Homepage of Marcel
Fratzscher
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Welcome to my personal homepage. The purpose of this homepage is to provide
an overview of my recent research and policy papers and related issues. It
also provides an outline of the course in “International Finance” that I am
teaching in the Ph.D. programme in Economics at
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Contact information:
European Central Bank Phone: +49
(0) 69 1344 6871 |
Syllabus, Ph.D. course
International Finance, Frankfurt University |
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Research and policy papers
1.
International finance Risk
sharing, finance and institutions in international portfolios, Co-author:
J. Imbs, CEPR Discussion Paper No. 6496, ECB WP No. 826, September
2007. [link
to pdf] US
shocks and global exchange rate configurations, ECB
WP No. 835, forthcoming Economic Policy. [link
to pdf] The
pecking order of international financial integration, Co-author:
C. Daude, Journal of International Economics 74(1), 94-119, 2008. [link to pdf] Oral
interventions versus actual interventions in FX markets – An event-study
approach, forthcoming Economic
Journal. [link
to pdf] The
transmission of emerging market shocks to global equity markets, Co-authors:
L. Cuadro and C. Thimann, ECB Working Paper No. 724, February 2007. [link to pdf] Financial globalization and integration, Co-author:
Philipp Hartmann, Journal of International Money and Finance 26:
495-99, June 2007. Home
bias in global bond and equity markets: the role of real exchange rate
volatility, Co-authors: M. Fidora and C.
Thimann, Journal of International Money
and Finance, 26: 631-55, June 2007. [link to pdf] Stocks,
bonds, money markets and exchange rates: Measuring international financial
transmission, Co-authors:
M. Ehrmann and R.
Rigobon, NBER Working Paper No.
11166, March 2005.
[link to pdf] On
the long-term effectiveness of exchange rate communication and interventions, Journal
of International Money and Finance 25(1): 146-67, February 2006. [link to pdf] Strategies
of exchange rate policy in G3 economies, Economics Letters 89(1): 68-74, October 2005. [download pdf] Communication and exchange
rate policy,
ECB Working Paper No. 363, May 2004. [link
to pdf] Equal size, equal role?
Interest rate interdependence between the euro area and the Exchange rates and
fundamentals: new evidence from real-time data, Co-author: M. Ehrmann, Journal of International Money
and Finance 24:
317-41, March 2005. [link to pdf] Financial Market Integration
in 2.
International macro Asset
prices, exchange rates and the current account, Co-authors:
L. Juvenal and L. Sarno, ECB Working Paper No. 790, August 2007. [link
to pdf] Convergence
and anchoring of yield curves in the euro area, Co-authors:
M. Ehrmann, R. Gürkaynak and E. Swanson, CEPR
Discussion Paper No. 6456, ECB WP No. 817. [link to pdf] Productivity shocks, budget
deficits and the current account, Co-authors: M.
Bussiere and G. Mueller, ECB Working Paper No. 509, August 2005. [link
to pdf] Capital account
liberalisation, uncertainty and debt structure, Co-authors: M. Bussiere and W. Koeniger,
The B.E. Journals in Macroeconomics
Vol. 6(1): Article 5, March 2006. [link
to pdf] Financial openness and growth:
short-run gain, long-run pain? Co-author: M.
Bussiere, Review
of International Economics 16(1), 69–95, 2008. [link
to pdf] Exchange-rate regimes and
debt-maturity structure, Co-authors: M. Bussiere and W. Koeniger,
in International Monetary Fund: 60 Years
of Bretton Woods, conference volume of
international symposium of June 2004. [download
pdf] Current
account dynamics in OECD and new EU member states: An intertemporal
approach, Co-authors:
M. Bussiere and G.
Mueller, Journal of Economic Integration 21(3): 593-618, September 2006. [link
to pdf] The Euro Bloc, the Dollar
Bloc, and the Yen Bloc: How much Monetary Policy Independence can Exchange Rate Flexibility
Buy in an Interdependent World? In: ECLAC (Ed.): Towards Regional Currency Areas, UN
Economic Commission For 3.
Monetary policy Central bank communication and monetary policy: A survey of the
evidence Co-authors: Alan Blinder, M.
Ehrmann, J. de Haan, D.-J. Jansen, forthcoming Journal of Economic Literature. Purdah, Co-author: M.
Ehrmann, forthcoming Journal of Money,
Credit and Banking. Social
value of public information – testing the limits to transparency, Co-author: M.
Ehrmann, ECB WP No. 821, October 2007. Explaining
monetary policy decisions in a press conference, Co-author:
M. Ehrmann, ECB Working Paper No. 767, June 2007. Communication and decision-making by
central bank committees: different strategies, same effectiveness? Co-author:
M. Ehrmann, Journal of Money, Credit and
Banking 39(2–3):
509-41, March-April 2007. [link to pdf]
Geography or skills: What explains Fed watchers’ forecast accuracy of Monetary policy in the media, Co-authors: H. Berger and M. Ehrmann, ECB Working Paper No. 679,
September 2006. [link to pdf] Global
financial transmission of monetary policy shocks, Co-author:
M. Ehrmann, ECB Working Paper No. 616, April 2006. [link to pdf] Forecasting ECB
monetary policy: Accuracy is (still) a matter of geography, Co-authors: H. Berger
and M. Ehrmann, ECB Working Paper No. 578, and IMF Working Paper No.
