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Volatility Patterns of CDs, Bond and Stock Markets Before and During the Financial Crisis : Evidence from Major Financial Institutions

Belke, Ansgar Hubertus - 2011

This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...

Persistent link: https://www.econbiz.de/10013128075

When Does it Hurt? The Exchange Rate 'Pain Threshold' for German Exports

Belke, Ansgar Hubertus - 2009

euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play … area to about 1.55 US dollar per euro. In our interpretation, this is the current "pain threshold", where a strong spurt … reaction of exports to a further appreciation of the euro is expected to start …

Persistent link: https://www.econbiz.de/10013155088

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

Bernoth, Kerstin - 2019

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...

Persistent link: https://www.econbiz.de/10012891675

Reinforcing EU Governance in Times of Crisis : The Commission Proposals and Beyond

Belke, Ansgar Hubertus - 2011

governance in the EU and the euro area since the launch of the Economic and Monetary Union. Broader and enhanced surveillance of …

Persistent link: https://www.econbiz.de/10014187416

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

Belke, Ansgar Hubertus - 2012

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...

Persistent link: https://www.econbiz.de/10013103372

Global Liquidity, World Savings Glut and Global Policy Coordination

Belke, Ansgar Hubertus - 2010

The global imbalances of the 2000s and the recent global financial crisis are intimately connected. Both originate in the combination of economic policies adopted by the two key economies, the US and China. Global financial markets served as a transmission belt, both during the boom as during...

Persistent link: https://www.econbiz.de/10013144334

Effects of Global Liquidity on Commodity and Food Prices

Belke, Ansgar Hubertus - 2015

This paper investigates the relationship between global liquidity and commodity and food prices applying a global cointegrated vector-autoregressive model. We use different measures of global liquidity and various indices of commodity and food prices for the period 1980-2011. Our results support...

Persistent link: https://www.econbiz.de/10013037022

The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule

Beckmann, Joscha - 2014

Deviations of policy interest rates from the levels implied by the Taylor rule have been persistent before the financial crisis and increased especially after the turn of the century. Compared to the Taylor benchmark, policy rates were often too low. This paper provides evidence that both...

Persistent link: https://www.econbiz.de/10013046045

Cross-Section Dependence and the Monetary Exchange Rate Model : A Panel Analysis

Beckmann, Joscha; Belke, Ansgar Hubertus; Dobnik, Frauke - 2011

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic...

Persistent link: https://www.econbiz.de/10014183198

The Credibility of Monetary Policy Announcements : Empirical Evidence for OECD Countries Since the 1960s

Belke, Ansgar Hubertus - 2012

Monetary policy rules have been considered as fundamental protection against inflation. However, empirical evidence for a correlation between rules and inflation is relatively weak. In this paper, we first discuss likely causes for this weak link and present the argument that monetary commitment...

Persistent link: https://www.econbiz.de/10013103579