Skip to content!

Topic Financial Markets

clear
0 filter(s) selected
close
Go to page
remove add
733 results, from 541
Diskussionspapiere 1282 / 2013

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the predictive content of uncorrelated, yet dependent model innovations. The adjustment is motivated by non-Gaussian ...

2013| Benjamin Beckers, Helmut Herwartz, Moritz Seidel
Diskussionspapiere 1278 / 2013

Is the Willingness to Take Financial Risk a Sex-Linked Trait? Evidence from National Surveys of Household Finance

We investigate whether the willingness to take investment risk is a sex-linked trait and link the results to the country's gender equality regime. Our empirical analysis involves household data on financial asset holdings as well as on self-reported risk tolerance for Austria, Italy, the Netherlands and Spain. Of those countries, Italy is by far the country with the greatest degree of gender inequality ...

2013| Nataliya Barasinska, Dorothea Schäfer
Diskussionspapiere 1279 / 2013

Long Memory in the Ukrainian Stock Market

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 ...

2013| Guglielmo Maria Caporale, Luis A. Gil-Alana
Externe referierte Aufsätze

Credit Reporting, Financial Intermediation and Identification Systems: International Evidence

Credit reporting systems are an important ingredient for financial markets. These systems are based upon the unique identification of borrowers, which is enabled if a compulsory national identification system exists in a country. We present evidence derived from difference-in-difference analyses on the impact of credit reporting and identification systems on financial intermediation in 172 countries ...

In: Journal of International Money and Finance 33 (2013), S. 60-80 | Caterina Giannetti, Nicola Jentzsch
Externe referierte Aufsätze

Government Ownership of Banks, Institutions and Economic Growth

We present new cross-country evidence that reveals that during 1995-2007, government ownership of banks has been robustly associated with higher long-run growth rates. We also show that previous results suggesting that government ownership of banks is associated with lower long-run growth rates are not robust to conditioning on more "fundamental" determinants of economic growth.

In: Economica 79 (2012), 315, S. 449-469 | Svetlana Andrianova, Panicos Demetriades, Anja Shortland
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
Monographien

Differential Taxation and Firms' Financial Leverage: Evidence from the Introduction of a Flat Tax on Interest Income

Tax competition for the mobile factor capital has led to a trend in many countries to levy lower taxes on interest income, often introducing differential taxation between interest and business income. In this study, we analyze the effect of such differential taxation on the debt ratio of firms. We exploit a 2009 tax reform in Germany as a quasi-experiment, which introduced a flat final withholding ...

Berlin: Freie Univ. Berlin, FB Wirtschaftswiss., 2012, 45 S.
(Discussion Paper / School of Business & Economics ; 2012,4)
| Frank M. Fossen, Martin Simmler
Diskussionspapiere 1218 / 2012

Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound: Evidence for the ECB and the Fed

We propose an alternative way of estimating Taylor reaction functions if the zero-lowerbound on nominal interest rates is binding. This approach relies on tackling the real rather than the nominal interest rate. So if the nominal rate is (close to) zero central banks can influence the inflation expectations via quantitative easing. The unobservable inflation expectations are estimated with a state-space ...

2012| Ansgar Belke, Jens Klose
Diskussionspapiere 1223 / 2012

Interest Rate Pass-through in the EMU: New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data

This study puts the monetary transmission process in the eurozone between 2003 and 2011 under closer scrutiny. For this purpose, we investigate the interest rate pass-through from money market to various loan rates for up to twelve countries of the European Monetary Union. Applying different cointegration techniques, we first test for a long-run relationship between loan rates and the Euro OverNight ...

2012| Ansgar Belke, Joscha Beckmann, Florian Verheyen
Weitere Aufsätze

The Problem of Money Illusion in Economics

In: Hagen M. Krämer, Heinz D. Kurz, Hans-Michael Trautwein (Eds.) , Macroeconomics and the History of Economic Thought
London [u.a.] : Routledge
S. 251-266
| Georg Erber
733 results, from 541
keyboard_arrow_up