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FINESS Working Papers 1.1b / 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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FINESS Working Papers 2.2 / 2009
We investigate whether or not banks play a positive role in the ownership structure of European listed firms. We distinguish between banks and other institutional investors as shareholders and examine empirically the relationship between financial institution ownership and the performance of the firms in which they hold equity. Our main finding is that after controlling for the capital structure decision ...
2009| Lieven Baert, Rudi Vander Vennet
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FINESS Working Papers 1.2 / 2009
In this paper we explore the issue of financial convergence in the new EU member states (NMS). For the purposes of our analysis the countries falling into the category NMS are Bulgaria, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovakia and Slovenia, i.e. all countries that joined the EU in the last decade, except Cyprus and Malta.
2009| Kalin Hristov, Rossen Rozenov
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FINESS Working Papers 1.1d / 2009
The purpose of this paper is to establish how far the process of financial integration has gone in the European Union. There is growing evidence that the appearance of the Euro has accelerated the integration of a number of financial markets among those countries who have adopted the Euro. We identify the growth in financial integration as the process by which idiosyncratic factors at the national ...
2009| Chris Higson, Sean Holly, Ivan Petrella
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FINESS Working Papers 1.4 / 2009
This paper investigates the macroeconomic benefits of international financial integration and domestic financial sector development for the European Union. The sample consists of 26 European countries with annual data during the period 1970.2004. We attempt to exploit more fully the temporal dimension in the data by making use of the common correlated effects (CCE) estimator. We also account for the ...
2009| Sean Holly, Mehdi Raissi
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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 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 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 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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Weekly Report 9 / 2009
A conventional decomposition of the financial sector's gross value added growth into its various components indicates that investments in Information and Communication Technologies are highly important. However, a more comprehensive calculation reveals that growth is the result of - in particular - the increased deployment of medium-skilled labour, without whom the technological potential could not ...
2009| Georg Erber, Reinhard Madlener