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101 records from EconBiz based on author Name
1. Lucas paradox and allocation puzzle : is the euro area different?
abstractThis paper examines the Lucas Paradox and the Allocation Puzzle of international capital flows referring to a panel data set of EMU countries and major industrialized and emerging economies. Overall, the results do not provide evidence in favour of the Lucas Paradox and the Allocation Puzzle. Rather, in line with neoclassical expectations, net capital flows are allocated according to income and growth differentials. The “downhill” flow of capital from rich to poor economies was particularly pronounced in intra-euro area capital flows and after the introduction of the common currency. If we control for the fact that the assumptions of the neoclassical model are not perfectly given in emerging markets, the Lucas Paradox and the Allocation Puzzle can be dismissed for these countries too. However, in periods of financial stress, the neoclassical behaviour of financial flows is to some extent dampened.
Herrmann, Sabine; Kleinert, Jörn;2014
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
Link 2. Lucas Paradox and Allocation Puzzle : is the euro area different?
abstractThis paper examines the Lucas Paradox and the Allocation Puzzle of international capital flows referring to a panel data set of EMU countries and major industrialized and emerging economies. Overall, the results do not provide evidence in favour of the Lucas Paradox and the Allocation Puzzle. Rather, in line with neoclassical expectations, net capital flows are allocated according to income and growth differentials. The downhillʺ flow of capital from rich to poor economies was particularly pronounced in intra-euro area capital flows and after the introduction of the common currency. If we control for the fact that the assumptions of the neoclassical model are not perfectly given in emerging markets, the Lucas Paradox and the Allocation Puzzle can be dismissed for these countries too. However, in periods of financial stress, the neoclassical behaviour of financial flows is to some extent dampened.
Herrmann, Sabine; Kleinert, Jörn;2014
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link
3. Current account adjustment in EU countries : does euro-area membership make a difference?
abstractThe paper evaluates current account dynamics in countries with different exchange rate regimes within the EU. In this, the empirical analysis explicitly differentiates between countries with a flexible and a fixed exchange rate regime and members of a monetary union. In addition, we model the adjustment process of external disequilibria by referring to the flexibility of exchange rates and interest rates. The sample covers annual data for 27 EU countries from 1994 to 2011. The estimation is based on a simple autoregressive model and comes to the conclusion that current account adjustment is significantly hampered in countries that are members of a monetary union. This holds particularly in comparison with floating exchange rate regimes owing to lower exchange rate flexibility. However, the persistence of current account balances in member countries of a monetary union is also more pronounced than in fixed-rate regimes due to less flexible interest rates as a result of the single monetary policy.
Herrmann, Sabine; Jochem, Axel;2013
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
Link 4. The determinants of cross-border bank flows to emerging markets : new empirical evidence on the spread of financial crises
Herrmann, Sabine; Mihaljek, Dubravko;2011
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link
Link 5. Do We Really Know that Flexible Exchange Rates Facilitate Current Account Adjustment? Some New Empirical Evidence for CEE Countries
abstractThis paper examines the relationship between the exchange rate regime and the pace of current account adjustment. The panel data set we refer to includes 11 catching-up countries from central, eastern and south-eastern Europe between 1994 and 2007. The exchange rate regime is measured by a continuous z-score measure of exchange rate volatility proposed by Gosh, Gulde and Wolf (2003). Based on a basic autoregression estimation, the results indicate that a more flexible exchange rate regime significantly enhances the rate of current account adjustment
Herrmann, Sabine;2016
Availability: Link Link
Citations: 3 (based on OpenCitations)
6. The Determinants of Cross-Border Bank Flows to Emerging Markets : New Empirical Evidence on the Spread of Financial Crises
abstractThis paper studies the nature of spillover effects in bank lending flows from advanced to the emerging market economies and identifies specific channels through which such effects occur. Based on a gravity model we examine a panel data set on cross-border bank flows from 17 advanced to 28 emerging market economies in Asia, Latin America and central and eastern Europe from 1993 to 2008. The empirical analysis suggests that global as well as country specific factors are significant determinants of cross-border bank flows. Greater global risk aversion and expected financial market volatility seem to have been the most important factors behind the decrease in cross-border bank flows during the crisis of 2007-08. The withdraw of cross-border loans from central and eastern Europe was more limited compared to Asia and Latin America, in large measure because of the higher degree of financial and monetary integration in Europe, and relatively sound banking systems in the region. These results are robust to various specification, sub-samples and econometric methodologies
Herrmann, Sabine; Mihaljek, Dubravko;2016
Availability: Link Link
7. Determinants of Current Account Developments in the Central and East European EU Member States - Consequences for the Enlargement of the Euro Area
abstractThe 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
Herrmann, Sabine; Jochem, Axel;2016
Availability: Link Link
Citations: 20 (based on OpenCitations)
8. Trade Balances of the Central and East European EU Member States and the Role of Foreign Direct Investment
abstractGiven the large trade and current account deficits in some of the new EU member states
Herrmann, Sabine; Jochem, Axel;2016
Availability: Link Link
Citations: 4 (based on OpenCitations)
9. The International Integration of Foreign Exchange Markets in the Central and East European Accession Countries : Speculative Efficiency, Transaction Costs and Exchange Rate Premiums
abstractA test of speculative efficiency on the foreign exchange markets of Poland, the CzechIm Rahmen eines Tests der spekulativen Effizienz auf den Devisenmärkten Polens, der
Herrmann, Sabine; Jochem, Axel;2016
Availability: Link Link
10. 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
abstractBased on the concept of covered interest parity it is shown that the money markets inBasierend auf dem Konzept der gedeckten Zinsparität wird gezeigt, dass die Geldmärkte in
Jochem, Axel; Herrmann, Sabine;2016
Availability: Link Link
Citations: 2 (based on OpenCitations)