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Contagion and Information Frictions in Emerging Markets: The Role of Joint Signals
Avdiu, Besart; Gruhle, Tobias - 2018
We show that information frictions can explain financial contagion without correlated fundamentals and explain why … emerging markets are more susceptible to contagion. Costly information may cause investors to group country signals, because … contagion. Due to lower demand for country-specific information and lower risk weighted returns, it is likelier that investors …
Persistent link: https://www.econbiz.de/10011892075
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Sovereign Credit Risk Co-movements in the Eurozone: Simple Interdependence or Contagion?
Tonzer, Lena; Buchholz, Manuel - 2014
have been subject to contagion. We proceed in three steps. First, we apply dynamic conditional correlations from a … simple interdependence from contagion. Third, we analyze the determinants behind credit risk co-movements and the role of … contagion using regression analysis. Our results reveal a high degree of co-movements in sovereign credit risk, especially for …
Persistent link: https://www.econbiz.de/10010396908
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Central Bank Transparency and Cross-Border Banking
Littke, Helge C. N.; Eichler, Stefan; Tonzer, Lena - 2016
We analyze the effect of central bank transparency on cross-border bank activities. Based on a panel gravity model for cross-border bank claims for 21 home and 47 destination countries from 1998 to 2010, we find strong empirical evidence that central bank transparency in the destination country...
Persistent link: https://www.econbiz.de/10011527725
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US International Equity Investment and Economic Fundamentals
Hasler, Nicole - 2016
Applying portfolio-based techniques to US foreign equity portfolio holdings, this paper studies the global investment behaviour of US investors. Taking wealth effects into account, we analyse active allocation decisions of investors. Using an updated data set by Bertaut and Tryon (2007) and...
Persistent link: https://www.econbiz.de/10011527967
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Do Markets Care About Central Bank Governor Changes? Evidence from Emerging Markets
Dreher, Axel; Moser, Christoph - 2008
Central bank governor changes in emerging markets may convey important signals about future monetary policy. Based on a new daily data set, this paper examines the reactions of foreign exchange markets, domestic stock market indices and sovereign bond spreads to central bank governor changes....
Persistent link: https://www.econbiz.de/10010301426
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Sup-ADF-style bubble detection methods under test
Monschang, Verena; Wilfling, Bernd - 2019
In this paper we analyze the performance of supremum augmented Dickey-Fuller (SADF), generalized SADF (GSADF), and backward SADF (BSADF) tests, as introduced by Phillips et al. (International Economic Review 56:1043-1078, 2015) for detecting and date-stamping financial bubbles. In Monte Carlo...
Persistent link: https://www.econbiz.de/10012099130
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Analyzing credit risk transmission to the non-financial sector in Europe: a network approach
Groß, Christian - 2019
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10012099207
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What drives the German current account? And how does it affect other EU Member States?
Vogel, Lukas; Kollmann, Robert; Ratto, Marco; Roeger, Werner - 2015
We estimate a three-country model using 1995 2013 data for Germany, the Rest of the Euro Area (REA) and the Rest of the World (ROW) to analyse the determinants of Germany s current account (CA) surplus after the launch of the euro. Our results suggest that the German surplus reflects a...
Persistent link: https://www.econbiz.de/10011301406
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The Role of Uncertainty Avoidance in Foreign Investment Bias
Erdogan, Burcu - 2015
In this paper, I explore the determinants of foreign bias in international portfolio investment focusing on a behavioral explanation. Specifically, I investigate whether investors having a stronger uncertainty aversion perceive a foreign country to be more unfamiliar than those with less such...
Persistent link: https://www.econbiz.de/10011301777
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Towards a Theory of Trade Finance
Schmidt-Eisenlohr, Tim - 2010
Cross border transactions are conducted using different payment contracts, the usage of which varies across countries and over time. In this paper I build a model that can explain this observation and study implications from this for international trade. In the model exporters optimally choose...
Persistent link: https://www.econbiz.de/10010270206