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Does monetary policy impact market integration? : evidence from developed and emerging markets
Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2017
This paper shows that FED policy announcements lead to a significant increase in international co-movement in the cross-section of equity and particularly sovereign CDS market. The effect is strongest for emerging markets, when the FED relaxes unconventionary monetary policies, and for countries...
Persistent link: https://www.econbiz.de/10011874674
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How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro … (the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …
Persistent link: https://www.econbiz.de/10003877676
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The performance of the eurosystem's fixed rate tenders since 2004 : theory and evidence
Ewerhart, Christian; Cassola, Nuno; Valla, Natacha - 2010
typically inefficient. Empirical proxies of exposure risk are significant in both Euro and Sterling operations. Our findings …
Persistent link: https://www.econbiz.de/10008797780
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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; Gokus, Christian - 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/10008935244
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Integration of sovereign bonds markets : time variation and maturity effects
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2014
We examine time varying integration of developed (DM) and emerging (EM) market government bonds. Although we find an upward trend for most countries and maturity bands, we do observe reversals and negative trends among both DMs and EMs and for some maturities during the financial crisis. We...
Persistent link: https://www.econbiz.de/10010413280
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Sovereign rating transitions and the price of default risk in emerging markets
Audzeyeva, Alena (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003550817
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The core, the periphery, and the disaster : corporate-sovereign nexus in COVID-19 times
Jappelli, Ruggero; Pelizzon, Loriana; Plazzi, Alberto - 2021 - First draft: January 2021
We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on...
Persistent link: https://www.econbiz.de/10012502146
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The British Pound on Brexit night : a natural experiment of market efficiency and real-time predictability
Wu, Ke; Wheatley, Spencer; Sornette, Didier - 2017
Exploiting the near-experimental conditions provided by the British Pound market in US Dollars during the Brexit vote of June 23rd, 2016, we unearth a major challenge to the Efficient Market Hypothesis. With a single factor of prior polling information, we show that the Brexit result could have...
Persistent link: https://www.econbiz.de/10011761226
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When does it hurt? : the exchange rate "pain threshold" for German exports
Belke, Ansgar; Goecke, Matthias; Günther, Martin - 2009
euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play …This paper deals with the impact of the $/Euro exchange rate on German exports in the period from 1995Q1 to 2008Q4. Our … implement an algorithm describing play-hysteresis into a regression framework. A unique "pain threshold" of the $/Euro exchange …
Persistent link: https://www.econbiz.de/10003901021
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Super-exponential RE bubble model with efficient crashes
Kreuser, Jerome; Sornette, Didier - 2017
We propose a dynamic Rational Expectations (RE) bubble model of prices with the intention to exploit it for and evaluate it on optimal investment strategies. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...
Persistent link: https://www.econbiz.de/10011865575