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Citations of
Lieven Baele

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Research series 200711-27, National Bank of Belgium. [Downloadable!]
    Other versions:

    Cited by:

    1. Nancy Masschelein, 2007. "Monitoring pro-cyclicality under the capital requirements directive : preliminary concepts for developing a framework," Documents series 200711-22, National Bank of Belgium. [Downloadable!]
    2. John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers 14701, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Frédéric Lagneaux, 2008. "Economic Importance of Belgian Transport Logistics," Documents series 200801-01, National Bank of Belgium. [Downloadable!]
    4. Joachim Keller, 2008. "Agency problems in structured finance – a case study of European CLOs," Documents series 200808-22, National Bank of Belgium. [Downloadable!]
    5. Marie Brière & Ombretta Signori, 2009. "Inflation-hedging portfolios in Different Regimes," Working Papers CEB 09-047.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    6. Carine Swartenbroekx, 2007. "The gas chain : influence of its specificities on the liberalisation process," Documents series 200711-24, National Bank of Belgium. [Downloadable!]
    7. Roberto A. De Santis & Lucio Sarno, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank. [Downloadable!]
    8. Philippe Moës, 2008. "Multivariate structural time series models with dual cycles : implications for measurement of output gap and potential growth," Research series 200808-20, National Bank of Belgium. [Downloadable!]
    9. Chollete, Lorán, 2008. "The Propagation of Financial Extremes: An Application to Subprime Market Spillovers," Discussion Papers 2008/2, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]

  2. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]

    Cited by:

    1. Olli Castrén & Trevor Fitzpatrick & Matthias Sydow, 2006. "What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model," Working Paper Series 677, European Central Bank. [Downloadable!]
    2. Olga Bohachova, 2008. "The Impact of Macroeconomic Factors on Risks in the Banking Sector: A Cross-Country Empirical Assessment," IAW Discussion Papers 44, Institut für Angewandte Wirtschaftsforschung (IAW). [Downloadable!]
    3. R. Vander Vennet & O. De Jonghe & L. Baele, 2004. "Bank risks and the business cycle," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/264, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]

  3. R. Vander Vennet & O. De Jonghe & L. Baele, 2004. "Bank risks and the business cycle," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/264, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]

    Cited by:

    1. Olli Castrén & Trevor Fitzpatrick & Matthias Sydow, 2006. "What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model," Working Paper Series 677, European Central Bank. [Downloadable!]
    2. O. De Jonghe & R. Vander Vennet, 2007. "Competition versus Efficiency: What drives franchise values in European banking?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/491, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
      Other versions:

  4. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank. [Downloadable!]

    Cited by:

