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Christian Rudolf RICHTER,Bachar FAKHRY
Pág. 524 - 535
JEL. B23, C12, C13, C58, G01, G14, G15, H63.
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Olivier Niyitegeka and Alexis Habiyaremye
We employ wavelet analysis using the maximum overlap discrete wavelet transform (MODWT) to examine the return and volatility interconnectedness between the German equity market (a prominent representative of the Eurozone market) and the BRICS countries o...
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Carlos J. Rincon and Anastasiia V. Petrova
This study assesses the effects of the European Central Bank?s (ECB) unconventional monetary policy (UMP) on the prices of selected European stock market indices during the European sovereign debt (2010?2012) and the COVID-19 pandemic (2020?2022) crises ...
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Ad van Riet
Pág. Finance an - 57
European financial regulation consistently gives governments privileged access to private investors, reflecting the anchor role assigned to sovereign securities as safe and liquid assets for the financial system. Legislative reforms after the financial c...
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Esteban Serrano-Monge
For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to e...
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Musumba Batondo and Josine Uwilingiye
During the past two decades, financial markets across the globe have experienced sporadic waves of crashes. Such waves raise concerns about the vulnerability of global financial markets and the transmission mechanisms of shocks beyond borders. The curren...
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Christoph Wegener and Tobias Basse
This empirical study estimates 18 single and 18 three-factor models and then tests for structural change. Break dates are identified where possible. In general, there is some empirical evidence for parameter instabilities of the estimated beta coefficien...
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Michail Nerantzidis, Nikolaos Stoupos and Panayiotis Tzeremes
This paper examines the time-varying spillover effects and connectedness between the euro and other EU and non-EU currencies after the end of the sovereign-debt crisis. We employ the Quantile Vector Autoregression connectedness approach using intraday da...
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Sanveer Hariparsad and Eben Maré
In this paper, we analysed several emerging market (EM) and developed market (DM) sovereign yield curves to identify the proportion of parallel and non-parallel shifts over time. We found that non-parallel shifts are more prevalent in EM due to higher po...
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Nikolaos Petrakis, Christos Lemonakis, Christos Floros and Constantin Zopounidis
The joint effect of the global economic and sovereign debt crisis forced the European Central Bank (ECB) to apply conventional and non-standard expansionary monetary policy interventions in order to stabilize eurozone economies. We conducted a panel regr...
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Dirceu Pereira
Pág. 1 - 44
This research analyzes and extends the study of contagion for BRICS emerging stock markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes...
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Dora Almeida, Andreia Dionísio, Muhammad Enamul Haque and Paulo Ferreira
The economic growth of China has been driven by the development of its real estate market, especially after the 2008 crisis. This growth is mostly related to the huge housing bubble and growing amounts of sovereign debt that have been redirected to corpo...
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Athanasios Tsagkanos, Konstantinos Gkillas, Christoforos Konstantatos and Christos Floros
The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 Ja...
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Michele Anelli, Michele Patanè, Mario Toscano and Stefano Zedda
The recent financial crisis offered an interesting opportunity to analyze the markets? behavior in a high-volatility framework. In this paper, we analyzed the price discovery process of the Italian banks? Credit Default Swap (CDS) spreads through the Mer...
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Wojciech Grabowski
In this paper, time-varying co-movements between the stock markets of Poland, the Czech Republic, Hungary, and the capital markets of developed countries in stable and crisis periods are studied. The parameters of the VAR-AGDCC-GARCH (Vector Autoregressi...
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Jane Mpapalika and Christopher Malikane
This paper investigates the determinants of the sovereign risk premium in African countries. We employ the dynamic fixed effects model to determine the key drivers of sovereign bond spreads. Country-specific effects are fixed and the inclusion of dummy v...
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Yiannis Kokkinakis
Pág. 1072 - 1080
Capital investments by Greek banks in South Eastern Europe expanded rapidly during the period immediately before and after the introduction of the Euro. Through mergers and acquisitions, direct investments in a network of affiliated banks and subsidiary ...
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Pablo Castellanos García, Indalecio Pérez Díaz del Río, Jose Manuel Sanchez-Santos
Pág. 148 - 161
The aim of this paper is to verify the existence and to determine the nature of long-term relationships between economic agents? confidence, measured by the Economic Sentiment Index (ESI), with some of the "fundamentals" of the Spanish economy. In partic...
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Katia Rocha,Ajax Moreira
Pág. 31 - 48
Country risk or sovereign spreads affect directly the investment of companies and sovereigns, being an important figure to domestic interest rates and to economic growth. This paper analyzes the impact of fiscal policy on the determinants of the sovereig...
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Bruno Ferreira Frascaroli,Luciano da Costa Silva,Osvaldo Cândido da Silva Filho
Pág. 73 - 106
To minimize the consequences of asymmetric information, the sovereign risk ratings are instruments that constitute a key piece in the determination of credit market conditions, essential to the growth of developing countries like Brazil. In the present w...
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