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582 Ergebnisse, ab 571
  • Diskussionspapiere 1289 / 2013

    On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

    This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated producing evidence of unidirectional spillovers from stock returns to exchange rate changes in the US and the UK, ...

    2013| Guglielmo Maria Caporale, John Hunter, Faek Menla Ali
  • Diskussionspapiere 1288 / 2013

    The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model

    This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, ...

    2013| Guglielmo Maria Caporale, Luis A. Gil-Alana, Yuliya Lovcha
  • DIW Wochenbericht 42 / 2012

    Reformbedarf in der EU-Bankenregulierung: Solvenz von Banken und Staaten entkoppeln

    Jüngste Entwicklungen in Irland, Griechenland und Spanien zeigen: Finanzierungskrisen von Staaten gefährden deren Bankensektoren, Bankenkrisen die Zahlungsfähigkeit ihrer Heimatstaaten. Diese Kopplung von Staats- und Bankensolvenz wird durch den Home Bias im Staatsanleiheportfolio, also die exzessive Investition von Banken in heimische Staatsschuldtitel, noch verschärft. Diesem Zusammenhang tragen ...

    2012| Johannes Pockrandt, Sören Radde
  • DIW Wochenbericht 42 / 2012

    EU-Bankenregulierung muss das Problem des Home Bias bei Staatsanleihen ernst nehmen: Fünf Fragen an Sören Radde

  • Referierte Aufsätze Web of Science

    Sovereign Risk Premiums in the European Government Bond Market

    This paper provides a study of bond yield differentials among EU government bonds on the basis of a unique data set of issue spreads in the US and DM (Euro) bond market between 1993 and 2009. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively on the issuer's relative bond market size. The ...

    In: Journal of International Money and Finance 31 (2012), 5, S. 975-995 | Kerstin Bernoth, Jürgen von Hagen, Ludger Schuknecht
  • DIW Wochenbericht 19 / 2012

    Wir haben es verdient! Kommentar

    2012| Dorothea Schäfer
  • Diskussionspapiere 1198 / 2012

    Financial Transaction Tax Contributes to More Sustainability in Financial Markets

    We argue that a financial transaction tax complements financial market regulation. With the tax, governments have an additional instrument at hand to influence trading activity. FTT aims to reduce regulatory arbitrage, flash trading, overactive portfolio management, excessive leverage and speculative transactions of financial institutions. The focus clearly addresses these classes of activities that ...

    2012| Dorothea Schäfer
  • Diskussionspapiere 1254 / 2012

    Business Cycles, International Trade and Capital Flows: Evidence from Latin America

    This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within the LA region there are considerable differences between countries, success stories coexisting with extremely ...

    2012| Guglielmo Maria Caporale, Alessandro Girardi
  • Diskussionspapiere 1221 / 2012

    Monetary Commitment and Structural Reforms: A Dynamic Panel Analysis for Transition Economies

    This paper examines the contemporaneous relationship between the exchange rate regime and structural economic reforms for a sample of CEEC/CIS transition countries. We investigate empirically whether structural reforms are complements or substitutes for monetary commitment in the attempt to improve macroeconomic performance. Both EBRD and EFW data suggest a negative relationship between flexible exchange ...

    2012| Ansgar Belke, Lukas Vogel
  • DIW Economic Bulletin 11 / 2012

    Need for Reform of EU Banking: Decoupling the Solvency of Banks and Sovereigns

    Recent developments in Ireland, Greece, and Spain have shown that sovereign debt crises endanger the solvency of domestic banking sectors, while banking crises in turn endanger the solvency of the domestic sovereigns. This diabolic loop between government and bank solvency is exacerbated by the home bias in banks' government bond portfolios, that is, banks' excessive exposure to domestic sovereign ...

    2012| Johannes Pockrandt, Sören Radde
582 Ergebnisse, ab 571