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Crises, rescues, and policy transmission through international banks

Buch, Claudia M.; Koch, Cathérine Tahmee; Koetter, Michael - 2011

The World Financial Crisis has shaken the fundamentals of international banking and triggered a downward spiral of asset prices. To prevent a further meltdown of markets, governments have intervened massively through rescues measures aimed at recapitalizing banks and through liquidity support....

Persistent link: https://www.econbiz.de/10009244347

Common factors in international bond returns

Driessen, Joost (contributor); … - 2000

In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the … US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns …, we find that five factors explain 96.5% of the variation of bond returns. These factors can be associated with changes in …

Persistent link: https://www.econbiz.de/10001528975

Evolvement of uniformity and volatility in the stressed global financial village

Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - 2011

In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep through out the entire village. Here we present a new methodology to assess and quantify inter-market relations. The approach is based on...

Persistent link: https://www.econbiz.de/10009354737

A Chinese Slowdown and the Nominal Term Structures of the US and German Interest Rates

Maletic, Matjaz - 2018

To measure the global spillovers of a Chinese slowdown on the long-term nominal interest rates in the US/Germany, I model the US/German nominal term structure jointly in the post financial crisis (FC) sample, including the Chinese leading indicator as a new factor. I use an affine term structure...

Persistent link: https://www.econbiz.de/10012913804

Market Risk Disclosure in Banking : An Empirical Analysis on Four Global Systemically Important European Banks

Scannella, Enzo - 2018

Market risk reporting in banking has assumed such importance during the last decade. The purpose of this paper is to provide a methodology to evaluate the qualitative and quantitative profiles of the market risk disclosure in banking. We propose a hybrid methodology to assess whether or not...

Persistent link: https://www.econbiz.de/10012934301

International Banking and Cross-Border Effects of Regulation : Lessons from Germany

Ohls, Jana - 2016

We analyze the inward and outward transmission of regulatory changes through German banks' (international) loan portfolio. Overall, our results provide evidence for international spillovers of prudential instruments, these spillovers are however quite heterogeneous between types of banks and can...

Persistent link: https://www.econbiz.de/10012981901

Modeling Euro Area Bond Yields Using a Time-Varying Factor Model

Adam, Tomas - 2017

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

Persistent link: https://www.econbiz.de/10012963728

A Comparative Analysis of the Informational Efficiency of the Fixed Income Market in Seven European Countries

Bariviera, Aurelio F. - 2015

This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven … crisis affects more the informational efficiency of the corporate bond market than the sovereign bond market …

Persistent link: https://www.econbiz.de/10013013956

Domestic and foreign banks in Germany : do they differ?

Buch, Claudia M.; Golder, Stefan M. - 2000

The German banking market is notorious for its low degree of market penetration by foreign financial institutions, suggesting that markets serviced by domestic and foreign banks are segmented. This paper employs a number of tests to determine whether activities of domestic and foreign banks are...

Persistent link: https://www.econbiz.de/10011472232

Are International Equity Markets Really Asymmetric?

Kearney, Colm; Lynch, Margaret - 2011

Although the extreme tails of the distributions of equity returns tend to exhibit more negative than positive returns, very few studies have analysed how pervasive is skewness across entire distributions. We use daily returns on 6 international stock market indices from Britain, France, Germany,...

Persistent link: https://www.econbiz.de/10014064414

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