Showing 1 - 10 of 266,364
Persistent link: https://www.econbiz.de/10011981025
This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US banks. The fact that many regulators have no detailed data sets about interbank cross-exposures raises the necessity of finding market-based indicators in order to analyze the...
Persistent link: https://www.econbiz.de/10008758400
structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the … in Germany reflects good economic and monetary policy or merely "good luck". …
Persistent link: https://www.econbiz.de/10011475861
structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the … in Germany reflects good economic and monetary policy or merely ?good luck?. …
Persistent link: https://www.econbiz.de/10010260526
We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — by employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account...
Persistent link: https://www.econbiz.de/10013157122
This paper aims to investigate the international integration of stock markets of emerging European countries with the world market and to analyse the evolution of the integration levels in the case of four global/regional incidents; the 1998 Russian crisis, the 2001 Dotcom crisis and 9/11...
Persistent link: https://www.econbiz.de/10012958234
This paper investigates whether the UK's referendum decision to leave the European Union ("Brexit") had a positive impact on portfolio risk diversification. We estimate weekly dynamic conditional correlations between 1973 and 2018, and then optimal sectoral portfolio allocations over the same...
Persistent link: https://www.econbiz.de/10012899595
The recent financial crisis highlighted that balance sheet exposures can be a major shock transmission channel. Using sectoral accounts data in combination with data from the Coordinated Portfolio Investment Survey, International Investment Position, and BIS this paper estimates bilateral...
Persistent link: https://www.econbiz.de/10013021439
relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … 2010. We found that while the developed ``western'' markets (U.S., U.K., Germany), are highly correlated, the …
Persistent link: https://www.econbiz.de/10009354737
Germany is world champion in exporting capital ("Exportweltmeister"). No other country invests larger amounts of … savings outside its borders. However, Germany plays in the third division when it comes to investment performance, as we show … in this paper. We study the returns on German foreign investments from 1950 to 2017 and find that: (1) Germany's annual …
Persistent link: https://www.econbiz.de/10012025673