References of "Perego, Erica 40021180"
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See detailMacroeconomic determinants of European stock and bond correlations: A tale of two regions.
Perego, Erica UL; Vermeulen, Wessel UL

in Journal of Empirical Finance (2016)

This paper presents an analysis of Euro-zone financial markets based on a joint assessment of bonds, stocks and stock–bond correlations between groups of Euro-zone countries. The quarterly component of ... [more ▼]

This paper presents an analysis of Euro-zone financial markets based on a joint assessment of bonds, stocks and stock–bond correlations between groups of Euro-zone countries. The quarterly component of dynamic correlations indicates the divergence of integration in Europe and highlights the heterogeneity in these markets. Panel regressions on these dynamic correlations, controlling for unobserved heterogeneity, offer new insights into the role of macro-economic determinants of financial markets between assets and regions. This combined analysis of markets provides evidence on the importance of macro-economic factors such as inflation, uncertainty, debt, current account and economic growth in European financial integration. These factors may be overlooked when analysing a single market for individual pairs of countries. As a result we find that the robust role of economic fundamentals in European financial market correlations points to the need for European economic integration based on sound macro-economic fundamentals for both current and future Euro-zone members. [less ▲]

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See detailEssays on the Euro zone Sovereign Debt Crisis and Financial Markets
Perego, Erica UL

Doctoral thesis (2014)

This thesis analyses the euro zone sovereign crisis from a macroeconomic perspective with a focus on the interaction between sovereign risk, financial markets and the real economy at the euro area ... [more ▼]

This thesis analyses the euro zone sovereign crisis from a macroeconomic perspective with a focus on the interaction between sovereign risk, financial markets and the real economy at the euro area currency union-wide level. The first part consists of an empirical study on the euro zone asset markets. It computes and analyses the dynamic comovements of stock and sovereign bonds for the core and the periphery of the euro zone focusing on the geographical and asset dimension of the markets. This comprehensive approach allows shading new light on European financial markets with respect to studies that focus at only one dimension. Results suggest that further economic integration would be desirable but that, at the moment, Europe is a tale of two regions. The second part of the thesis consists of two chapters dealing with the modeling of the euro zone financial markets and the study of the international transmission of shocks. Chapter 3 focuses on the international transmission of sovereign debt default and looks at the spillover from the periphery to the core region via financial intermediaries. The study of the structure of the banking sector suggests the desirability of more banking integration for the euro area welfare. Chapter 4 expands the model of Chapter 3 by introducing international equity markets. This framework allows exploring the relation between financial intermediaries and asset markets for the euro zone. Results point to the key role of this interaction as a driver of the time varying stock-bond correlation. [less ▲]

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See detailSovereign debt default and banking in a currency union
Perego, Erica UL; Pierrard, Olivier

Scientific Conference (2014, May 27)

This paper analyzes the role of banking in the transmission of sovereign debt default within a currency union. We build a 2-country (core and periphery) new-Keynesian model with an endogenous possibility ... [more ▼]

This paper analyzes the role of banking in the transmission of sovereign debt default within a currency union. We build a 2-country (core and periphery) new-Keynesian model with an endogenous possibility of default on the periphery public debt. We introduce alternative banking representations, going from full integration to fragmentation. We calibrate the model on euro area data and show that the best fit to empirical data arises when we introduce some degree of fragmentation. However, we observe that a well integrated banking sector would reduce the negative consequences of default at the EA aggregated level and limit the welfare cost of stabilizing policies. [less ▲]

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See detailMacroeconomic determinants of European stock and government bond correlations: A tale of two regions
Perego, Erica UL; Vermeulen, Wessel UL

E-print/Working paper (2013)

This paper studies the dynamic correlation between stocks, between government bonds and between stocks and bonds within the Euro-zone in the last decade. In order to better understand the development of ... [more ▼]

This paper studies the dynamic correlation between stocks, between government bonds and between stocks and bonds within the Euro-zone in the last decade. In order to better understand the development of the financial market we argue that it is necessary to analyse all such relations simultaneously rather than focus at one. We firstly calculate the dynamic correlation for the previous asset classes. Results presented at the asset-region level, i.e. north-stock, north-bonds, south-stocks and south-bonds, visualise the divergence in integration in Europe and highlight the he- terogeneity in these markets. Secondly, we study the macroeconomic factors that determine these correlations. We find that, when we allow for regional division, not only cross-asset correlations within regions behave differently from each other, but also cross-assets cross-regions dynamic correlations can be explained with ma- croeconomic factors such as the relative market uncertainty between countries and balance of payments dynamics. [less ▲]

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