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Referierte Aufsätze Web of Science
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification. The paper finds that euro ...
In:
Journal of International Money and Finance
70 (2017), S. 26-44
| Michael Ehrmann, Marcel Fratzscher
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Referierte Aufsätze Web of Science
The actions by the European Central Bank (ECB) during the global and European crises have triggered a highly controversial debate, in particular in Germany, about the costs and benefits of the chosen policy path. The article reviews, compares, and evaluates the different arguments made in favor and against ECB policies around three key dimensions—the link of the policy path to price stability, financial ...
In:
CESifo Economic Studies
62 (2016), 1, S. 68-87
| Marcel Fratzscher
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Referierte Aufsätze Web of Science
We use changes in Brazil's tax on capital inflows from 2006 to 2013 to test for direct portfolio effects and externalities from capital controls on investor portfolios. We find that an increase in Brazil's tax on foreign investment in bonds causes fund managers to significantly decrease their portfolio allocations to Brazil in both bonds and equities. Fund managers simultaneously increase allocations ...
In:
Journal of International Economics
99 (2016), S. 85-104
| Kristin Forbes, Marcel Fratzscher, Thomas Kostka, Roland Straub
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Referierte Aufsätze Web of Science
In response to the Great Financial Crisis (GFC), bank regulatory regimes were tightened world-wide to strengthen banking stability and the resilience of the banking sectors. Yet, it is often claimed that regulatory tightening may lead banks to cut back on lending and comes at the cost of a lower loan supply. The present paper uses a country panel for 50 advanced and emerging market economies to analyze ...
In:
Journal of International Money and Finance
66 (2016), S. 113-135
| Marcel Fratzscher, Philipp König, Claudia Lambert
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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
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 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
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
We analyze the transmission of the 2007 to 2009 financial crisis 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 ofcontagion. While we find evidence of contagion from the United States and the global financial sector, the effects are small. By contrast, there has been ...
In:
The Journal of Finance
69 (2014), No.6, S. 2597-2649
| Geert Bekaert, Michael Ehrmann, Marcel Fratzscher, Arnaud Mehl