We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small. By contrast, there has been substantial ...
2014| Geert Bekaert, Michael Ehrmann, Marcel Fratzscher, Arnaud Mehl
Are capital controls and macroprudential measures successful in achieving their objectives? Assessing their effectiveness is complicated by selection bias and endogeneity; 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 these challenges by ...
2013| Kristin Forbes, Marcel Fratzscher, Roland Straub
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US and globally across 65 countries. Yet Fed policies functioned in a procyclical manner for capital flows to ...
2013| Marcel Fratzscher, Marco Lo Duca, Roland Straub
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil prices since the early 2000s. Moreover, both oil prices and the US dollar are significantly affected by changes ...
2013| Marcel Fratzscher, Daniel Schneider, Ine Van Robays
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange ...
2013| Marcel Fratzscher, Lucio Sarno, Gabriele Zinna
2019| Kerstin Bernoth, Franziska Bremus, Geraldine Dany-Knedlik, Henrik Enderlein, Marcel Fratzscher, Lucas Guttenberg, Alexander Kriwoluzky, Rosa Lastra
Die seit Jahren laufende Debatte über das Niveau und die Entwicklung öffentlicher und privater Investitionen in Deutschland hat sich im Spätsommer 2014 noch einmal zugespitzt. Das gilt sowohl für die innerdeutsche Debatte als auch für die Forderungen aus den Reihen der EU-Partner, Deutschland möge mit einer Steigerung der Investitionen die Nachfrage beleben und damit der Wirtschaft in der Euro-Zone ...
2014| Heike Belitz, Ferdinand Fichtner, Martin Gornig, Dirk Hinrich Heilmann, Simon Junker, Claus Michelsen, Alexander Schiersch. Projektltg.: Marcel Fratzscher, Bert Rürup