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International risk-sharing and the transmission of productivity shocks

Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2004

A central puzzle in international finance is that real exchange rates are volatile and, in stark contradiction to effcient risk-sharing, negatively correlated with cross-country consumption ratios. This paper shows that incomplete asset markets and a low price elasticity of tradables can account...

Persistent link: https://www.econbiz.de/10009636531

Fundamentals and joint currency crises

Hartmann, Philipp; Straetmans, Stefan; Vries, Casper de - 2004

In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or...

Persistent link: https://www.econbiz.de/10009636547

Government deficits, wealth effects and the price level in an optimizing model

Annicchiarico, Barbara - 2003

This paper investigates the in inflationary effects of fscal policy in an optimizing general equilibrium monetary model with capital accumulation, exible prices and wealth effects. The model is calibrated to Euro Area quarterly data. Simulation results show that government defcits, high debt...

Persistent link: https://www.econbiz.de/10009635879

Bond markets and long-term interest rates in non-euro area member states of the European Union and in accession states

European Central Bank - 2004

of the debt securities market by original maturity, sector of the issuer and currency of denomination. Section 2 provides …. Section 3 focuses on certain features of individual long-term debt securities issued by the general government. Section 4 … related to securities market regulation. Data included in this publication have been reported until the end of September 2004. …

Persistent link: https://www.econbiz.de/10009636827

The systemic dimension of hedge fund illiquidity and prime brokerage

Hespeler, Frank - 2014

distress. This can be explained by the hoarding of liquid securities by prime brokers who are eager to avert runs by their …

Persistent link: https://www.econbiz.de/10010368103

Real-world and risk-neutral probabilities in the regulation on the transparency of structured products

Giordano, Luca; Siciliano, Giovanni - 2015

The price of derivatives (and hence of structured products) can be calculated as thediscounted value of expected future payoffs, assuming standard hypotheses on frictionless and complete markets and on the type of stochastic processes for the price of the underlying. However, the probabilities...

Persistent link: https://www.econbiz.de/10010487824

Guidelines on the application of simplified obligations under Article 4(5) of Directive 2014/59/EU

European Banking Authority - 2015

Persistent link: https://www.econbiz.de/10011412738

Possible delegated acts for the implementation of EU legislation on both markets in financial instruments (MIFID II) and on market abuse regulation (MAR)

Fabregas - Fernandez, Maria Teresa (contributor) - ARTICLE 29 Data Protection Working Party - 2015

Persistent link: https://www.econbiz.de/10011624806