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From transition crises to macroeconomic stability? Lessons from a crises early warning system for Eastern European and CIS countries
Kittelmann, Kristina; Tirpak, Marcel; Schweickert, Rainer; … - 2006
This paper uses a Markov regime-switching model to assess the vulnerability of a series of Central and Eastern European countries (i.e. Czech Republic, Hungary, Slovak Republic) and two CIS countries (i.e., Russia and Ukraine) during the period 19932004. For the new EU member states in Central...
Persistent link: https://www.econbiz.de/10010272979
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An iron law of currency crisis: the divergence of the nominal and the real exchange rate and increasing current account deficits
Siebert, Horst - 2002
The currency crises of the 1990s all exhibit a divergence of the nominal and the real exchange rate together with an increase in the negative current account. The nominal rate does not reflect inflation differences fully and the ensuing real appreciation leads to a negative current account. This...
Persistent link: https://www.econbiz.de/10010265529
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Are Banks Different? Evidence from International Data
Buch, Claudia M. - 2000
Pecking order models of international finance suggest that countries should become less reliant on international bank lending as they develop. Reduced information costs are one of the factors behind this trend towards disintermediation. This paper presents a simple model on the choice between...
Persistent link: https://www.econbiz.de/10010260449
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Extreme value theory as a theoretical background for power law behavior
Alfarano, Simone; Lux, Thomas - 2010
therefore allows its application in many diverse fields. Moreover, this theory offers new powerful techniques for the estimation …
Persistent link: https://www.econbiz.de/10010277948
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Markov or not Markov - this should be a question
Bickenbach, Frank; Bode, Eckhardt - 2001
Although it is well known that Markov process theory, frequently applied in the literature on income convergence, imposes some very restrictive assumptions upon the data generating process, these assumptions have generally been taken for granted so far. The present paper proposes, resp. recalls...
Persistent link: https://www.econbiz.de/10010265521
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The euro's trade effect under cross-sectional heterogeneity and stochastic resistance
Herwartz, Helmut; Weber, Henning - 2010
This paper investigates if the euro's effect on euro-area trade differs across trade sectors and across country pairs …, and to what degree heterogeneity matters for estimating the aggregate euro effect. Time-varying latent variables, which …, aggregate exports within the euro area increase between 2000 and 2002 by 15 to 25 percent compared with aggregate exports …
Persistent link: https://www.econbiz.de/10010270031
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Business Cycles and FDI: Evidence from German Sectoral Data
Buch, Claudia M.; Lipponer, Alexander - 2005
Globalization has affected business cycle developments in OECD countries and has increased activities of firms across national borders. This paper analyzes whether these two developments are linked. We use a new firm-level dataset on the foreign activities of German firms to test whether foreign...
Persistent link: https://www.econbiz.de/10010260529
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Alternative Paths Towards EMU: Lessons from an Expanded Mundell-Fleming Model for the Accession Countries
Vinhas de Souza, Lúcio; Ledrut, Elisabeth - 2002
A small expectations-expanded "Mundell-Fleming" model is built for the European Union Accession Countries and estimated to assess the optimality of different exchange rate regimes (a peg and a float) through a simple welfare function. Floating appears as the best option for most of the countries...
Persistent link: https://www.econbiz.de/10010260544
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Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes
Finger, Karl; Fricke, Daniel; Lux, Thomas - 2012
In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In this sense, the daily...
Persistent link: https://www.econbiz.de/10010287009
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Real Wages and Monetary Policy Transmission in the Euro Area
McCallum, Andrew H. - 2011
the effects of monetary policy shocks on wages and employment in the euro area. The use of a large data set comprising … country, sectoral and euro area-wide data allows us to better identify common monetary policy shocks in the euro area and …
Persistent link: https://www.econbiz.de/10013117851