|
|
2006 Lamfalussy Fellows
The 2006 Lamfalussy fellows are: - Paul Ehling, Associate Professor of Finance, BI Norwegian School of Management, Department of Financial Economics
Research project: FDI and portfolio flows between Europe, Japan, and the US
The phenomenal growth rate of capital flows in the 1990s has recently attracted great research interest. A lot attention has notably been paid to economic determinants of foreign direct investments (FDI) and to the correlations between portfolio flows (both equity and debt). This project aims at analysing the joint determinants of FDI and portfolio flows between Europe, Japan, and the US. Using a time series from the Deutsche Bundesbank over 34 years with quarterly observations of direct and portfolio investments between Germany (a proxy for Europe), Japan, and the US, the Fellow proposes a test of whether or not investment flows can be explained by a few standard variables such as stock market returns and exchange rate dynamics.
- Refet Gürkaynak, Assistant Professor, Bilkent University, Department of Economics
Research project: Synchronization of sovereign yield curves in the Eurozone
The main focus of this research project is the degree of synchronization of movements of sovereign yield curves in Europe with respect to news originating from different Eurozone countries, before and after the foundation of the European Central Bank. For example, does the German yield curve respond to a surprise GDP release in France the way the French yield curve does? Has this relationship changed over time, in particular, have the conditional variances (conditional on surprises in economic news) of sovereign yield curves converged after the transition to a single monetary policy? Or are bond markets still segmented with respect to the issuing country, over and above the differences imparted by differing credit ratings?
Forthcoming in the Review of Economics and Statistics "The Convergence and Anchoring of Yield Curves in The Euro Area" (with Michael Ehrmann, Marcel Fratzscher and Eric Swanson).
- Rocco Huang, PhD. Student, University of Amsterdam
Research project: Banking market integration and local economy
Before removal of restrictions on banks? geographic expansions, the United States had in effect numerous fragmented banking systems that nevertheless use the same currency. The purpose of the project is to evaluate the potential benefits and costs of the ongoing European banking market integration by using the American banking market deregulation of the eighties as a benchmark. Results from America are useful for the EU in two equally interesting ways. First, if one thinks of all European countries as counties within the same American state, then one can simulate European banking market integration's economic effects (on both level and volatility of the economy) by evaluating the changes that took place after American states deregulated their banking sector. Second, if one thinks of American states as fifty separated nations, the upper-bound benefit for European banking integration should be comparable to the economic benefit gained when the US removed restrictions on interstate banking.
Forthcoming in the Journal of Financial Economics "The Real Effect of Bank Branching Deregulation: Comparing contiguous countries across U.S. state borders."
- Julian Obreja, PhD. Student, Carnegie Mellon University, David A. Tepper School of Business
Research project: Default risk premia in European bond markets: an empirical investigation into the pricing of credit risk
Recent empirical studies in financial economics suggest that the compensation demanded by investors for holding credit risk (the so-called 'default risk premium') is substantial with respect to the expected loss and varies dramatically over short horizons of time. This project aims at answering the following question: do default risk premia reflect compensations for systematic risk and/or firm characteristics? In a first step, the Fellow will investigate whether default risk premia represent a compensation for exposure to common risk factors or to a large, non-diversifiable, idiosyncratic risk component. In a second step, he will investigate whether specific firm characteristics such as firm size, leverage ratio, or credit rating can be successful in explaining default risk premia.
- Jörg Rocholl, Assistant Professor, University of North Carolina at Chapel Hill, Kenan-Flagler Business School
Research project: Bank mergers and lending practices
There is a large literature analysing bank mergers and their impact for client firms. This project focuses on the impact of bank mergers on banks' lending behaviour. The aim of the project is to explicitly model mergers in the German banking market and get around two important shortcomings of the existing literature in the field, namely: the lack of data on the individual bank-firm relationships and the separation of the various effects at play such as the competitive and efficiency effects, or the effects of hard versus soft information. The Fellow will do so by using German data over the period 1992-2002 and the specific institutional context and regulations in Germany, which restricted competition among both savings and cooperative banks.
|
|
