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Uncovered Interest Parity in Central and Eastern Europe : Convergence and the Global Financial Crisis
Filipozzi, Fabio - 2012
This paper presents tests of uncovered interest parity in Croatia, the Czech Republic, Hungary, Poland and Romania; all … countries in Central and Eastern Europe with floating exchange rates. Data are monthly and the trading horizon is three months … currency and interest markets in Central and Eastern Europe. Two indicators of global risk aversion were also found to enter …
Persistent link: https://www.econbiz.de/10013096314
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The Impact of the Us Stock Market on the Romanian Stock Market in the Context of the Financial Crisis
Nistor, Costel - 2012
This paper explores the stock market interlinkages between the United States and Romania during the actual financial …
Persistent link: https://www.econbiz.de/10013099858
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Romanian Bank Lending during the Financial Crisis
Driga, Imola - 2009
Romania contracted significantly since the fall of last year for two reasons. On one hand, the central bank's new crediting …-measures. On the other hand, the first signs of the economic crisis started to show in Romania at the same time and affected the …
Persistent link: https://www.econbiz.de/10013158245
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Shocks on the Romanian Foreign Exchange Market Before and after the Global Crisis
Dumitriu, Ramona - 2018
Bank of Romania …
Persistent link: https://www.econbiz.de/10012928866
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Boom-Bust Cycles, Imbalances and Discipline in Europe
Alberola, Enrique - 2012
The fallout from the 2008 financial crisis has been particularly acute in the euro area Member States of the south-western rim and in the new EU Member States, due to their previously accumulated macroeconomic and financial imbalances. The perception that the euro environment provided a solid...
Persistent link: https://www.econbiz.de/10013105081
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Information Shares and Market Quality Before and During the European Sovereign Debt Crisis
Papavassiliou, Vassilios G.; Kinateder, Harald - 2021
We investigate information shares in the price discovery process in the euroarea sovereign bond market across the yield curve, during both calm and crisis periods. We employ a rich high-frequency dataset from the MTS platform. We find that price discovery is enhanced, on average, especially for...
Persistent link: https://www.econbiz.de/10013234964
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Ratings matter : announcements in times of crisis and the dynamics of stock markets
Rosati, Nicoletta; Bellia, Mario; Matos, Pedro Verga; … - Europäische Kommission / Gemeinsame Forschungsstelle - 2019
In this paper we propose a novel approach in analysing the impact of changes in sovereign credit ratings on stock markets. We study the evolution of a segmented form of the stock market index for several crisis-hit countries, including both European and Asian markets. Such evolution is modelled...
Persistent link: https://www.econbiz.de/10012103125
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The evolution of financial integration on selected European stock markets : a dynamic principal component approach
Majewska, Elżbieta; Olbryś, Joanna - In: Comparative economic research : Central and Eastern Europe 20 (2017) 4, pp. 45-63
The goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern...
Persistent link: https://www.econbiz.de/10011877162
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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2019
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10012317318
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Analyzing credit risk transmission to the non-financial sector in Europe : a network approach
Gross, Christian; Siklos, Pierre L. - 2018
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10011978741