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738 results, from 501
Diskussionspapiere 1436 / 2014

Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations

This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank intermediation that induces a credit crunch. Government borrowing under limited commitment is costly ex ante as bank ...

2014| Philipp Engler, Christoph Große Steffen
Monographien

On the Relationship between Public and Private Investment in the Euro Area

This paper explores the long run relationship between public and private investment in the euro area in terms of capital stocks and gross investment flows. Panel techniques accounting for international spillovers are employed. While private and public capital stocks are cointegrated, the evidence is quite fragile for public and private investment flows. They enter a long run relationship only after ...

Bonn: IZA, 2014, 18 S.
(Discussion Paper Series / Forschungsinstitut zur Zukunft der Arbeit ; 8002)
| Christian Dreger, Hans-Eggert Reimers
Externe referierte Aufsätze

The Global Crisis and Equity Market Contagion

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
Monographien

Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations

This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank intermediation that induces a credit crunch. Government borrowing under limited commitment is costly ex ante as bank ...

Berlin: Freie Univ. Berlin, FB Wirtschaftswiss., 2014, 56 S.
(Discussion Paper / School of Business & Economics ; 2014,35)
| Philipp Engler, Christoph Große Steffen
Externe referierte Aufsätze

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
Diskussionspapiere 1422 / 2014

Institutional Determinants of Financial Development in MENA Countries

Developed and well regulated financial markets are usually seen as a precondition for an efficient allocation of resources and can foster long term economic growth. This paper explores the institutional determinants for financial development in the countries of the Middle East and North African (MENA) region. Institutional conditions are from the International Country Risk Guide. Paneleconometric techniques ...

2014| Mondher Cherif, Christian Dreger
Diskussionspapiere 1405 / 2014

Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles

We assess the contribution of macroeconomic uncertainty — approximated by the dispersion of the real GDP survey forecasts — to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods are determined and subjected to panel logit regressions conditioning on macroeconomic indicators and expectation ...

2014| Helmut Herwartz, Konstantin A. Kholodilin
DIW Economic Bulletin 5 / 2014

Low Base Interest Rates: An Opportunity in the Euro Debt Crisis

Member states of the euro area have been struggling with the legacies of the severe financial and economic crisis for four years now. But debt ratios are still rising. Negative primary balances, low growth, and low inflation do not allow for a recovery similar to the one in the US after the Second World War. Between 1946 and 1953, the US was able to almost halve its debt with no haircuts. The crisis ...

2014| Marius Kokert, Dorothea Schäfer, Andreas Stephan
DIW Economic Bulletin 6 / 2014

Pitfalls of Compound Interest Effect: Private Investors Underestimate Loss Risks of Financial Products

People are investing their life savings in financial products, for instance, to provide for their retirement, and in doing so they are making their future financial situation almost entirely dependent on the success of these investments. The financial sector promotes numerous investment opportunities with widely varying levels of risk - from the classic private pension insurance to high-risk equity ...

2014| Christian Zankiewicz
738 results, from 501
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