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568 Ergebnisse, ab 521
  • Nicht-referierte Aufsätze

    Finanzielle Fragmentierung: Wie lässt sich die Abhängigkeit der Kreditrisiken im Banken- und Staatssektor reduzieren?

    In: Zeitschrift für das gesamte Kreditwesen (2014), 1, S. 38-40 | Marcel Fratzscher, Ferdinand Fichtner, Malte Rieth
  • Diskussionspapiere 1352 / 2014

    The Global Crisis and Equity Market Contagion

    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
  • Referierte Aufsätze Web of Science

    In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence

    We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross-section comprising 10 OECD economies and a time span of at most 40 years, alternative binary chronologies of price bubble periods are determined. Using these chronologies as dependent processes and a set of macroeconomic and financial variables as explanatory variables, ...

    In: Journal of Forecasting 33 (2014), 1, S. 15-31 | Helmut Herwartz, Konstantin A. Kholodilin
  • Vierteljahrshefte zur Wirtschaftsforschung 4 / 2013

    Nachhaltige europäische Konsolidierungspolitik - Chancen und Herausforderungen: Editorial

    2013| Dorothea Schäfer, Willi Semmler, Brigitte Young
  • Externe Monographien

    The "Celtic Crisis": Guarantees, Tranparency and Systemic Liquidity Risk

    Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated, the credibility and effectiveness of these guarantees are crucially intertwined with the sovereign's funding risks. Employing methods from the literature on global ...

    Ottawa: Bank of Canada, 2013, III, 42 S.
    (Working Paper / Bank of Canada ; 31)
    | Philipp König, Kartik Anand, Frank Heinemann
  • Nicht-referierte Aufsätze

    The Costs for Germany if the Eurozone Collapses

    In: Europe's World (2013), 25, 7 S. | Marcel Fratzscher
  • Diskussionspapiere 1344 / 2013

    Cross-Border Banking, Bank Market Structures and Market Power: Theory and Cross-Country Evidence

    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. I use a two- country general equilibrium model with heterogeneous banks developed by De Blas and Russ ...

    2013| Franziska Bremus
  • Diskussionspapiere 1343 / 2013

    Capital Controls and Macroprudential Measures: What Are They Good For?

    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
  • Diskussionspapiere 1333 / 2013

    Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis

    This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and also increased its volatility. Downgrading ...

    2013| Christopher F. Baum, Margarita Karpava, Dorothea Schäfer, Andreas Stephan
  • Referierte Aufsätze Web of Science

    Asset Prices, News Shocks, and the Trade Balance

    We analyze the relationship between asset prices and the trade balance estimating a Bayesian VAR for a broad set of 38 industrialized and emerging market countries. To derive model-based identifying restrictions, we model asset price shocks as news shocks about future productivity in a two-country dynamic stochastic general equilibrium model. Such shocks are found to exert sizable effects on the trade ...

    In: Journal of Money, Credit and Banking 45 (2013), 7, S. 1211-1251 | Marcel Fratzscher, Roland Straub
568 Ergebnisse, ab 521