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Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

An empirical study of liquidity and information effects of order flow on exchange rate

Breedon, Francis; Vitale, Paolo - 2004

We propose a simple structural model of exchange rate determination which draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow on exchange rates. We estimate this model employing...

Persistent link: https://www.econbiz.de/10009639485

Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - 2003

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … increased considerably. More precisely, price innovations in European equities (both aggregate returns and sector returns) have …

Persistent link: https://www.econbiz.de/10009635881

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10009635914

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

Growth expectations, capital flows and international risk sharing

Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003

Over the past decades, cross-border financial flows have increased in importance and have in many occasions exceeded the underlying current account positions. This phenomenon has been accompanied by an increase in the volume of international equity transactions that accentuate the role of...

Persistent link: https://www.econbiz.de/10009635970

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

returns. Using Monte Carlo simulations, the paper examines whether the observed frequency of large shocks experienced by two …

Persistent link: https://www.econbiz.de/10009636520

Fiscal policy events and interest rate swap spreads

Afonso, António; Strauch, Rolf - 2004

In this paper we assess the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in the course of 2002 produced a reaction in the long-term bond segment of the capital markets. Firstly, we...

Persistent link: https://www.econbiz.de/10009636526

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - 2004

autarchic (i.e. fundamental) FX returns. The model is calibrated and tested on the Czech koruna/euro exchange rate in a setting … with seven Czech and euro area asset returns. …

Persistent link: https://www.econbiz.de/10009636537

Diversification in euro area stock markets

Moerman, Gerard - 2004

economic integration among euro area countries has important consequences for the factors driving asset returns in financial … markets. This study concentrates on the implications of the changing structure of security returns for asset management. Using …-hype and different volatility regimes. This contrasts with e.g. Rouwenhorst (1999), who finds, based on a different methodology …

Persistent link: https://www.econbiz.de/10009636550