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This paper aims an empirical investigation of uncertainty in the Euro Zone as well as the US. For this purpose I conduct a factor analysis of uncertainty measures starting in 2001 until the end of 2011. I use survey-based data provided by the ECB and the Federal Reserve Bank of Philadelphia as...
Persistent link: https://www.econbiz.de/10009548349
Using a novel approach, this paper analyses the deliberately communicated uncertainty of the ECB to the market. Specifically, it semantically analyses the uncertainty expressed in official ECB press statements. The analysis shows how the ECB tries to alert or appease the market with different...
Persistent link: https://www.econbiz.de/10010190137
We use quanto credit default swaps to analyze the impact of a credit event in the Euro zone on the Euro-Dollar exchange rate. In light of the European debt crisis, market participants are willing to pay more for protection against a sovereign credit event if the payment in such an event is...
Persistent link: https://www.econbiz.de/10012822373
Persistent link: https://www.econbiz.de/10013439691