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EUSECON Policy Briefing 14 / 2011
In this Policy Briefing, we discuss two important questions: (i) whether and how terrorism shocks are transmitted across international stock markets, (ii) what is the role of behavioral factors in explaining these stock market reactions. According to our findings terrorism shocks are indeed diffused cross-nationally in a non-uniform manner. Economic channels such as the degree of a country's integration ...
2011| Christos Kallandranis, Konstantinos Drakos
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Externe referierte Aufsätze
We investigate the likely sources of exchange rate dynamics in selected member countries of the Commonwealth of Independent States (CIS; Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2010). Evidence is based on country VARs augmented by a regional common-factor structure (FAVAR model). The models include nominal exchange rates, the common factor of exchange ...
In:
Emerging Markets, Finance & Trade
47 (2011), 4, S. 49-58
| Christian Dreger, Jarko Fidrmuc
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Diskussionspapiere 1180 / 2011
This paper examines whether government ideology has influenced monetary policy in OECD countries. We use quarterly data in the 1980.1-2005.4 period and exclude EMU countries. Our Taylor-rule specification focuses on the interactions of a new time-variant index of central bank independence with government ideology. The results show that leftist governments have somewhat lower short-term nominal interest ...
2011| Ansgar Belke, Niklas Potrafke
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Externe Monographien
Jena:
Friedrich-Schiller-Universität,
2011,
29 S.
(Jena Economic Research Papers ; 2011-031)
| Caterina Giannetti, Nicola Jentzsch
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Diskussionspapiere 1164 / 2011
This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period suggests that euro-denominated government yields are strongly linked with each other. However, financial markets ...
2011| Guglielmo Maria Caporale, Alessandro Girardi
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Diskussionspapiere 1165 / 2011
This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero frequency, although adequately describing the persistent behaviour of the series, do not take into account its cyclical ...
2011| Guglielmo Maria Caporale, Luis A. Gil-Alana
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Externe referierte Aufsätze
This paper examines the importance of different economic sentiments for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEECs' financial markets. Since the integration of formerly strongly-regulated markets into global markets can also lead to an increase in the dependence of the CEECs' economies ...
In:
Review of International Economics
19 (2011), 1, S. 137-157
| Joscha Beckmann, Ansgar Belke, Michael Kühl
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Externe referierte Aufsätze
We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones areassigned lower ratings, ceteris paribus, than "old" ones. We find that country-specific factors (in the form of heterogeneous intercepts) are a crucial determinant of ratings. ...
In:
Review of International Economics
19 (2011), 1, S. 189-206
| Guglielmo Maria Caporale, Roman Matousek, Chris Stewart
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Economics of Security Working Paper Series 52 / 2011
The financial means of international terror and transnational organized crime organizations are analyzed. First, some short remarks about the organization of international terror organizations are made. Second and in a much more detailed way a literature review is provided about the financing of terrorist and transnational organized crime organizations, their sources and the various methods they use. ...
2011| Friedrich Schneider, Raul Caruso
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Economics of Security Working Paper Series 53 / 2011
Until 2008, the growth of the world economy was quite strong and improved the economic well-being all over the globe, but this development was also accompanied by some risks. One of them is transnational crime, which has shown a remarkable increase in the last 20 years3. This raises the following two questions: (1) How is transnational crime financed, and what do we know about this financing? (2) What ...
2011| Friedrich Schneider