The ZEW Financial Market Survey Panel Brückbauer, Frank; Schröder, Michael
Jahrbücher für Nationalökonomie und Statistik,
06/2023, Volume:
243, Issue:
3
Journal Article
Peer reviewed
Open access
The ZEW Financial Market Survey is a monthly panel survey among financial market experts that was launched in December 1991. The survey focuses on the experts’ expectations about international ...financial markets and macroeconomic developments. We describe the ZEW Financial Market Survey and the resulting research dataset, which is available for free for academic researchers, is large and includes long individual time series (99,001 responses by 2002 respondents, as of September 2021), and contains rich information on the financial market experts collected over the years and which can be combined with the data on expectations.
This study uses event-study methodology to estimate the impact of the COVID-19 pandemic on the transmission of monetary policy to financial markets, based on a sample of 37 countries with severe ...pandemics. Financial markets include government bond, stock, exchange rate and credit default swap markets. The results suggest that the emergence of pandemic has weakened the transmission of monetary policy to financial markets to a more significant degree. During our sample period following the outbreak of pandemic, neither conventional nor unconventional monetary policies have significant effects on all four of the financial markets. Of course, the unconventional monetary policies are slightly more effective as they can affect the stock and exchange rate markets to some extent. Therefore, in the post-pandemic period, if the monetary policy is used to stimulate financial markets, stronger policy adjustments, or other macro policies such as fiscal policies, may be needed to achieve the desired effect
•Impact of COVID-19 on monetary policy transmission to financial markets.•Emergence of pandemic has weakened monetary policy transmission.•Unconventional monetary policies are more effective during the pandemic.•A stronger monetary policy is needed in the post-pandemic period.
What are the effects of monetary policy on exchange rates? And have unconventional monetary policies changed the way monetary policy is transmitted to international financial markets? According to ...conventional wisdom, expansionary monetary policy shocks in a country lead to that country's currency depreciation. We revisit the conventional wisdom during both conventional and unconventional monetary policy periods in the US by using a novel identification procedure that defines monetary policy shocks as changes in the whole yield curve due to unanticipated monetary policy moves and allows monetary policy shocks to differ depending on how they affect agents' expectations about the future path of interest rates as well as their perceived effects on the riskiness/uncertainty in the economy. Our empirical results show that: (i) a monetary policy easing leads to a depreciation of the country's spot nominal exchange rate in both conventional and unconventional periods; (ii) however, there is substantial heterogeneity in monetary policy shocks over time and their effects depend on the way they affect agents' expectations; (iii) we find favorable evidence to Dornbusch's (1976) overshooting hypothesis; (iv) changes in expected real interest rates play an important role in the transmission of monetary policy shocks.
Abstract
Over the past millennium, China has relied on the Confucian clan to achieve interpersonal cooperation, focusing on kinship and neglecting the development of impersonal institutions needed ...for external finance. In this paper, we test the hypothesis that the Confucian clan and financial markets are competing substitutes. Using the large cross-regional variation in the adoption of modern banks, we find that regions with historically stronger Confucian clans established significantly fewer modern banks in the four decades following the founding of China's first modern bank in 1897. Our evidence also shows that the clan continues to limit China's financial development today.
In this paper, we combine the time-varying financial network model and FARM-selection approach to analyze the tail risk contagion between international financial market during the COVID-19 epidemic. ...Since the tail risk acts as a global transmission channel, we use the sample of 19 international financial markets to explore the contagion of tail risk during the epidemic. We find that the COVID-19 epidemic increases the number of contagion channels in the international financial system. The clustering level of the financial system has a significant growth during the COVID-19 pandemic, and the number of risk drivers is also larger than risk takers. The key financial market of each international financial network is related to the epidemic country. We also consider the tail risk contagion in local financial markets and find that the COVID-19 pandemic has an important influence on the tail risk contagions in local network systems
•Introducing Factor-Adjusted Regularized Model (FARM) selection method into the research on tail risk.•Combines FARM-selection and the rolling-window financial network model to study the tail risk contagion between international markets.•Analyzes the tail risk contagion from the aspects of clustering level, risk drivers and takers.•Provides some implications of the impact of the COVID-19 epidemic.
The paper investigates the long-run output effects of international financial integration, and in particular their dependence on a country's institutions as proxied by the quality of governance and ...the level of domestic financial market development. The econometric framework takes account of heterogeneous short- and long-run dynamics, state-dependent thresholds for governance quality and financial development, cross-sectional dependence, output levels and growth rates, and the potential endogeneity of international financial integration. New indices capturing multiple dimensions of governance quality and domestic financial markets are used. Using a sample of 49 relatively large advanced and emerging market economies over the period 1971-2015, the empirical results suggest that a country's output benefits from international financial integration if it has sufficiently good governance and a reasonably developed domestic financial system; and above the thresholds such benefits generally increase with measures of good governance and the development of the domestic financial system. Output gains from international financial integration are estimated to be modest, especially for less developed countries.
