319 research outputs found
Portfolio holdings in the euro area - home bias and the role of international, domestic and sector-specific factors
No full textThis paper aims to identify the determinants of portfolio restructuring in EMU member states since the introduction of the euro and especially during the financial turbulence of the past years. We find that, besides exchange rate volatility and traditional indicators of information and transaction costs, the perception of sovereign risk has become more important as a determinant of portfolio allocation. The shares of financial corporations have been affected disproportionately by this development. At the same time, banks substantially reduced their international investment, possibly the result of a deleveraging process. --Financial Integration,Home Bias,Institutional Sectors,Financial Crisis
Trade balances of the central and east European EU member states and the role of foreign direct investment
No full textGiven the large trade and current account deficits in some of the new EU member states the development of their external economic situation plays a role in assessing their aptitude to enter the European Monetary Union. The empirical analysis with aggregated data indicates that in the eight central and east European EU member states FDI and trade are complementary. This result is confirmed by an FDI enhanced gravity model which makes use of sectoral data provided by the Bundesbank's micro database direct investment (MIDI). The net effect of FDI on the trade balance is ambiguous, but FDI in high-tech industries clearly stimulates exports more than imports. Technological spill-over and the conglomeration of human capital seem to be important factors for the export performance. Against this background the prospects for the Czech Republic, Hungary, Slovenia and the Slovak Republic look more favourable compared to the Baltic states. --foreign direct investment,trade balance,gravity model
The international integration of money markets in the central and east European accession countries: deviations from covered interest parity, capital controls and inefficiencies in the financial sector
No full textBased on the concept of covered interest parity it is shown that the money markets in Poland, the Czech Republic, Hungary, and the Slovak Republic meanwhile display a high degree of international integration with the euro area. Integration has strengthened continuously in the review period of 1999 to mid 2002. The segmentation that could still be observed stems from both restrictions on the short-term movement of capital and the limited development of the financial sectors in the four accession countries. While almost all capital controls have since been removed and will no longer play a role after accession to the EU, the implementation and transmission of the single monetary policy within the Eurosystem will possibly be impeded, if the financial sectors in CEE are then still underdeveloped. -- Basierend auf dem Konzept der gedeckten Zinsparität wird gezeigt, dass die Geldmärkte in Polen, der Tschechischen Republik, Ungarn und der Slowakei inzwischen einen hohen Grad an internationaler Integration mit dem Euro-Raum aufweisen. Die Integration hat sich im Untersuchungszeitraum von 1999 bis Mitte 2002 kontinuierlich verstärkt. Für die noch zu beobachtende Segmentierung sind sowohl Beschränkungen des kurzfristigen Kapitalverkehrs als auch die geringe Entwicklung der Finanzsektoren in den Beitrittsländern verantwortlich. Während Kapitalverkehrskontrollen inzwischen fast vollständig abgebaut sind und nach einem EU-Beitritt keine Rolle mehr spielen werden, könnte innerhalb des Eurosystems die Implementierung und Transmission der gemeinsamen Geldpolitik beeinträchtigt werden, wenn die Finanzsektoren in Mittel- und Osteuropa noch unterentwickelt sind.
