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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

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

Mind the Gap : Disentangling Credit and Liquidity in Risk Spreads

Schwarz, Krista - 2020

Euro-area sovereign bond and interbank interest rate spreads widened sharply in the 2007-2009 Global Financial Crisis and over the subsequent European Debt Crisis, greatly increasing financing costs. Such rate volatility could represent concerns over asset liquidity or issuer solvency. To...

Persistent link: https://www.econbiz.de/10012857617

Predicting German Stock and Bond Returns with Macro-Variables : Evidence of Market Timing

Hyde, Stuart - 2010

We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using a battery of performance metrics in addition to measures of superior predictive accuracy to identify the ‘best' models. We also examine whether combination forecasts provide...

Persistent link: https://www.econbiz.de/10013149198

Moral hazard and bail-out in fiscal federations: evidence for the German Länder

Heppke-Falk, Kirsten H.; Wolff, Guntram B. - 2007

We identify investor moral hazard in the German fiscal federation. Our identification strategy is based on a variable, which was used by the German Federal Constitutional Court as an indicator to determine eligibility of two German states (Länder) to a bail-out, the interest payments-to-revenue...

Persistent link: https://www.econbiz.de/10010295844

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kim, Jeong-Ryeol - 2003

In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...

Persistent link: https://www.econbiz.de/10010295749

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kurz-Kim, Jeong-Ryeol - 2003

Persistent link: https://www.econbiz.de/10011431989

German Energiewende and the heating market : impact and limits of policy

Bauermann, Klaas - 2013

The German Energiewende envisages achieving a climate-neutral building stock in 2050 by means of two major pillars of regulation: First, residential buildings should consume 80% less primary energy and, second, the remaining energy demand should be covered primarily with renewables. This paper...

Persistent link: https://www.econbiz.de/10010433592

The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study

Eberts, Elke - 2003

This paper uses an empirical connection between real stock market indices of Germany and the USA for forecasting corresponding returns. We are starting from the random walk as the traditional forecasting model in stock market applications, extending it by co-integration. Since the cointegrating...

Persistent link: https://www.econbiz.de/10010297288

From financial to real economic crisis : evidence from individual firm-bank relationships in Germany

Dwenger, Nadja; Fossen, Frank M.; Simmler, Martin - 2015 - First version: February 14, 2015, This version: September 25, 2015

What began as a financial crisis in the United States in 2007-2008 quickly evolved into a massive crisis of the global real economy. We investigate the importance of the bank lending and firm borrowing channel in the international transmission of bank distress to the real economy - in...

Persistent link: https://www.econbiz.de/10011346644

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