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Real convergence, capital flows, and competitiveness in central and Eastern Europe
Belke, Ansgar; Schnabl, Gunter; Zemanek, Holger - 2009
The paper scrutinizes the role of wages and capital flows for competitiveness in the new EU member states in the context of real convergence. For this purpose it extends the seminal Balassa-Samuelson model by international capital markets. The augmented Balassa-Samuelson model is linked to the...
Persistent link: https://www.econbiz.de/10003889534
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International portfolio flows and exchange rate volatility for emerging markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015
This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...
Persistent link: https://www.econbiz.de/10011382694
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Global imbalances and the current account adjustment process : an empirical analysis
Tippkötter, Marius - 2010
, the author performs a dynamic panel estimation using a System GMM estimator fully developed in Blundell and Bond (1998 …
Persistent link: https://www.econbiz.de/10003974473
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Exchange rate uncertainty and international portfolio flows
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...
Persistent link: https://www.econbiz.de/10009741957
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Regionality revisited : an examination of the direction of spread of currency crisis
Dasgupta, Amil; Leon-Gonzalez, Roberto; Shortland, Anja - 2010 - This draft: March 2010
What determines the direction of spread of currency crises? We examine data on waves of currency crises in 1992, 1994, 1997, and 1998 to evaluate several hypotheses on the determinants of contagion. We simultaneously consider trade competition, financial links, and institutional similarity to...
Persistent link: https://www.econbiz.de/10009129985
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The term structure of redenomination risk
Bayer, Christian; Kim, Chi Hyun; Kriwoluzky, Alexander - 2018
-2% for Germany. The ECB's interventions designed to reduce the risk of a breakup successfully did so for Italy, but … of yield curves. At the height of the euro crisis, spreads between first-year yields were close to 7% for Italy and up to … increased it for France and Germany. …
Persistent link: https://www.econbiz.de/10011865446
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Big banks and macroeconomic outcomes : theory and cross-country evidence of granularity
Bremus, Franziska; Buch, Claudia M.; Russ, Katheryn Niles; … - 2013
. Using this framework, we show conditions under which idiosyncratic shocks to bank lending can generate aggregate … sector for many countries is indeed granular, as the right tail of the bank size distribution follows a power law. We then … concentration is associated with a positive and significant relationship between bank-level credit growth and aggregate growth of …
Persistent link: https://www.econbiz.de/10010225567
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Cross-section dependence and the monetary exchange rate model : a panel analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - 2011
This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic...
Persistent link: https://www.econbiz.de/10009426693
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How stable are monetary models of the Dollar-Euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …
Persistent link: https://www.econbiz.de/10003898577
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The forward premium puzzle and latent factors day by day
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10003949496