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Business Cycle Sychronization in the Enlarged EU

Darvas, Zsolt; Szapáry, György - C.E.P.R. Discussion Papers - 2005

endogeneity but there is also evidence of a world cycle. The consumption-correlation puzzle remains, but its magnitude has greatly …

Persistent link: https://www.econbiz.de/10005792241

Are European Business Cycles Close Enough to be Just One?

Camacho, Maximo; Pérez-Quirós, Gabriel; Sáiz Matute, … - C.E.P.R. Discussion Papers - 2005

We propose a comprehensive methodology to characterize the business cycle comovements across European economies and some industrialized countries, always trying to ‘let the data speak’. Out of this framework, we propose a novel method to show that there is no ‘Euro economy’ that acts as...

Persistent link: https://www.econbiz.de/10005124454

Extreme Correlation of International Equity Markets

Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …

Persistent link: https://www.econbiz.de/10005504611

The Supermodular Stochastic Ordering

Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...

Persistent link: https://www.econbiz.de/10011083601

Governance and Comovement Under Common Ownership

Edmans, Alex; Levit, Doron; Reilly, Devin - C.E.P.R. Discussion Papers - 2014

derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …

Persistent link: https://www.econbiz.de/10011084086

Increased Correlation in Bear markets: A Downside Risk Perspective

Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …

Persistent link: https://www.econbiz.de/10005124110

Outsourcing, Offshoring and Innovation: Evidence from Firm-level Data for Emerging Economies

Fritsch, Ursula; Görg, Holger - C.E.P.R. Discussion Papers - 2013

It is striking that by far the lion's share of empirical studies on the impact of outsourcing on firms considers industrialized countries. However, outsourcing by firms from emerging economies is far from negligible and growing. This paper investigates the link between outsourcing and innovation...

Persistent link: https://www.econbiz.de/10011084498

Explaining the Migration of Stocks from Exchanges in Emerging Economies to International Centres

Claessens, Stijn; Klingebiel, Daniela; Schmukler, Sergio - C.E.P.R. Discussion Papers - 2002

We study the determinants of stock market development and the growing migration of capital raising, listing and trading activity to international exchanges. Economies with higher income per capita, sounder macro policies, more efficient legal systems with better shareholder protection, and more...

Persistent link: https://www.econbiz.de/10005666902

Finance and Growth: When Does Credit Really Matter?

Coricelli, Fabrizio; Roland, Isabelle - C.E.P.R. Discussion Papers - 2008

The paper provides a simple theory and empirical evidence on the asymmetric effect of credit markets on output decline and output growth. When credit markets are underdeveloped and enterprise activity is financed outside the banking sector, exogenous shocks may induce a break-up of both credit...

Persistent link: https://www.econbiz.de/10005789097

A New Index of Currency Mismatch and Systemic Risk

Rancière, Romain; Tornell, Aaron; Vamvakidis, Athanasios - C.E.P.R. Discussion Papers - 2011

This paper constructs a new measure of currency mismatch in the banking sector that controls for bank lending to unhedged borrowers. This measure explicitly takes into account the indirect exchange rate risk that banks undertake when they lend to borrowers that will not be able to repay in the...

Persistent link: https://www.econbiz.de/10008854496