The paper develops an easy-to-apply test for contagion. In order to address the main challenge of any contagion test, that of endogeneity, the testing is conducted in the structural vector autoregression (SVAR) framework where we assume the reduced form errors follow a mixed-normal distribution....

Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model accommodates changes in low and high data frequencies and endogenous...

The DCF (Discounted Cash flow) Model provides the theoretical background for the possible impact of interest rate changes on equity prices. This paper examines the spillover effects from the movement of short term interest rates to equity markets within the Euro area. The empirical study is...

The Fisher relation is a key theoretical relation that underlies many important results in economics and finance. Although the Fisher relation is apparently simple in theory, empirical analyses of the relation have mixed and weak results. We consider the possibility that weakness of the evidence...

This paper provides an empirical analysis of the macroeconomic determinants of sovereign bond yield spreads in the Eurozone since 2000 until August 2012, when Outright Monetary Transactions program was announced. Results show that there is a reputation effect on each country that affects the...

The issue of market efficiency attracted the attention of academicians since the existence of financial markets. Over time, two schools of thoughts were established: the efficient markets school and the behavioral finance school. Proponents of the former believed in the Efficient Markets...

The issue of market efficiency attracted the attention of academics since the existence of financial markets. Over time, two schools of thoughts were established: the efficient markets school and the behavioral finance school. Proponents of the former believed in the Efficient Markets Hypothesis...

We examine the asymmetric and nonlinear nature of the cross- and intra-market linkages of eleven EMU sovereign bond and CDS markets during 2006-2018. By adopting the excess correlation concept of Bekaert et al. (2005) and the local Gaussian correlation approach of Tjøstheim and Hufthammer...

This paper aims an empirical investigation of uncertainty in the Euro Zone as well as the US. For this purpose I conduct a factor analysis of uncertainty measures starting in 2001 until the end of 2011. I use survey-based data provided by the ECB and the Federal Reserve Bank of Philadelphia as...

Die Wachstumsschwäche in einigen europäischen Ländern wie Portugal und Italien in der ersten Hälfte dieses Jahrzehnts sowie anhaltend hohe Inflationsraten und ein Bauboom in Spanien haben zu einer Debatte darüber geführt, ob sich möglicherweise die einzelnen Länder der Eurozone...