Showing 1 - 10 of 149
Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a … an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing …
Persistent link: https://www.econbiz.de/10005792215
Although recent research shows that the euro has spurred cross-border financial integration, the exact mechanisms … remain unknown. We investigate the underlying channels of the euro's effect on financial integration using data on bilateral … euro's impact on financial integration is primarily driven by eliminating the currency risk. Legislative …
Persistent link: https://www.econbiz.de/10005036237
This Paper focuses on the pass-through of exchange rate changes into the prices of imports made by euro area countries … industry-specific rates of pass-through across and within countries for all euro members. In the short run, pass-through rates …-through rates across industries and countries can be rejected. Differences exist across euro area countries in the degree that a …
Persistent link: https://www.econbiz.de/10005067653
A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …
Persistent link: https://www.econbiz.de/10005666776
We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the log-likelihood score, and explain how to evaluate the...
Persistent link: https://www.econbiz.de/10005124228
We propose and implement a method that provides quantitative estimates of the extent to which higher-than-expected inflation can lower the real value of outstanding government debt. Looking forward, we derive a formula for the debt burden that relies on detailed information about debt maturity...
Persistent link: https://www.econbiz.de/10011084372
Diversification opportunities in Euroland appear to have improved significantly since the advent of the euro, thus … the time series of return dispersions suggestive of cycles and long swings in return correlations. The most recent post-euro …
Persistent link: https://www.econbiz.de/10005504636
UK adopting the Euro. Instability increases substantially, particularly for inflation and real interest rates. A key … factor is the extent of the Euro's instability against the dollar; by adopting a regional currency the UK imports this source …
Persistent link: https://www.econbiz.de/10005504668
our analysis on the effect of the euro for the determinants of bond trade, equity and banking assets. With the help of a … theoretical model, we attempt to disentangle the different effects that the euro may have had on asset holdings for both euro zone … countries and countries outside of the euro zone such as Sweden. We find evidence that the euro has implied 1) a unilateral …
Persistent link: https://www.econbiz.de/10005497990
Entering a currency union without any political union European countries have taken a gamble: will the needs of the currency union force a political integration (as anticipated by Monnet) or will the tensions create a backlash, as suggested by Kaldor, Friedman and many others? We try to answer...
Persistent link: https://www.econbiz.de/10011266537