Using a novel dataset on government interventions into financial institutions between 2008-2013, we examine the impact of capital injection announcements on the downside correlation risk premium (DCRP), the compensation that investors demand to bear the risk of large correlated drops in banks'...

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

We examine how euro conversion affected trading costs and volume in European equity markets. Euro conversion immediately changed tick sizes and price transparency, both of which could affect trading costs and relative trading volume. Longer-run, conversion could boost competition among...

We examine the relationship between investment and saving for a cross section of European countries before and during the euro crisis. Investment is positively and significantly related to saving, and this relationship is stronger during the euro crisis period. This increase is a departure from...

This paper presents a simple two-region banking model of liquidity mismatch to study the strategic interactions between national regulators. I show that banks hold insufficient liquidity, which has repercussions for other banks in an international financial market. The model justifies...

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...

We examine the relationship between private bank deposits and macro/fiscal risk in the euro area. We test three hypotheses: First, private bank deposits relative to Germany are determined by macro/fiscal risk factors. Second, this relationship is time-varying. Third, time-variation is driven by...

This paper develops composite indicators of financial integration within the euro area for both price-based and quantity-based indicators covering money, bond, equity and banking markets. Prior to aggregation, individual integration indicators are harmonised by applying the probability integral...