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Title: Country and sector-specific spillover effects in the euro area, the United States and Japan
Abstract
Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and intrasectoral spillover effects. We use daily data from the period between January 1986 and October 2002. We find that, during the late 1990s, the worldwide importance of European equity markets has increased considerably. More precisely, price innovations in European equities (both aggregate returns and sector returns) have doubled or tripled their impact on other stock markets. At the same time, there is evidence that sectors have become more heterogeneous in each of the three currency areas, ie the response to aggregate shocks has increasingly varied across sectors. Spillover effects of aggregate market innovations have generally outweighed intra-sectoral spillover effects. Overall, the process towards higher integration has been primarily a phenomenon of equity markets in the euro area and the United States. [Bernd Kaltenhaeuser]
Author: Kaltenhaeuser, Bernd
Series Title: Working paper series / European Central Bank ; 286
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Stock MarketEU countriesEuroFinancial marketJapanMarket integrationSpillover effectUnited States
Subject: Currency. Monetary policyInternational investments. Capital movements
Countries Scheme: USAJapan
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Bank mergers, competition and liquidity
Abstract
We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete in a differentiated loan market, hold reserves against liquidity shocks, and refinance in the interbank market. A merger creates an internal money market that induces financial cost advantages and may increase reserve holdings. We assess changes in liquidity risk and expected liquidity needs for each bank and for the banking system. Large mergers tend to increase expected aggregate liquidity needs, and thus the liquidity provision by the central bank. Comparative statics suggest that a more competitive environment moderates this effect. [Elena Carletti ; Philipp Hartmann ; Giancarlo Spagnolo ]
Author: Carletti, Elena | Hartmann, Philipp | Spagnolo, Giancarlo
Series Title: Working paper series / European Central Bank ; 292
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: BankBank liquidityIndustrialized countriesCredit marketTheoryCompetitionEconomic concentration
Subject: Currency. Monetary policyInternational investments. Capital movements
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Finance and growth in the EU
Title (other): new evidence from the liberalisation and harmonisation of the banking industry
Abstract
This paper analyses the link between finance and growth by studying the effect that the process of financial deregulation and harmonisation of banking laws at the EU level has brought about on growth over the last 40 years. Our main findings point to the existence of a positive long-run growth impact from the liberalisation of capital controls and the harmonisation of banking legislation. Both policy changes affect growth even after controlling for other pro-growth policies implemented around the same time and they are robust to business cycle effects that could spuriously drive the relation. The analysis of the main channels through which our policy changes may have affected growth indicates that the harmonisation process has impacted growth through the increase in the level and efficiency of financial intermediation and the liberalisation of capital controls has mainly affected growth through improvements in the degree of efficiency in financial intermediation. [Diego Romero De Ávila]
Author: De Ávila, Diego Romero
Series Title: Working paper series / European Central Bank ; 266
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: DeregulationSingle European marketEU countriesFinancial marketFinancial liberalizationEconomic Growth
Subject: Foreign trade. Trade relationsInternational investments. Capital movements
Online Ressource: vorübergehend nicht erreichbar!