06-41, January 2006. [link to pdf]
How should central banks communicate? Co-author: M. Ehrmann, ECB Working Paper No. 557, November 2005. [link to pdf]
The timing of central bank communication, Co-author: M. Ehrmann, European
Journal of Political Economy 23(1): 124-145, March 2007. [link to pdf]
Transparency,
disclosure and the Federal Reserve, Co-author:
M. Ehrmann, International
Journal of Central Banking 3(1): 179-225, March 2007. [link
to pdf] Taking stock: Monetary policy
transmission to equity markets, Co-author:
M. Ehrmann, Journal of Money, Credit and Banking, 36(4): 719-37. [link to pdf] Monetary policy announcements
and money markets: A transatlantic perspective, Co-author: M. Ehrmann, International
Finance 6(3), Winter 2003-04: 309-28. [download pdf] 4.
Development, institutions and financial crises Is IMF surveillance biased? Co-author:
J. Reynaud, mimeo, November 2007. Does
it pay to have the euro? Italy’s troubled politics and financial markets
under the lira and the euro, Co-author:
L. Stracca, mimeo, February 2008, prepared for Economic Policy. Towards a new Early Warning
System of financial crises, Co-author: M.
Bussiere, Journal of International Money and Finance 25(6): 953-973, October 2006. [link
to pdf] Low probability, high impact:
policy making and extreme events, Co-author: M. Bussiere, forthcoming
Journal of Policy Modeling. [download pdf] European Integration: What lessons
for other regions? The case of Latin America, Co-authors: E. Dorrucci, S. Firpo, and
F. Mongelli, Open
Economies Review 15: 239-269, July 2004.
[download pdf] The Interaction between Institutional and Economic
Integration at the Regional Level, Co-authors: E. Dorrucci, S. Firpo,
and F. Mongelli, Journal of Economic Integration 20(2): 217-51, June 2005. On Currency Crises and
Contagion, International Journal of Finance and
Economics, 8(2): 109-30, April 2003.
[link to pdf] Identifying the role of
contagion in currency crises with Markov-switching models. In: M. Frenkel,
A. Karmann and B. Scholtens (eds.): Sovereign Risk and Financial Crises.
Springer Verlag, The Asian Financial Crisis.
Causes, Contagion and Consequences: Comment and Review. 2000, By P.R. Agenor, M. Miller, D. Vines, A. Weber. Weltwirtschaftliches Archiv/Review
of World Economics, Vol. 136 No.4, 2000. Why are Currency Crises
Contagious? A Comparison of the Latin
American Crisis of 1994-95 and the Asian Crisis of 1997, Weltwirtschaftliches Archiv/Review
of World Economics, Vol. 134 No.4, December 1998. Organised AEA sessions
Session title: "Monetary
policy transparency and communication”, organized for the American
Economic Association annual meetings on 4-6 January 2008 in Session title: "Global current
account imbalances and their adjustment mechanism", organized for the American
Economic Association annual meetings on 5-7 January 2007 in Session title: "Financial globalization and integration”, organized for the American Economic Association annual
meetings on 5-7 January 2007 in Session title: "Monetary
policy transparency and effectiveness”, organized for the American Economic Association
annual meetings on 6-8 January 2006 in Session title: “Monetary
policy and asset markets”, organized for the American Economic Association annual
meetings on 6-8 January 2006 in Session title: “Central bank
communication”, organized at the American Economic Association annual meetings on 7-9
January 2005 in Session title: “What drives
current accounts in the world ?”, organized at the American Economic Association annual
meetings on 7-9 January 2005 in Conference discussions
Discussion of “Global Asset
Prices and FOMC Announcements” by J. Hausman and J.
Wongswan, AEA meetings, Discussion of “Global
Portfolio Rebalancing under the Microscope” by H. Hau & H. Rey, CEPR Conference on International
Adjustment, Brussels, 9 - 10 November 2007. [download pdf] Discussion of “Predictability
in Financial Markets: What Do Survey Expectations Tell Us?” by P. Bacchetta, E. Mertens, and
E. van Wincoop, Bank of Canada conference on “Exchange Rate
Modelling”, Ottawa, June 2007. [download pdf] Discussion of Nouriel Roubini on asset
prices, Symposium in honour of Eugene Fama, recipient of the 2005 DB
Prize in Financial Economics, discussion on “Market efficiency: A policy perspective”, Frankfurt, 6 October
2005. [download pdf] Discussion of “What Defines ‘News’ in Foreign Exchange Markets?” by Kathryn Dominguez and Freyan
Panthaki, JIMF-CRIF-TAFI conference
on “Foreign Exchange Markets”, San Juan, 17 March 2005 [download pdf] Discussion of “Economic Integration in Discussion of “Real Effects of Financial Integration” by
Jean Imbs ( Discussion of “Do Exchange
Rates Matter in Inflation Targeting Regimes?” by
Felix Hammermann (Kiel Institute of World
Economics), Kiel Conference on “Monetary Policy and Macroeconomic
Stabilisation in Economie Internationale
I am a member of the Editorial Board of Economie Internationale, a
journal of CEPII focusing on international
policy issues Awards
CEPR 2007 Prize Winner of the Best Central Bank Research Paper for “Asset prices, exchange rates and the current account”,
Co-authors: L. Juvenal and L. Sarno (press notice
available at: http://www.cepr.org/press/CEPR_ESI_2007_prize.htm) I have been awarded the Kiel Institute 2006/2007 Excellence Award
in Global Economic Affairs (press notice at: http://www.uni-kiel.de/ifw/presse/pm/2007/07_01_09_e.htm) Links to some of my former
(and current) professional and educational “homes”:
European Central Bank (ECB) Institute for
International Economics (IIE) European
University Institute (EUI) Departemen Keuangan
(Ministry of Finance), University of
Oxford, Trinity College Kiel Institute of World
Economics |
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Disclaimer: This is my
personal homepage, and the views expressed here are my own and do not
necessarily reflect those of the European Central Bank or the Eurosystem. |
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