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892 results, from 671
  • Diskussionspapiere 1173 / 2011

    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, ...

    2011| Helmut Herwartz, Konstantin A. Kholodilin
  • Diskussionspapiere 1141 / 2011

    Ramifications of Debt Restructuring on the Euro Area: The Example of Large European Economies' Exposure to Greece

    The Greek government budget situation plays a central role in the debt crisis in the euro area. The debt to GDP ratio is above 150 percent, while the deficit to GDP ratio exceeds 10 percent. To re-establish the Maastricht criteria, respectively, strong consolidation measures need to be implemented, with potential adverse effects on the Greek economy, and further credit requirements. Therefore, a debt ...

    2011| Ansgar Belke, Christian Dreger
  • Refereed essays Web of Science

    Regionality Revisited: An Examination of the Direction of Spread of Currency Crises

    What determines the direction of spread of currency crises? We examine data on waves of currency crises in 1992, 1994, 1997, and 1998 to evaluate several hypotheseson the determinants of contagion. We simultaneously consider trade competition, financial links, and institutional similarity to the "ground zero" country as potential drivers of contagion. To overcome data limitations and account for model ...

    In: Journal of International Money and Finance 30 (2011), 5, S. 831-848 | Amil Dasgupta, Roberto Leon-Gonzalez, Anja Shortland
  • Refereed essays Web of Science

    Forecasting the Fragility of the Banking and Insurance Sectors

    Linkages between banks and insurance companies are important when forecasting the fragility of the banking and insurance sectors. We propose a novel empirical framework that allows us to estimate unobserved linkages in panel data sets that contain observed regressors. We find that taking unobserved common factors into account reduces the root mean square forecasts error of firm specific forecasts by ...

    In: Journal of Banking & Finance 35 (2011), 4, S. 807-818 | Kerstin Bernoth, Andreas Pick
  • Economics of Security Working Paper Series 52 / 2011

    The (Hidden) Financial Flows of Terrorist and Transnational Crime Organizations: A Literature Review and Some Preliminary Empirical Results

    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
  • Diskussionspapiere 1165 / 2011

    Persistence and Cyclical Dependence in the Monthly Euribor Rate

    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
  • Diskussionspapiere 1103 / 2011

    Do Regions with Entrepreneurial Neighbors Perform Better? A Spatial Econometric Approach for German Regions

    We use a neoclassical production function to analyze the effects of knowledge spillovers via entrepreneurship on economic performance of 337 German districts. To take the spatial dependence structure of the data into account, we estimate a spatial Durbin model. We highlight the importance of the choice of the appropriate weight matrix. We find positive knowledge spillover effects via entrepreneurship ...

    2011| Katharina Pijnenburg, Konstantin A. Kholodilin
  • Diskussionspapiere 1164 / 2011

    Fiscal Spillovers in the Euro Area

    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
  • Economics of Security Working Paper Series 53 / 2011

    The Financial Flows of the Transnational Crime: Some Preliminary Empirical Results

    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
  • Refereed essays Web of Science

    Global Integration of Central and Eastern European Financial Markets: The Role of Economic Sentiments

    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
892 results, from 671
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