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European sovereign bond spreads: monetary unification, market conditions and financial integration.
Georgoutsos, Dimitris A.; Migiakis, Petros - Bank of Greece - 2010
In this paper we examine the dynamics of European sovereign bond yield spreads focusing on issues related to financial integration and market conditions. The finding of near-unit-root effects highlights the need for careful econometric specification. Thus we formulate sovereign bond yield...
Persistent link: https://www.econbiz.de/10008642237
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How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area
Moerman, Moerman, G.A. - Erasmus Research Institute of Management (ERIM), … - 2005
The euro area has faced a high number of monetary and policy changes in the recent past as a consequence of the European integration process and, naturally, these developments have important implications for portfolio diversification and asset pricing. Therefore, this paper concentrates on the...
Persistent link: https://www.econbiz.de/10010731136
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Real and Financial Integration in Europe ; Evidence for the Accession States and for the Pre-Ins
Buch, Claudia M.; Döpke, Jörg - Institut für Weltwirtschaft (IfW) - 1999
The process of European integration has gained considerable momentum during the past couple of years. This paper provides an assessment of the degree of integration of both the accession states of central and eastern Europe and of the pre-ins for monetary union with respect to Germany. Using...
Persistent link: https://www.econbiz.de/10005700641
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Towards a Stable Monetary Union: What Role for Eurobonds?
Gilbert, Niels; Hessel, Jeroen; Verkaart, Silvie - de Nederlandsche Bank - 2013
This paper investigates the role that Eurobonds could play in making EMU stable in the long run. We establish that EMU … ECB form the ideal backstop, and that Eurobonds potentially offer a more stable solution, but at the price of important … and moral hazard by using Eurobonds themselves to further enforce budgetary discipline. Even then, however, EMU governance …
Persistent link: https://www.econbiz.de/10010757280
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Financial Markets Efficiency (Nobel Memorial Prize in Economics 2013)
Sverchkov, R.; K. Sonin. - In: VOPROSY ECONOMIKI 1 (2014)
The article considers the ways to overcome the methodological gap between the analysis of economic cycles and the pure economic theory as suggested by the Western economists in the 1920s and 1930s. In this context, N. D. Kondratiev’s project of economic dynamics is analyzed, which implied a...
Persistent link: https://www.econbiz.de/10010752385
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Does intrinsic value still have a role in capital market pricing?
Bélyácz, Iván - In: Society and Economy 34 (2012) April, pp. 95-113
In this study I make an effort to prove that market price signals are less subject to individual behavioural distortion than those sharing the idea of prevailing irrational investor behaviour, and that intrinsic value plays a major role in the market price. With stock market bubbles, the balance...
Persistent link: https://www.econbiz.de/10010822336
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Public support for institutionalised solidarity: Europeans' reaction to the establishment of eurobonds
Daniele, Gianmarco; Geys, Benny - Wissenschaftszentrum Berlin für Sozialforschung (WZB) - 2012
, the European Commission's November 2011 Green Paper discussed the introduction of Stability Bonds (or Eurobonds) that … Eurobonds, and the step towards further European fiscal integration they represent. Using a novel dataset derived from the … appear more relevant than self-interest in shaping preferences for/against Eurobonds. However, at the country level, opinion …
Persistent link: https://www.econbiz.de/10010956224
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Bankruptcy and the size effect
Lu, Ching-Chih; Chollete, Loran - Handelshøgskolen, Universitetet i Stavanger - 2010
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Persistent link: https://www.econbiz.de/10008692078
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Bond pricing in a hidden Markov model of the short rate
LandÊn, Camilla - In: Finance and Stochastics 4 (2000) 4, pp. 371-389
We consider a diffusion type model for the short rate, where the drift and diffusion parameters are modulated by an underlying Markov process. The underlying Markov process is assumed to have a stochastic differential driven by Wiener processes and a marked point process. The model for the short...
Persistent link: https://www.econbiz.de/10005759623
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The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
Lettau, Martin; Ludvigson, Sydney; Wachter, Jessica - C.E.P.R. Discussion Papers - 2006
Aggregate stock prices, relative to virtually any indicator of fundamental value, soared to unprecedented levels in the 1990s. Even today, after the market declines since 2000, they remain well above historical norms. Why? We consider one particular explanation: a fall in macroeconomic risk, or...
Persistent link: https://www.econbiz.de/10005504539