This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long memory and thus are predictable using historical data. Moreover, their volatility, measured as the absolute ...
Nachhaltigkeit der Finanzmärkte ist eine Forderung, die erst in allerjüngster Zeit auf der wirtschaftspolitischen Agenda aufgetaucht ist. Hingegen ist die Stabilität des Finanzsystems ein seit Jahrzehnten angestrebtes Ziel. Das Verhältnis von Nachhaltigkeit und Stabilität ist indes noch ungeklärt. Angelehnt an das im Umweltbereich geltende Leitbild der Nachhaltigkeit werden hier Anforderungen an nachhaltige ...
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 ...
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 ...
We explore the impact of large banks and of financial openness for aggregate growth. Large banks matter because of granular effects: if markets are very concentrated in terms of the size distribution of banks, idiosyncratic shocks at the bank-level do not cancel out in the aggregate but can affect macroeconomic outcomes. Financial openness may affect GDP growth in and of itself, and it may also influence ...
Many banks are now too big, complex, and closely interconnected to be liquidated. When they run into difficulties, they threaten the entire financial system of their economic area. Five years of financial crisis have not alleviated but exacerbated this problem. The cost of stabilizing banks is enormous, posing serious challenges to the states affected. In addition, such state guarantees create dangerously ...