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Contagion between European and US banks: Evidence from equity prices

Fricke, Daniel - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

Persistent link: https://www.econbiz.de/10010274429

Benchmark yield undershooting in the E.M.U.

Antzoulatos, Angelos A. - 2002

With the elimination of foreign exchange risk among the E.M.U.-member countries, the yield of, say, French benchmark government bonds (henceforth, the yield) should be equal to that of German bonds, plus some credit and liquidity premia. Since both premia are not likely to change substantially...

Persistent link: https://www.econbiz.de/10010295513

Exportweltmeister : the low returns on Germany's capital exports

Hünnekes, Franziska; Schularick, Moritz; Trebesch, … - 2019 - This version: July 3, 2019

Germany is world champion in exporting capital ("Exportweltmeister"). No other country invests larger amounts of savings outside its borders. However, Germany plays in the third division when it comes to investment performance, as we show in this paper. We study the returns on German foreign...

Persistent link: https://www.econbiz.de/10012025673

Exportweltmeister : Germany's foreign investment returns in international comparison

Hünnekes, Franziska; Konradt, Maximilian; Schularick, … - 2023 - This version: February 13, 2023

In the past decade, Germany has been the world champion in exporting capital ("Exportweltmeister"). No other country invested larger amounts of savings outside its borders. However, we find that Germany plays in the third division when it comes to investment performance. To show this, we...

Persistent link: https://www.econbiz.de/10014232720

Exportweltmeister : Germany's foreign investment returns in international comparison

Hünnekes, Franziska; Konradt, Maximilian; Schularick, … - 2023 - Revised version: April 2023

In the past decade, Germany has been the world champion in exporting capital (“Exportweltmeister”). No other country invested larger amounts of savings outside its borders. However, we find that Germany plays in the third division when it comes to investment performance. To show this, we...

Persistent link: https://www.econbiz.de/10014276058

A Network Analysis of Sectoral Accounts : Identifying Sectoral Interlinkages in G-4 Economies

Antoun de Almeida, Luiza - 2015

The recent financial crisis highlighted that balance sheet exposures can be a major shock transmission channel. Using sectoral accounts data in combination with data from the Coordinated Portfolio Investment Survey, International Investment Position, and BIS this paper estimates bilateral...

Persistent link: https://www.econbiz.de/10013021439

The Introduction of the Euro and its Effects on Investment Decisions

Haselmann, Rainer; Helmut, Herwartz - 2005

In this paper we examine changes on investment decisions induced by the introduction of the Euro. There are two potential sources of portfolio reallocation. First, the introduction of the Euro diminished exchange rate risks within the EMU region, which relieved European investors from currency...

Persistent link: https://www.econbiz.de/10010296249

Effects of Global Incidents on Dynamic Correlations of Emerging European Countries

Emin, Dogus - 2017

This paper aims to investigate the international integration of stock markets of emerging European countries with the world market and to analyse the evolution of the integration levels in the case of four global/regional incidents; the 1998 Russian crisis, the 2001 Dotcom crisis and 9/11...

Persistent link: https://www.econbiz.de/10012958234

Intraday Price Discovery in Emerging European Stock Markets

Hanousek, Jan - 2009

We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — by employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account...

Persistent link: https://www.econbiz.de/10013157122

Contagion between European and US banks : evidence from equity prices

Fricke, Daniel - 2010

European banks is verified by the underlying data set. -- Banking ; Contagion ; Distance-to-default ; Multinomial logit …This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance …

Persistent link: https://www.econbiz.de/10008758400

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