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Cross-border bank contagion in Europe
Gropp, Reint E.; Lo Duca, Marco; Vesala, Jukka - 2006
This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …
Persistent link: https://www.econbiz.de/10011604708
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Cross-Border Bank Contagion in Europe
Gropp, Reint E.; Lo Duca, Marco; Vesala, Jukka - 2007
This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a …. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the introduction … of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the specification. …
Persistent link: https://www.econbiz.de/10010263325
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Global corporate bond issuance: what role for US quantitative easing?
Lo Duca, Marco; Nicoletti, Giulio; Vidal Martinez, Ariadna - 2014
The paper investigates the impact of US quantitative easing (QE) on global non-financial corporate bond issuance. It distinguishes between two QE instruments, MBS/GSE debt and Treasury bonds, and disentangles between two channels of transmission of QE to global bond markets, namely flow effects...
Persistent link: https://www.econbiz.de/10011605694
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On the international spillovers of US quantitative easing
Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - 2015
Persistent link: https://www.econbiz.de/10011375959
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On the international spillovers of US quantitative easing
Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - In: The economic journal : the journal of the Royal … 128 (2018) 608, pp. 330-377
Persistent link: https://www.econbiz.de/10011951203
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On the international spillovers of US quantitative easing
Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US...
Persistent link: https://www.econbiz.de/10009763863
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On the international spillovers of US quantitative easing
Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - 2013
Persistent link: https://www.econbiz.de/10009766400
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US...
Persistent link: https://www.econbiz.de/10013080793
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to other...
Persistent link: https://www.econbiz.de/10013081463
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Risk, uncertainty and monetary policy
Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty”), we find that a lax monetary policy decreases...
Persistent link: https://www.econbiz.de/10011506749