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Title: Growth expectations, capital flows and international risk sharing
Abstract
Over the past decades, cross-border financial flows have increased in importance and have in many occasions exceeded the underlying current account positions. This phenomenon has been accompanied by an increase in the volume of international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response to shocks. We use a stylised two-bloc, two-period model of the global economy, with a simple stochastic productivity shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will attract equity inflows in excess of those needed to finance the current account. Upward-biased expectations about prospects for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show how ex post market losses - whether due to 'normal' stock market downturn or ex ante over-optimism - are distributed and how they affect global consumption and current account positions. The results suggest that international spillover effects of stock market bubbles can contribute to business cycle synchronisation across economic areas. [Olli Castrén, Marcus Miller and Roger Stiegert]
Author: Castrén, Olli | Miller, Marcus | Stiegert, Roger
Series Title: Working paper series / European Central Bank ; 237
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Stock MarketBubblesCapital mobilityBusiness cycle transmissionRiskTheoryWorldEconomic Growth
Subject: Economic and growth policiesInternational investments. Capital movements
Countries Scheme: Global Resources
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: International risk-sharing and the transmission of productivity shocks
Abstract
A central puzzle in international finance is that real exchange rates are volatile and, in stark contradiction to effcient risk-sharing, negatively correlated with cross-country consumption ratios. This paper shows that incomplete asset markets and a low price elasticity of tradables can account quantitatively for these properties of real exchange rates. The low price elasticity stems from distribution services, intensive in local inputs, which drive a wedge between producer and consumer prices and lower the impact of terms-of-trade changes on optimal agents' decisions. Two very different patterns of the international transmission of productivity improvements generate the observed degree of risk-sharing: one associated with a strengthening, the other with a deterioration of the terms of trade and real exchange rate. Evidence on the effect of technology shocks to U.S. manufacturing, identified through long-run restrictions, is found in support of the first transmission pattern, questioning the presumption that terms-of-trade movements foster international risk-pooling. [Giancarlo Corsetti, Luca Dedola and Sylvain Leduc]
Author: Corsetti, Giancarlo | Dedola, Luca | Leduc, Sylvain
Series Title: Working paper series / European Central Bank ; 308
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: International financial marketLaw of one pricePurchasing power parityOECD countriesProductivityShockTerms of tradeUnited States
Subject: Economic and growth policiesInvestment returns. Financial market. Interest ratesInternational investments. Capital movements
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: International equity flows and returns
Title (other): a quantative equilibrium approach
Abstract
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private investment opportunities. The model delivers a unified explanation for three stylized facts about US investors' international equity trades: (i ) trading by US investors occurs in bursts of simultaneous buying and selling, (ii ) Americans build and unwind foreign equity positions gradually and (iii ) US investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries. [Rui Albuquerque, Gregory H. Bauer and Martin Schneider]
Author: Albuquerque, Rui | Bauer, Gregory H. | Schneider, Martin
Series Title: Working paper series / European Central Bank ; 310
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Stock MarketAsymmetric informationForeign direct investmentFinancial marketCapital mobilityTheory
Subject: Investment returns. Financial market. Interest ratesInternational investments. Capital movements
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Current accounts dynamics in OECD and EU acceding countries
Title (other): an intertemporal approach
Abstract
The paper extends the standard intertemporal model of the current account to include two important stylised facts: (1) the persistence of current account positions and (2) the relevance of the fiscal balance. Specifically, the paper derives a closed form solution for consumption in the presence of habit persistence and liquidity constraints, which allows us to obtain a dynamic model for the current account where fiscal deficits have an effect. The model is estimated for a panel of 33 countries, including the ten EU acceding countries and structural current account positions are derived. A parsimonious specification including relative income, relative investment and the fiscal balance explains well past current account developments. A key finding of the paper is that, from an intertemporal perspective, current accounts in most acceding countries are currently broadly in line with their structural current account positions. [Matthieu Bussière, Marcel Fratzscher and Gernot J. Müller]
Author: Bussière, Matthieu | Fratzscher, Marcel | Müller, Gernot J.
Series Title: Working paper series / European Central Bank ; 311
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU enlargementCurrent account balanceOECD countriesEastern EuropeBorrowing constraints
Subject: International investments. Capital movements
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: On the determinants of euro area FDI to the United States
Title (other): the knowledge- capital-Tobin's Q framework
Abstract
The long-run determinants of euro area FDI to the United States during the period 1980-2001 are explained by employing the Tobin's Q-model of investment. By using the fixed effects panel estimator, stock market developments in the euro area countries - including a measure adjusted for economic developments common to both the United States and the euro area - are found to influence euro area FDI to the United States. Moreover, the inclusion of the Tobin's Q enhances the traditional knowledge-capital framework specification. Overall, the empirical findings suggest that euro area patents (ownership advantage), various variables related to productivity in the United States (location advantage), the volume of bilateral telephone traffic to the United States relative to euro area GDP (ownership advantage), euro area stock market developments (Tobin's Q), and the real exchange rate are statistically significant determinants of euro area FDI to the United States. [Roberto A. De Santis, Robert Anderton and Alexander Hijzen]
Author: Santis, Roberto A. De | Anderton, Robert | Hijzen, Alexander
Series Title: Working paper series / European Central Bank ; 329
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Foreign direct investmentEuropeanEuropean Economic and Monetary UnionTransnational corporationTobin's QUnited States
Subject: Currency. Monetary policyInternational investments. Capital movements
Countries Scheme: USA
Online Ressource: vorübergehend nicht erreichbar!
