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DIW Discussion Papers 882 / 2009
This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of performance indicators, namely distance-to- default, taking unobserved common factors into account. We show that common factors are important in the performance of banks and insurances, analyze the influences of a number of observable factors on banking and insurance performance, and ...
2009| Kerstin Bernoth, Andreas Pick
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DIW Discussion Papers 879 / 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the former country this applies both ...
2009| Guglielmo Maria Caporale, Luis A. Gil-Alana
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DIW Discussion Papers 875 / 2009
This paper analyses trade specialisation dynamics in two Eastern European countries (Romania and Bulgaria - EEC-2) vis-à-vis the core EU member states (EU-15) over the period 1990-2006. Specifically, we focus on whether there is a shift towards intra-industry trade leading to economic convergence and technological catch-up. We use recently developed static (FEM, REM and FEVD) and dynamic (GMM) panel ...
2009| Guglielmo Maria Caporale, Christophe Rault, Robert Sova, Anamaria Sova
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DIW Discussion Papers 874 / 2009
This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and conditional portfolio performance evaluation. In both cases the evidence suggests that the better performance ...
2009| Antonios Antypas, Guglielmo Maria Caporale, Nikolaos Kourogenis, Nikitas Pittis
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DIW Discussion Papers 873 / 2009
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest ...
2009| John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas, Nicola Spagnolo
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DIW Discussion Papers 872 / 2009
We explore the long and short run relationship between private consumption, disposable income and housing and financial wealth approximated by price indices for a panel of industrialized countries. Consumption, income and wealth are cointegrated in their common, but not in their idiosyncratic components. This stresses the relevance of inter-national spillovers to explain aggregate consumption behaviour. ...
2009| Christian Dreger, Hans-Eggert Reimers
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DIW Discussion Papers 868 / 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are underpinned by fundamental quantitative financial analyses. Also, there is strong evidence of a country effect. ...
2009| Guglielmo Maria Caporale, Roman Matousek, Chris Stewart
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DIW Discussion Papers 867 / 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model). The models include nominal exchange rates, the common factor of exchange rates in the CIS countries, and global ...
2009| Christian Dreger, Jarko Fidrmuc
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DIW Discussion Papers 864 / 2009
The European Union made a number of steps not least of them the introduction of a common currency to foster the integration of the European financial markets. A number of papers have tried to gauge the degree of integration for various financial markets looking at the convergence of interest rates. A common finding is that government bond markets are quite well integrated. In this paper stochastic ...
2009| Sebastian Weber
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DIW Discussion Papers 861 / 2009
This paper investigates the income convergence among Russian regions in the period 1998-2006. It makes two major contributions to rather extensive literature on the regional convergence in Russia. First, it identifies spatial regimes using the exploratory spatial data analysis. Second, it examines the impact of spatial effects on the convergence process. Our results show that the overall speed of regional ...
2009| Konstantin A. Kholodilin, Aleksey Oshchepkov, Boriss Siliverstovs