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International financial contagion of the US sub-prime crisis: evidence through the adjusted correlation test and non-linear Error Correction Models (ECM)
Omri, Anis; Ghorbel-Zouari, Sonia - In: International Journal of Monetary Economics and Finance 4 (2011) 2, pp. 135-149
In this essay, we test the presence of the contagion phenomenon during the US sub-prime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure which involves testing the non-linearity of the propagation mechanisms shocks, estimated with a model...
Persistent link: https://www.econbiz.de/10009352484
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Global pharmaceutical pricing strategies: profit implications of price discounting
Longo, Christopher J. - In: International Journal of Economics and Business Research 2 (2010) 6, pp. 447-460
Global pharmaceutical pricing strategies have been debated in published literature; however, these debates have not accounted for the differences in elasticity of demand between the public, private and cash paying markets. A mathematical model is presented that explores several plausible...
Persistent link: https://www.econbiz.de/10008755174
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Compliance with the German Corporate Governance Code and firm performance: a ten-year experience
Stiglbauer, Markus; Velte, Patrick - In: International Journal of Behavioural Accounting and Finance 3 (2012) 1/2, pp. 5-23
In 2002, the German Corporate Governance Code (GCGC) was established to improve corporate governance of German listed firms and to make the German corporate governance system and firm-specific corporate governance more transparent for (international) investors. With regard to the empirical...
Persistent link: https://www.econbiz.de/10010668767
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Studies in Financial Systems No 3 The German Financial System
Detzer, Daniel; Dodig, Nina; Evans, Trevor; Hein, Eckhard; … - Financialisation, Economy, Society & Sustainable … - 2013
Persistent link: https://www.econbiz.de/10010741339
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Connectedness Cycles in Equity Markets: A Wavelet Approach
Schmidbauer, Harald; Rösch, Angi; Uluceviz, Erhan - EcoMod Network - 2012
The connectedness of international equity markets can be measured building on the well-established forecast error variance decomposition framework. This approach permits the assessment of the propagation of shocks (spillovers) across equity markets on a day-to-day basis. The focus of our...
Persistent link: https://www.econbiz.de/10010902532
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Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
Baum, Christopher; Karpava, Margarita; Schäfer, Dorothea; … - EcoMod Network - 2014
This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012.GARCH modeling of sovereign bond yields and...
Persistent link: https://www.econbiz.de/10010902601
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ESTIMATION OF VECTOR ERROR CORRECTION MODEL WITH GARCH ERRORS: MONTE CARLO SIMULATION AND APPLICATIONS
Setiawan, Kusdhianto; Maekawa, Koichi - EcoMod Network - 2014
The standard vector error correction (VEC) model assumes the iid normal distribution of disturbance term in the model. This paper extends this assumption to include GARCH process. We call this model as VEC-GARCH model. However as the number of parameters in a VEC-GARCH model is large, the...
Persistent link: https://www.econbiz.de/10010886654
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Cheap Money and Risk Taking: Opacity versus Underlying Risk
Eckwert, Bernhard; Drees, Burkhard; Vardy, Felix - EcoMod Network - 2011
In a Bayesian setting, investments can be risky either because they are opaque, i.e., their payoff-relevant signals are noisy, or because they are fundamentally risky, i.e., the variance of the prior is high. When interest rates are low (high), investors favor opaque (transparent) projects that...
Persistent link: https://www.econbiz.de/10010886724
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Global finance and the German model: German corporations, market incentives, and the management of employer-sponsored pension institutions
Clark, Gordon L.; Mansfield, Daniel; Tickell, Adam - 2002
finance has put enormous pressure on national economic, political and social institutions. Furthermore, the looming crisis … of stakeholder capitalism is changing rapidly, at least in the sphere of large firms and global finance. …). 'Global finance and the German model: German corporations, market incentives, and the management of employer-sponsored pension …
Persistent link: https://www.econbiz.de/10009441380
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Economic Backwardness in Security Perspective
Carney, Richard - Volkswirtschaftliche Fakultät, … - 2004
Modern political economies are distinguished from each other by the institutions that mediate actors’ interactions, falling somewhere along a spectrum between pure market and non-market mechanisms. But how did these institutions originally emerge? With regard to the financial sector, I argue...
Persistent link: https://www.econbiz.de/10005786993