A Service of zbw Leibniz-Informationszentrum Wirtschaft Leibniz Information Centre for Economics Title: Real Financial Market Exchange Rates and Capital Flows Title: Real Financial Market Exchange Rates and Capital Flows Real Financial Market Exchange Rat
No full textStandard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Title: Real Financial Market Exchange Rates and Capital Flows Author: Maria Gelman, Axel Jochem, Stefan Reitz and Mark P. Taylor Abstract: Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which may be interpreted as a real effective financial exchange rate. The integrated stock-flow approach reveals that a county's real effective financial exchange rate is co-integrated with international investors' net foreign holding of its assets. The associated error correction equations have useful interpretations against the backdrop of uncovered return parity and investor portfolio rebalancing behavior. This paper provides new empirical evidence from an index of exchange-rate adjusted crosscountry asset price ratios, which may be interpreted as a real effective financial exchange rate. The integrated stock-flow approach reveals that a country's real effective financial exchange rate is cointegrated with international investors' net foreign holdings of its assets. The associated error correction equations have useful interpretations against the backdrop of uncovered return parity and investor portfolio rebalancing behavior. This paper provides new empirical evidence from an index of exchange-rate adjusted crosscountry asset price ratios, which may be interpreted as a real effective financial exchange rate. The integrated stock-flow approach reveals that a country's real effective financial exchange rate is cointegrated with international investors' net foreign holdings of its assets. The associated error correction equations have useful interpretations against the backdrop of uncovered return parity and investor portfolio rebalancing behavior. JEL: F31, G15, E5
Image guidance to improve reliability and data integrity of transcranial Doppler sonography
No full textBackground: Principles and accuracy of image-guided transcranial Doppler (IG TCD) sonography have been published recently. However, it remains open whether combination of image guidance and TCD offers an additional clinical advantage. This study scores the accuracy of conventional TCD examinations and investigates the potential improvement of TCD data integrity and reliability regarding the additional use of IG. Methods: Conventional TCD was performed by a group of experienced investigators, who were blinded to images of a navigation system tracking the Doppler probe, whereas an independent observer documented the TCD findings, acquired by the investigators, due to saving spatial data of the TCD sample volume using IG for subsequent analysis. In a second set of experiments, image guidance was available to investigators without any previous TCD experience. Results: The analysis of 3D data of vessels (n = 173) labeled by experienced investigators in conventional TCD, revealed a rate of 37% misinterpreted Doppler signals regarding the target vessel. Correctness of labeling was comparable between the different vascular segments. The rate of correct labeling was higher for right- (69%) than for left-sided vessels (57%). In comparison, by using IG, TCD investigators without any previous TCD experience achieved a significantly lower rate of 10% (n = 39) mislabeled vessels. Conclusions: Our data suggest, that misinterpretation of the vascular source of the Doppler signal is a common source of errors in conventional TCD. Visualization of the vascular anatomy by image guidance offers improved accuracy and reliability of TCD results and may positively influence the learning curve for inexperienced investigators. (C) 2013 Published by Elsevier B.V
Determinants of current account developments in the central and east European EU member states - consequences for the enlargement of the euro area
No full textThe current accounts of most EU member states in central and eastern Europe have been showing growing deficits in recent years. According to panel estimates the deficits can be attributed primarily to factors characteristic for the stage of development, ie the relative income level and high capital building. The positive impact of a closing income gap, however, is largely compensated by real appreciation. The net effect of government budget deficits is rather small, since they are mostly financed by private saving. Further integration of the financial sector is likely to improve the current accounts. Although the current account positions do not require fundamental policy reversals, there are clear risks of exchange rate adjustments that should be reduced before entering the euro area. --current account,new EU member countries,catching-up process
Real-time macroeconomic data and ex ante predictability of stock returns
No full textWe report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante stock-return predictability. 2) The performance of an investor who had to rely on noisy real-time macroeconomic data would have been comparable to the performance of an investor who had access to revised macroeconomic data. 3) In real time, it is important for an investor to know which real-time variable to use for predicting stock returns. --Ex ante predictability of stock returns,real-time macroeconomic data,performance of investment strategies,Germany
Forecasting stock market volatility with macroeconomic variables in real time
No full textWe compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is that the statistical and economic value of volatility forecasts based on real-time data is comparable to the value of forecasts based on revised macroeconomic data. --Forecasting stock market volatility,Real-time macroeconomic data,Evaluation of forecasting accuracy
Real-time forecasting and political stock market anomalies: evidence for the U.S.
No full textUsing monthly data for the period 1953-2003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns. Our empirical findings show that political variables, selected on the basis of widely used model selection criteria, are often included in real-time forecasting models. However, they do not contribute to systematically improving the performance of simple trading rules. For this reason, political stock market anomalies are not necessarily an indication of market inefficiency. --Political stock market anomalies,predictability of stock returns,efficient markets hypothesis,real-time forecasting
Sticky prices in the euro area: a summary of new micro evidence
No full textThis paper presents original evidence on price setting in the euro area at the individual level. We use micro data on consumer (CPI) and producer (PPI) prices, as well as survey information. Our main findings are: (i) prices in the euro area are sticky and more so than in the US; (ii) there is evidence of heterogeneity and of asymmetries in price setting behaviour; (iii) downward price rigidity is only slightly more marked than upward price rigidity and (iv) implicit or explicit contracts and coordination failure theories are important, whereas menu or information costs are judged much less relevant by firms. --Price setting,Price stickiness,Consumer prices,Producer prices,survey data
- …
