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Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
Fratzscher, Marcel; Rieth, Malte - In: Review of finance : journal of the European Finance … 23 (2019) 4, pp. 745-775
Persistent link: https://www.econbiz.de/10012035135
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Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
Fratzscher, Marcel; Rieth, Malte - 2015
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall...
Persistent link: https://www.econbiz.de/10010479938
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Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area : conference paper
Fratzscher, Marcel; Rieth, Malte - 2014 - Preliminary
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall...
Persistent link: https://www.econbiz.de/10010480609
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Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
Fratzscher, Marcel; Rieth, Malte - 2015
Persistent link: https://www.econbiz.de/10010484959
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Monetary policy, bank bailouts and the sovereign-bank risk nexus in the Euro area
Fratzscher, Marcel; Rieth, Malte - 2015
Persistent link: https://www.econbiz.de/10011350260
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Mere criticism of the ECB is no solution
Fratzscher, Marcel; Gropp, Reint; Kotz, Hans-Helmut; … - 2015
The eurozone remains in a deep, largely macro-economic crisis. A robust global economy and falling oil prices have … supported Europeś economy for some time, but by now it is clear that the eurozone will only be able to pull itself out of this …
Persistent link: https://www.econbiz.de/10011449399
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Stocks, bonds, money markets and exchange rates : measuring international financial transmission
Ehrmann, Michael; Fratzscher, Marcel; Rigobón, Roberto - 2005
Persistent link: https://www.econbiz.de/10002656136
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Stocks, bonds, money markets and exchange rates : measuring international financial transmission
Ehrmann, Michael (contributor);  … - 2005
The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and the euro area. We find that asset prices react strongest to other domestic asset price shocks, and that there are...
Persistent link: https://www.econbiz.de/10002817412
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Stocks, bonds, money markets and exchange rates : measuring international financial transmission
Ehrmann, Michael; Fratzscher, Marcel; Rigobón, Roberto - In: Journal of applied econometrics 26 (2011) 6, pp. 948-974
Persistent link: https://www.econbiz.de/10009408880
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Stocks, Bonds, Money Markets and Exchange Rates : Measuring International Financial Transmission
Ehrmann, Michael - 2005
The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and the euro area. We find that asset prices react strongest to other domestic asset price shocks, and that there are...
Persistent link: https://www.econbiz.de/10012467519