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eMu and european government bond market integration

Alonso Abad, Maria Pilar; Chuliá, Helena; Gómez-Puig, … - European Central Bank - 2009

The main objective of this paper is to study whether the introduction of the euro hadan impact on the degree of integration of European Government bond markets. Weadopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from thebeginning of Monetary Union until June 2008, the...

Persistent link: https://www.econbiz.de/10005866480

Does private equity investment spur innovation? Evidence from Europe

Popov, Alexander; Roosenboom, Peter - European Central Bank - 2009

We provide the first cross-country evidence of the effect of investment by privateequity firms on innovation, focusing on a sample of European countries and usingKortum and Lerner’s (2000) empirical methodology. Using an 18-country panelcovering the period 1991-2004, we study how private...

Persistent link: https://www.econbiz.de/10005866520

Hedge funds and their implications for financial stability

Garbaravicius, Tomas; Dierick, Frank - European Central Bank - 2005

assessment, hedge funds have a role as providers of diversification and liquidity, and they contribute to the integration and …

Persistent link: https://www.econbiz.de/10005530646

The impact of the euro on money and bond markets

Santillán, Javier; Bayle, Marc; Thygesen, Christian - European Central Bank - 2000

The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction of the euro. Significant development in terms of integration took place in both markets in general to a various degree for the different segments. However, there remain room for...

Persistent link: https://www.econbiz.de/10004969144

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

Risk sharing, finance and institutions in international portfolios

Fratzscher, Marcel; Imbs, Jean - European Central Bank - 2007

We show that international consumption risk sharing is significantly improved by capital flows, especially portfolio investment. Concomitantly, we show that poor institutions hamper risk sharing, but to an extent that decreases with openness. In particular, risk sharing is prevalent even among...

Persistent link: https://www.econbiz.de/10005530957

Cross-border lending contagion in multinational banks

Derviz, Alexis; Podpiera, Jirí - European Central Bank - 2007

We study both theoretically and empirically the inter- dependence of lending decisions in different country branches of a multinational bank. First, we model a bank that delegates the management of its foreign unit to a local manager with non-transferable skills. The bank differs from other...

Persistent link: https://www.econbiz.de/10005222398

Technological diversification

Koren, Miklós; Tenreyro, Silvana - European Central Bank - 2005

technological diversification. Production makes use of different input varieties, which are subject to imperfectly correlated shocks …. In our model, the expansion in the number of varieties provides diversification benefits against variety-specific shocks …

Persistent link: https://www.econbiz.de/10005162905

Finance and diversification

Manganelli, Simone; Popov, Alexander - European Central Bank - 2010

We study how financial market efficiency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors …

Persistent link: https://www.econbiz.de/10008679924