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  • Externe Monographien

    Consistency of Diversification Patterns with Investors' Risk Attitudes: Evidence from German Household Portfolios

    Jönköping: Jönköping International Business School, 2010, 30 S.
    (JIBS Working Papers ; 2010-4)
    | Nataliya Barasinska, Dorothea Schäfer, Andreas Stephan
  • Externe Monographien

    Corporate Debt Maturity Choice in Emerging Financial Markets

    Jönköping: Jönköping International Business School, 2010, 35 S.
    (JIBS Working Papers ; 2010-2)
    | Andreas Stephan, Oleksandr Talavera, Andriy Tsapin
  • Diskussionspapiere 1080 / 2010

    Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market

    Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory-depletion risk being their main concern, ...

    2010| Guglielmo Maria Caporale, Alessandro Girardi, Paolo Paesani
  • Refereed essays Web of Science

    Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?

    The real interest parity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper investigates whether the nominal exchange rate regime has an impact on RIP. The analysis is based on 15 annual ...

    In: North American Journal of Economics and Finance 21 (2010), 3, S. 274-285 | Christian Dreger
  • Diskussionspapiere 1058 / 2010

    Differential Income Taxation and Household Asset Allocation

    This paper empirically investigates the effects of differential income taxation on households' portfolio choice and asset allocation applying a two-stage budgeting model of asset demand to German survey data. The model is structured into the discrete asset choice and the continuous asset choice, and the marginal income tax rate is simulated in a module of income taxation. Households that face relatively ...

    2010| Richard Ochmann
  • Diskussionspapiere 1040 / 2010

    Driven by the Markets? ECB Sovereign Bond Purchases and the Securities Markets Programme

    After the dramatic rescue package for the euro area, the governing council of the European Central Bank decided to purchase European government bonds - to ensure an “orderly monetary policy transmission mechanism”. Many observers argued that, by bond purchases, national fiscal policies could from now on dominate the common monetary policy. This note argues that they are quite right. The ECB has indeed ...

    2010| Ansgar Belke
  • Diskussionspapiere 1023 / 2010

    Regionality Revisited: An Examination of the Direction of Spread of Currency Crisis

    What determines the direction of spread of currency crises? We examine data on waves of currency crises in 1992, 1994, 1997, and 1998 to evaluate several hypotheses on the determinants of contagion. We simultaneously consider trade competition, financial links, and institutional similarity to the "ground-zero" country as potential drivers of contagion. To overcome data limitations and account for model ...

    2010| Amil Dasgupta, Roberto Leon-Gonzalez, Anja Shortland
  • Diskussionspapiere 1009 / 2010

    EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?

    We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are assigned lower ratings, ceteris paribus, than "old" ones. We find that country-specific factors (in the form of heterogeneous intercepts) are a crucial determinant of ...

    2010| Guglielmo Maria Caporale, Roman Matousek, Chris Stewart
  • Diskussionspapiere 1006 / 2010

    Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models

    This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by Robinson (1995a), and shown by Arteche (2004) to be consistent and asymptotically normal in the context of signal ...

    2010| Guglielmo Maria Caporale, Luis A. Gil-Alana
  • Weekly Report 14 / 2010

    Microlending: Is There Demand for Such Loans in Germany?

    A lack of financial means is viewed as a key reason why small businesses fail. Therefore, also in Germany several institutions tried to establish microloans as a financing tool. A first empirical study, building a benchmark for similar studies in Western Europe, shows that about 15 percent of all self-employed individuals would be interested in getting access to microloans. The study also demonstrates ...

    2010| Alexander S. Kritikos, Christoph Kneiding
890 results, from 691