Narrow search
Showing 1 - 10 of 173
Cover Image
The effect of G20 summits on global financial markets : N°1668, April 2014
Lo Duca, Marco (contributor); Stracca, Livio (contributor) - European Central Bank - 2014
In the wake of the global financial crisis, the G20 has become the most important forum of global governance and cooperation, largely replacing the once powerful G7. In this paper we run an event study to test whether G20 meetings at ministerial and Leaders level have had an impact on global...
Persistent link: https://www.econbiz.de/10015301966
Cover Image
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
Cover Image
Rollover risk, liquidity, and macro-prudential regulation : N°1667, April 2014
Ahnert, Toni (contributor) - European Central Bank - 2014
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate liquidity level supports both the usual...
Persistent link: https://www.econbiz.de/10015301809
Cover Image
Hedge funds and their implications for financial stability
Garbaravicius, Tomas; Dierick, Frank - European Central Bank - 2005
concerns and most of them follow indirect regulation via banks. If any direct regulation were to be considered, it would …
Persistent link: https://www.econbiz.de/10005530646
Cover Image
Issues in the ECU Markets and Some Tentative Explanations fro Some Apparent Puzzles.
Fell, J.P.C.; Levy, A. - European Central Bank - 1996
This study focuses on longer term influences and provides some potential explanations in ECU markets which were regarder by some financial market participants as puzzles.
Persistent link: https://www.econbiz.de/10005486856
Cover Image
The side effects of national financial sector policies : framing the debate on financial protectionism
Beck, Roland (contributor); Beirne, John (contributor);  … - European Central Bank - 2015
The decrease of financial integration both at the global and European level reflects, to a certain extent, a market response to the crisis. It might, however, also be partly driven by policies such as capital flow management measures (CFMs). In addition, several other measures taken by central...
Persistent link: https://www.econbiz.de/10015297785
Cover Image
Fragility in money market funds : sponsor support and regulation
Parlatore, Cecillia (contributor) - European Central Bank - 2015
I develop a model of money market funds (MMFs) to study the ability of sponsor support to provide stability to the industry. I find that strategic complementarities in the sponsors support decisions can make MMFs vulnerable to runs different from the canonical bank-runs: it may lead to runs of...
Persistent link: https://www.econbiz.de/10015298716
Cover Image
Margin regulation and volatility : N°1698, July 2014
Brumm, Johannes (contributor); Kubler, Felix (contributor);  … - European Central Bank - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effect. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10015301890
Cover Image
Financial indicators signalling correlation changes in sovereign bond markets : N°1746, December 2014
De Santis, Roberto A. (contributor);  … - European Central Bank - 2014
We use a Smooth Transition Conditional Correlation GARCH (STCC-GARCH) model applied to the euro area monetary policy rates and sovereign yields of Italy, Spain and Germany at 5-year maturity to estimate the threshold level of the signals above which the sovereign bond market moves to a crisis...
Persistent link: https://www.econbiz.de/10015301870
Cover Image
Optimal capital requirements over the business and financial cycles
Malherbe, Frederic (contributor) - European Central Bank - 2015
the optimal requirement. A regulation that fails to take this effect into account exacerbates economic fluctuations and …
Persistent link: https://www.econbiz.de/10015298452