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Title: Les marchés boursiers en Europe centrale
Abstract
The securities markets in central and eastern Europe are small: the capitalisation in domestic shares in the 10 acceding countries represents barely 4 per cent of the capitalisation in Euronext. The capitalisation of these markets as share of the gross domestic product is still weak. However, the number of companies in the central and eastern European stock exchanges is equivalent to those in many of the EU member states and these companies have access to an important source of finance in the stock exchange. These markets primarily finance a certain number of companies that are very important for the local economy but too small to have effective access to capital in EU markets. The preservation of stock markets in central and eastern Europe is therefore desirable, even if entry into the European Union and implementation of the new European financial directives could seriously worsen their competitive environment. [Urheber s. Copyright]
Author: Cochard, Sébastien
Series Title: Revue Elargissement / Spécial Bourses ; 40
Contributer: French Ministry of Economy, Finance and Industry Department for External Economic Relations
Year: 2004
Language: fr
Ressource: Einzelne Berichte, Studien
Keyword: stock exchangeEU expansioncapital marketCentral Europe
Subject: European Community financial managementInvestment returns. Financial market. Interest ratesInternational investments. Capital movements
Countries Scheme: EASTERN EUROPE
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: French Ministry of Economy, Finance and Industry - Department for External Economic Relations (http://www.mi
Title: 2008 Neighbourhood Investment Facility : OPERATIONAL ANNUAL REPORT
Table of Contents
Foreword
Introduction
Description of Activities for the Year 2008
1. Meetings of the NIF Operational Board
2. Meetings of the Finance Institutions Group (FIG)
3. Projects that received a final approval of the NIF Operational Board
4. Projects that received a provisional approval of the NIF Operational Board
5. Sources of funding
6. Implementation of project approvals
7. Pipeline 2009 - 2010
8. Donor coordination
9. Approval of this report
Outlook for 2009
Annex – Description of Approved Projects (situation as at 31.12.2008)
a) Eastern Region (9 projects)
b) Southern Region (6 projects)
Author (Corp. Body): Europäische Kommission / Amt für Zusammenarbeit EuropeAid
Year: 2008
Language: en
Ressource: Einzelne Berichte, Studien
Keyword: development aidEUneighborhood help
Subject: Development aid. Aid programmes and aid organizationsInternational investments. Capital movements
Countries Scheme: Europe. General Resources
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Title: Screening report Montenegro : Chapter 4 – Free movement of capital
Author (Corp. Body): Europäische Kommission
Year: 2013
Language: en
Ressource: Einzelne Berichte, Studien
Keyword: EUjoining of the European Unionfreedom of movementcapital transactionsMontenegro
Subject: European Community external relationsInternational investments. Capital movements
Countries Scheme: Montenegro
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Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Kommission (http://ec.europa.eu/)
Title: Screening report Iceland : Chapter 4 – Free movement of capital
Author (Corp. Body): Europäische Kommission
Year: 2011
Language: en
Ressource: Einzelne Berichte, Studien
Keyword: EUjoining of the European UnionIcelandcapital transactions
Subject: European Community external relationsInternational investments. Capital movements
Countries Scheme: Iceland
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Kommission (http://ec.europa.eu/)
Title: Screening report Serbia : Chapter 4 – Free movement of capital
Author (Corp. Body): Europäische Kommission
Publisher: Europäische Kommission / Directorate General for Neighbourhood and Enlargement Negotiations
Year: 2016
ISBN / ISSN / Kat.Nr: MD 2/16
Language: en
Ressource: Einzelne Berichte, Studien
Keyword: EUjoining of the European Unionfreedom of movementcapitalSerbia
Subject: European Community external relationsInternational investments. Capital movements
Countries Scheme: Serbia
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Kommission (http://ec.europa.eu/)
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