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Net Foreign Asset (Com)position: Does Financial Development Matter?
Vermeulen, Robert; Haan, Jakob de - de Nederlandsche Bank - 2012
We investigate the relationship between a country's domestic financial development and the (composition of its) net foreign asset position using a pooled mean group estimator and data for 51 countries during the period 1970-2007. The results show that financial development reduces a country's...
Persistent link: https://www.econbiz.de/10009652211
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Modelling time-varying correlations of financial markets
Wong, A.S.K.; Vlaar, P.J.G. - de Nederlandsche Bank - 2003
In this report we examine time-varying correlations of asset returns using the Dynamic Conditional Correlation (DCC) models, recently proposed by Engle (2002), that are estimated by a two-step procedure. First, we conclude that correlations vary considerably over time. Secondly, the conditional...
Persistent link: https://www.econbiz.de/10005106732
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The pitch rather than the pit: investor inattention during FIFA World Cup matches
Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2012
At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...
Persistent link: https://www.econbiz.de/10009493318
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A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets
Goorbergh, Rob van den - de Nederlandsche Bank - 2004
This paper investigates the level and development of cross-country stock market dependence using daily returns on stock indices. The use of copulas allows us to build exible models of the joint distribution of stock index returns. In particular, we apply univariate AR(p)-GARCH(1,1) models to the...
Persistent link: https://www.econbiz.de/10005101799
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Contagion during the Greek Sovereign Debt Crisis
Mink, Mark; Haan, Jakob de - de Nederlandsche Bank - 2012
Using an event study approach, we examine the impact of news about Greece and news about a Greek bailout on bank stock prices in 2010 using data for 48 banks included in the European stress tests. We identify the twenty days with extreme returns on Greek sovereign bonds and categorize the news...
Persistent link: https://www.econbiz.de/10009493319
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Measuring Stock Market Contagion with an Application to the Sub-prime Crisis
Mink, Mark; Mierau, Jochen - de Nederlandsche Bank - 2009
We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between …
Persistent link: https://www.econbiz.de/10004963328
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Interbank Contagion in the Dutch Banking Sector
Lelyveld, Iman van; Liedorp, Franka - de Nederlandsche Bank - 2004
We investigate interlinkages and contagion risks in the Dutch interbank market. Based on severaldata sources, including … a scenario analysis to measure contagion risks. We find that the bankruptcy of one of the large banks will put a … considerable burden on the other banks, but will not lead to a complete collapse of the interbank market. The contagion effects of …
Persistent link: https://www.econbiz.de/10005106664
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Globalisation and monetary policy in emerging markets
2005
Persistent link: https://www.econbiz.de/10003000780