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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...
Persistent link: https://www.econbiz.de/10012549999
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Investment funds, monetary policy, and the global financial cycle
Kaufmann, Christoph - 2021
markets world-wide gained importance during the post-crisis "second phase of global liquidity" (Shin, 2013). The analysis …
Persistent link: https://www.econbiz.de/10012510743
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Cyclical investment behavior across financial institutions
Timmer, Yannick - 2016
This paper examines the investment behavior of different financial institutions in debt securities with a particular focus on their response to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that...
Persistent link: https://www.econbiz.de/10011975050
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Indirect contagion : the policy problem
Clerc, Laurent; Giovannini, Alberto; Langfield, Sam; … - 2016
contractual links. The first is the market price channel, in which scarce funding liquidity and low market liquidity reinforce … case of illiquidity spirals, firms do not internalise the negative externality of holding low levels of funding liquidity … contagion - namely macroprudential liquidity regulation; restrictions on margins and haircuts; and information disclosure. …
Persistent link: https://www.econbiz.de/10011972870
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Financial frictions and the real economy
Pietrunti, Mario - 2017
This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks' capital induces a relevant non-linearity. The model -...
Persistent link: https://www.econbiz.de/10011976236
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Financial stability assessment of EU candidate and potential candidate countries : developments since 2014
Gächter, Martin; Macki, Piotr; Moder, Isabella; … - 2017
liquidity buffers. …
Persistent link: https://www.econbiz.de/10011645431
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The determinants of R&D investment : the role of cash flow and capabilities
Bogliacino, Francesco; Cardona, Sebastian Gómez - 2010
In this paper we have estimated a behavioural equation for R&D investment. We assess the impact of liquidity …
Persistent link: https://www.econbiz.de/10011981937
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Addressing the safety trilemma : a safe sovereign asset for the eurozone
Riet, Ad van - 2017
At the 25th anniversary of the Maastricht Treaty, this paper reviews the merits of introducing a safe sovereign asset for the eurozone. The triple euro area crisis showed the costly consequences of ignoring the "safety trilemma". Keeping a national safe sovereign asset (the German bund) as the...
Persistent link: https://www.econbiz.de/10011975765
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Use of credit default swaps by UCITS funds : evidence from EU regulatory data
Guagliano, Claudia; Mazzacurati, Julien; Kenny, Oisin; … - 2019
Using a sample of more than 18,000 Undertakings for Collective Investment in Transferable Securities,or UCITS, this paper aims to provide a first overview of the use of credit default swaps by EU UCITS funds. We show that UCITS funds only account for a small share of the overall EU credit...
Persistent link: https://www.econbiz.de/10012017692
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The impact of sovereign wealth funds on global financial markets
Beck, Roland; Fidora, Michael - 2008
liquidity considerations, official portfolios reduce their "bias" towards the major reserve currencies. As a result, more …
Persistent link: https://www.econbiz.de/10011641258