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Are European sovereign bonds fairly priced? The role of modeling uncertainty

Haan, Leo de; Hessel, Jeroen; End, Jan Willem van den - de Nederlandsche Bank - 2013

This paper examines the extent to which large swings of sovereign yields in euro area countries during the sovereign debt crisis can be attributed to fundamentals. We focus on the inherent uncertainty in bond yield models, which is often overlooked in the literature. We show that the outcomes...

Persistent link: https://www.econbiz.de/10010705925

Financial Globalization and Monetary Policy

Wagner, Helmut; Berger, Wolfram - de Nederlandsche Bank - 2003

Recently, it has often been argued that globalization eases the job of central banks as it helps to tame inflation. This is used to argue that central banks (particularly the ECB, referring to the objectives as laid down in the EU-Treaty) could or should reduce their efforts in the fight against...

Persistent link: https://www.econbiz.de/10005106786

International Diversification During the Financial Crisis: A Blessing for Equity Investors?

Vermeulen, Robert - de Nederlandsche Bank - 2011

This paper empirically investigates international equity investors' foreign portfolios before and during the financial crisis by estimating a gravity model for 22 source and 42 destination countries. The results show that international stock market diversification provides large gains during the...

Persistent link: https://www.econbiz.de/10009385893

Net Foreign Asset (Com)position: Does Financial Development Matter?

Vermeulen, Robert; Haan, Jakob de - de Nederlandsche Bank - 2012

We investigate the relationship between a country's domestic financial development and the (composition of its) net …

Persistent link: https://www.econbiz.de/10009652211

Early warning for currency crises: what is the role of financial openness?

Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013

gross (but not net) capital inflows in general increase the risk of a currency crisis, but looking at a disaggregated level …, gross portfolio flows increase the risk of a currency crisis for advanced economies, whereas gross FDI inflows decrease the … risk of a crisis for EMEs. Third, contagion has a very strong impact, consistent with the past literature, especially …

Persistent link: https://www.econbiz.de/10010757284

Can Book-to-Market, Size and Momentum Be Risk Factors that Predict Economic Growth?.

Liew, J.; Vassalou, M. - Graduate School of Business, Columbia University - 1999

their ability to predict future economic growth in some countries. Our results support a risk-based explanation for the …

Persistent link: https://www.econbiz.de/10005631008

Saving Europe?: The Unpleasant Arithmetic of Fiscal Austerity in Integrated Economies

Mendoza, Enrique G.; Tesar, Linda L.; Zhang, Jing - Federal Reserve Bank of Chicago - 2014

What are the macroeconomic effects of tax adjustments in response to large public debt shocks in highly integrated economies? The answer from standard closed-economy models is deceptive, because they underestimate the elasticity of capital tax revenues and ignore cross-country spillovers of tax...

Persistent link: https://www.econbiz.de/10011093786

Interpreting the Pari Passu Clause in Sovereign Bond Contracts: It's All Hebrew (and Aramaic) to Me

Wright, Mark L. J. - Federal Reserve Bank of Chicago - 2014

In this comment, we take a helicopter tour of the history of notions of “equality” and “justice” in sovereign debt restructuring in particular, and in the division of property more generally, and show that these concerns have existed for centuries, if not millennia. We argue that the...

Persistent link: https://www.econbiz.de/10011027198

Banking across Borders

Niepmann, Friederike - de Nederlandsche Bank - 2011

This paper develops and tests a theoretical model that allows for the endogenous decision of banks to engage in international and global banking. International banking, where banks raise capital in the home market and lend it abroad, is driven by differences in factor endowments across...

Persistent link: https://www.econbiz.de/10009644843

The Stock of External Sovereign Debt: Can We Take the Data at ‘Face Value’?

Dias, Daniel A.; Richmond, Christine; Wright, Mark L. J. - Federal Reserve Bank of Chicago - 2014

The stock of sovereign debt is typically measured at face value. Defined as the undiscounted sum of future principal repayments, face values are misleading when debts are issued with different contractual forms or maturities. In this paper, we construct alternative measures of the stock of...

Persistent link: https://www.econbiz.de/10010778841

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