•We model the impact of financial integration on economic performance in Sub-Saharan African (SSA) region.•This research sought to examine both the direct and indirect impacts of financial ...integration policies.•We use 30 SSA countries over the period of 1976–2010.•This study considers the tripartite relationship between financial openness, financial market development and economic growth.
This study uses a dynamic system GMM model and panel data of 30 Sub-Saharan African (SSA) countries from 1976 to 2010 to investigate the impact of international financial integration (IFI) on economic performance. While also examining both the direct and indirect channels through which the effect of financial integration works, our research considers the tripartite relationship between financial openness, financial market development and economic growth. We test the simultaneous openness hypothesis of Rajan and Zingales and examine joint influence of both capital and trade openness on financial development in the region.
While using a wide array of measures of financial market development capturing activity and size of financial intermediation and rule-based and quantity-based indicators of IFI, our result shows a negative association between financial integration and economic growth rate in SSA countries, contrary to the theoretical expectation. However, the study identifies a positive and significant association between IFI and financial development, supporting the indirect hypothesis view that IFI may positively influence economic growth through enhancing the depth of the domestic financial system. We observe empirical evidence supporting the simultaneous openness hypothesis in the SSA region. Policy wise, we argue that SSA countries should put in place and strengthen institutions of governance (security of property rights, transparency of legal system and investor-friendly laws) and enhance human capital formation to facilitate technology diffusion and cross-border capital flows.
•We examine information transmission mechanisms generally.•We show that these are subject to exogenous shocks such as that from Covid19.•We study the rapidly evolving and voluminous literature on ...this area and draw conclusions.
Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of contagion phenomenon. This paper provides a review of conceptual approaches to studying financial contagion at four levels of information transmission: (i) Catalyst of contagion; (ii) Media attention; (iii) Spillover effect at financial markets; (iv) Macroeconomic fundamentals. We discuss the unique characteristics of COVID-19 crisis and demonstrate how this shock differs from previous crises and to what extent the COVID-19 pandemic can be considered a ‘black swan’ event. We also review the main concepts, definitions and methodologies that are frequently, but inconsistently, used in contagion literature to unveil the existing problems and ambiguities in this popular area of research. This paper will help researchers to conduct coherent and methodologically rigorous research on the impact of COVID-19 on financial markets during the pandemic and its aftermath.
This paper examines the price and volatility dynamics between China and major stock markets in the Asia-Pacific, investigating the effects of the Chinese stock market crash (2015–2016) for the first ...time. Employing the Bayesian VAR and BEKK GARCH, we observe that price and volatility spillover behaviours are different during the stable and stress periods. Particularly, price spillovers from China to other regional markets are more significant during a bullish period, showing that ‘good news’ emanating from China has strong impacts on its neighbours during better market condition. In the turbulent period, we observe strong shock spillover effects and enhanced volatility spillovers from China to most Asia-Pacific stock markets. This is because China, as an important trading partner and strategic financial centre shows to exert significant influence on the Asia-Pacific region through various economic channels. We also find that the Asia-Pacific stock markets spill over their shocks to China during the crisis, indicating that China is becoming more integrated with the regional financial markets.
•We investigate volatility dynamics between China and Asia-Pacific markets around China's crash.•Price spillovers from China to other regional markets are more significant before the crash.•Strong shock and volatility spillovers from China to major Asia-Pacific markets are observed.•Volatility spillover effects from China to Asia-Pacific region are enhanced during the crash.•Our findings indicate increasing regional integration and China as an emerging financial powerhouse.
We perform the longest and broadest study of time variation in global financial market integration ever conducted. Using a unique comprehensive dataset, we examine returns on equities, government ...bonds, treasury bills, and currencies in 83 countries through a period of almost two centuries. The study discloses that the integration progresses in peaks and troughs instead of linearly. Although the post-2000 markets exhibit the strongest integration in history, certain asset classes in 1860 and 1930 recorded comparable levels. The high degree of current integration is a result of the surge that commenced as recently as 1970, rather than a consequence of a multi-century gradual process.
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•We perform the longest study of global financial integration ever conducted.•We examine returns on four asset classes in 83 countries through two centuries.•The integration progresses in peaks and troughs instead of linearly.•The post-2000 markets exhibit the strongest integration in history.•However, certain asset classes in 1860 and 1930 recorded comparable levels.
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