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Referierte Aufsätze Web of Science
Are capital controls and macroprudential measures related to international exposures successful in achieving their objectives? Assessing their effectiveness is complicated by selection bias; countries which change their capital-flow management measures (CFMs) often share specific characteristics and are responding to changes in variables that the CFMs are intended to influence. This paper addresses ...
In:
Journal of International Economics
96 (2015), Suppl. 1, S. S76-S97
| Kristin Forbes, Marcel Fratzscher, Roland Straub
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Referierte Aufsätze Web of Science
This paper investigates the usefulness of the money demand relationship in times of unconventional monetary policies by cointegration methods. Our empirical evidence shows the existence of stable long run money demand functions even in the period of interest rates near the zero bound, both for the US economy and the euro area. Evidence is based on standard monetary aggregates, i.e. MZM for the US and ...
In:
Journal of Macroeconomics
46 (2015), S. 40-54
| Christian Dreger, Jürgen Wolters
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Referierte Aufsätze Web of Science
This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to agency problems and funding liquidity risk in their intermediation activity. Importantly, the amount of liquidity reserves held in the financial sector is determined endogenously: Balance ...
In:
Journal of Banking & Finance
54 (2015), S. 192-207
| Sören Radde
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Referierte Aufsätze Web of Science
The scapegoat theory of exchange rates (2 and 5) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as “scapegoats” to rationalize observed currency fluctuations at times when exchange rates are driven by unobservable shocks. Using novel survey data that directly measure foreign exchange scapegoats for 12 exchange rates, we find empirical ...
In:
Journal of Monetary Economics
70 (2015), 1-21
| Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, Gabriele Zinna
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Referierte Aufsätze Web of Science
Patterns in cross-border banking have changed since the global financial crisis. This may affect domestic bank market structures and macroeconomic stability in the longer term. In this study, I theoretically and empirically analyze how different modes of cross-border banking impact bank concentration and market power. I use a two-country general equilibrium model with heterogeneous banks developed ...
In:
Journal of Banking & Finance
50 (2015), S. 242-259
| Franziska M. Bremus
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Referierte Aufsätze Web of Science
The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro area. Our results suggest that expansionary monetary policy in the source countries – as measured by the ...
In:
Journal of International Money and Finance
52 (2015), 32-59
| Franziska Bremus, Marcel Fratzscher
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Referierte Aufsätze Web of Science
The use of log-transformed data has become standard in macroeconomic forecasting with VAR models. However, its appropriateness in the context of out-of-sample forecasts has not yet been exposed to a thorough empirical investigation. With the aim of filling this void, a broad sample of VAR models is employed in a multi-country set up and approximately 42 million pseudo-out-of-sample forecasts of GDP ...
In:
Economics Letters
126 (2015), S. 40-42
| Johannes Mayr, Dirk Ulbricht
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Referierte Aufsätze Web of Science
This study assesses whether the international monetary system is already tri-polar by testing what we call China's ‘dominance hypothesis’, i.e. whether the renminbi already influences exchange rate and monetary policies strongly in Asia, a direct reference to the old ‘German dominance hypothesis’ which ascribed to the German mark a dominant role in Europe in the 1980s. Using a global factor model of ...
In:
The Economic Journal
124 (2014), Iss. 581, S. 1343-1370
| Marcel Fratzscher, Arnaud Mehl
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Referierte Aufsätze Web of Science
Central banks regularly communicate about financial stability issues. This article asks how such communications affect financial markets, based on a unique dataset covering more than 1,000 releases of Financial Stability Reports (FSRs) and speeches by 37 central banks over the past 14 years. The findings suggest that optimistic FSRs lead to significant and potentially long-lasting positive abnormal ...
In:
The Economic Journal
124 (2014), 577, S. 701-734
| Benjamin Born, Michael Ehrmann, Marcel Fratzscher
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Referierte Aufsätze Web of Science
Despite high economic growth during the past decades, China is still vulnerable to shocks arising from industrial states. The advanced economies strongly influence Chinese export performance, with subsequent effects on output growth. Using a production function, this article examines to which extent regional GDP growth in China is export driven. In a panel of 28 Chinese provinces, series are splitted ...
In:
Applied Economics
46 (2014), 35, S. 4302-4308
| Christian Dreger, Yanqun Zhang