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The Role of Short Rates and Foreign Long Rates in the Determination of Long-Term Interest Rates

Fell, J.P.C. - European Central Bank - 1996

This study examines the changing relationship between domestic long-term , domestic short-term and foreign long-term interest rates.

Persistent link: https://www.econbiz.de/10005641235

Measuring financial integration in the euro area

Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - European Central Bank - 2004

In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...

Persistent link: https://www.econbiz.de/10005816123

The pitch rather than the pit: investor inattention during FIFA world cup matches

Ehrmann, Michael; Jansen, David-Jan - European Central 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...

Persistent link: https://www.econbiz.de/10010686838

The global effects of the euro debt crisis

Stracca, Livio - European Central Bank - 2013

This paper is an event study focusing on the global effects of the euro debt crisis in 2010-2013. After identifying 18 key exogenous crisis events, I analyse the impact on equity returns, exchange rates and government bond yields in 12 advanced and 13 emerging countries. The main effect of euro...

Persistent link: https://www.econbiz.de/10010686737

The dynamics of spillover effects during the European sovereign debt crisis

Alter, Adrian; Beyer, Andreas - European Central Bank - 2013

transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …

Persistent link: https://www.econbiz.de/10010686797

Interdependence and contagion in global asset markets

Beirne, John; Gieck, Jana - European Central Bank - 2012

This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks …. For emerging economies, these within-market effects mostly apply to the equity market. Contagion effects within-market are … most notable in Latin America and Emerging Asia for equities. Cross-market contagion is identified from global bonds to …

Persistent link: https://www.econbiz.de/10010686881

Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR

Gross, Marco; Kok, Christoffer - European Central Bank - 2013

2008 contagion primarily went from banks to sovereigns, the direction reversed in 2011-12 in the course of the sovereign …

Persistent link: https://www.econbiz.de/10010709523

Disentangling the bond-CDS nexus: a stress test model of the CDS market

Vuillemey, Guillaume; Peltonen, Tuomas A. - European Central Bank - 2013

-out netting considerably reduces the extent to which contagion may occur. JEL Classification: G21, H63, G15 …

Persistent link: https://www.econbiz.de/10010709534

Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe

Claeys, Peter; Vašíček, Bořek - European Central Bank - 2014

test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. JEL Classification: G12, C14, E43 …

Persistent link: https://www.econbiz.de/10011067242

Understanding bank-run contagion

Brown, Martin; Trautmann, Stefan T.; Vlahu, Razvan - European Central Bank - 2014

We study experimental coordination games to examine through which transmission channels, and under which information conditions, a panic-based depositor-run at one bank may trigger a panic-based depositor-run at another bank. We find that withdrawals at one bank trigger withdrawals at another...

Persistent link: https://www.econbiz.de/10011067254