2014), pp. 15-21
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...
Persistent link: https://www.econbiz.de/10010241349
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Euro area government bonds : integration and fragmentation during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
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...
Persistent link: https://www.econbiz.de/10010508561
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Euro Area Government Bonds : Integration and Fragmentation During the Sovereign Debt Crisis
Ehrmann, Michael - 2015
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...
Persistent link: https://www.econbiz.de/10013023155
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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis
Beirne, John - 2014
been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …
Persistent link: https://www.econbiz.de/10013061742
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The political economy under monetary union: has the euro made a difference?
Fratzscher, Marcel; Stracca, Livio - 2008
Economic and Monetary Union (EMU) has transformed Europe and has created an integrated pan-European economy. Much research has focused on understanding this integration process and what benefits and costs it entails. This paper identifies a political economy channel of EMU as the monetary union...
Persistent link: https://www.econbiz.de/10003794175
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Forecasting ECB monetary policy : accuracy is (still) a matter of geography
Berger, Helge (contributor); Ehrmann, Michael (contributor);  … - 2006
Monetary policy in the euro area is conducted within a multi-country, multi-cultural, and multi-lingual context involving multiple central banking traditions. How does this heterogeneity affect the ability of economic agents to understand and to anticipate monetary policy by the ECB? Using a...
Persistent link: https://www.econbiz.de/10003370562