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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 … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity … played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the …
Persistent link: https://www.econbiz.de/10009640611
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Asymmetric dynamics in the correlations of global equity and bond returns
Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - 2003
Persistent link: https://www.econbiz.de/10009639863
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Liquidity requirements and payment delays
Schulz, Christian - 2011
The paper presents an analysis of the trade-offs of participants of different type between payment delay and liquidity … system is described and calibrated using real world parameters. The payment system is simulated for various liquidity levels … liquidity requirements, as the payment delays they face for each liquidity level will be different. This is shown using …
Persistent link: https://www.econbiz.de/10009640617
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currency risk, legal harmonization, or trade?
Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydró, … - 2010
euro’s impact on financial integration is primarily driven by eliminating the currency risk. Legislative …
Persistent link: https://www.econbiz.de/10009640324
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Global commodity cycles and linkages a FAVAR approach
Lombardi, Marco; Osbat, Chiara; Schnatz, Bernd - 2010
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...
Persistent link: https://www.econbiz.de/10009640371
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Capital flows, push versus pull factors and the global financial crisis
Fratzscher, Marcel - 2011
finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that …
Persistent link: https://www.econbiz.de/10009640914
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Does the yield spread predict recessions in the euro area?
Moneta, Fabio - 2003
This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particular, the historical predictive power of ten yield spreads, for different segments of the yield curve, is tested using a probit model. The yield spread between the...
Persistent link: https://www.econbiz.de/10009636517
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The high-yield segment of the corporate bond market
Bondt, Gabe de; Marqués, David - 2004
This study empirically examines the development of the high-yield segment of the corporate bond market in the United States, as a pioneer country, and the United Kingdom and the euro area, as later adopting countries. Estimated diffusion models show for the United States a significant pioneer...
Persistent link: https://www.econbiz.de/10009636536
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Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB
Vähämaa, Sami - 2004
This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...
Persistent link: https://www.econbiz.de/10009636538
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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/10009639408