    1. Heuchemer, Sylvia & Kleimeier, Stefanie & Sander, Harald, 2008. "The Geography of European Cross-Border Banking: The Impact of Cultural and Political Factors," Research Memoranda 008, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    2. Már Gudmundsson, 2008. "Financial globalisation: key trends and implications for the transmission mechanism of monetary policy," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial market developments and their implications for monetary policy, volume 39, pages 7-29 Bank for International Settlements. [Downloadable!]
    3. Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank. [Downloadable!]
    4. Roel Beetsma & Koen Vermeylen, 2007. "The effect of monetary unification on public debt and its real return," Public Choice, Springer, vol. 133(3), pages 393-415, December. [Downloadable!] (restricted)
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    5. Anne Marie Gleeson & Frances Ruane, 2006. "Export dynamics in Small Open Economies: Indigenous Irish Manufacturing Exports, 1985-2003," The Institute for International Integration Studies Discussion Paper Series iiisdp140, IIIS. [Downloadable!]
    6. Kleimeier,Stefanie & Sander,Harald, 2004. "Interest Rate Pass-through in an Enlarged Europe: The Role of Banking Market Structure for Monetary Policy Transmission in Transition Countries," Research Memoranda 045, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    7. Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2008. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," The Warwick Economics Research Paper Series (TWERPS) 849, University of Warwick, Department of Economics. [Downloadable!]
      Other versions:
    8. Pasricha, Gurnain, 2009. "Bank Competition and International Financial Integration: Evidence using a new Index," MPRA Paper 16767, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    9. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September. [Downloadable!] (restricted)
    10. Laurence Fung & Chi-sang Tam & Ip-wing Yu, 2008. "Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence," Working Papers 0812, Hong Kong Monetary Authority. [Downloadable!]
    11. Paul Evans & Iftekhar Hasan & Ana Lozano-Vivas, 2008. "Deregulation and Convergence of Banking: The EU Experience," Finnish Economic Papers, Finnish Economic Association, vol. 21(2), pages 104-117, Autumn. [Downloadable!]
    12. Barbara Berkel, 2007. "Institutional Determinants of International Equity Portfolios - A Country-Level Analysis," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 7(1). [Downloadable!]
    13. Henning Ahnert & Geoff Kenny, 2004. "Quality adjustment of European price statistics and the role for hedonics," Occasional Paper Series 15, European Central Bank. [Downloadable!]
    14. Claessens, Stijn, 2006. "Competitive implications of cross-border banking," Policy Research Working Paper Series 3854, The World Bank. [Downloadable!]
    15. Philip R. Lane, 2006. "Global Bond Portfolios and EMU," The Institute for International Integration Studies Discussion Paper Series iiisdp168, IIIS. [Downloadable!]
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    16. Ivo J.M. Arnold & Jan J.G. Lemmen, 2008. "Inflation Expectations and Inflation Uncertainty in the Eurozone: Evidence from Survey Data," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 144(2), pages 325-346, July. [Downloadable!] (restricted)
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    17. Christoffer Kok Sorensen & Thomas Werner, 2006. "Bank interest rate pass-through in the euro area: a cross country comparison," Working Paper Series 580, European Central Bank. [Downloadable!]
    18. Balázs Zsámboki, 2007. "Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 5," MNB Occasional Papers 2007/67, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
    19. Giuseppe Marotta, 2008. "Structural breaks in the lending interest rate pass-through and the euro," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08031, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
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    20. Marcel Fratzscher & Livio Stracca, 2009. "Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro," Working Paper Series 1064, European Central Bank. [Downloadable!]
    21. Tullio Jappelli & Marco Pagano, 2008. "Financial Market Integration Under EMU," CSEF Working Papers 197, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
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    22. Daniel Pérez & Vicente Salas-Fumás & Jesús Saurina, 2005. "Banking integration in Europe," Banco de España Working Papers 0519, Banco de España. [Downloadable!]
    23. Vajanne, Laura, 2007. "Integration in euro area retail banking markets – convergence of credit interest rates," Research Discussion Papers 27/2007, Bank of Finland. [Downloadable!]
    24. Balli, Faruk & Sorensen, Bent E., 2007. "Risk Sharing among OECD and EU Countries: The Role of Capital Gains, Capital Income, Transfers, and Saving," MPRA Paper 10223, University Library of Munich, Germany. [Downloadable!]
    25. Giuseppe Marotta, 2006. "Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK," Heterogeneity and monetary policy 0612, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
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    26. Giofré, Maela/M., 2008. "Convergence of EMU Equity Portfolios," MPRA Paper 13927, University Library of Munich, Germany. [Downloadable!]
    27. Gloria O. Pasadilla, 2008. "Financial services integration in East Asia: Lessons from the European Union," Working Papers 5308, Asia-Pacific Research and Training Network on Trade (ARTNeT), an initiative of UNESCAP and IDRC, Canada.. [Downloadable!]
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    28. Gianni De Nicoló & Alexander F. Tieman, 2007. "Economic Integration and Financial Stability: A European Perspective," IMF Working Papers 06/296, International Monetary Fund. [Downloadable!]
    29. Giuseppe Marotta, 2008. "Lending interest rate pass-through in the euro area. A data-driven tale," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08101, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
    30. Philipp Paulus, 2006. "Brüssel, Frankfurt oder Basel - Wo muss das Problem steigender Staatsschulden in der Europäischen Währungsunion gelöst werden?," Otto-Wolff-Institut Discussion Paper Series 01/2006, Otto-Wolff-Institut für Wirtschaftsordnung, Köln, Deutschland. [Downloadable!]
    31. Iulia Traistaru-Siedschlag, 2006. "Macroeconomic Differentials and Adjustment in the Euro Area," Papers WP175, Economic and Social Research Institute (ESRI). [Downloadable!]
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    32. Michiel van Leuvensteijn & Jacob Bikker & Adrian van Rixtel & Christoffer Kok-Sorensen, 2007. "A new approach to measuring competition in the loan markets of the euro area," DNB Working Papers 143, Netherlands Central Bank, Research Department. [Downloadable!]
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    33. Christoffer Kok Sørensen & Josep Maria Puigvert Gutiérrez, 2006. "Euro area banking sector integration - using hierarchical cluster analysis techniques," Working Paper Series 627, European Central Bank. [Downloadable!]
    34. Hella Engerer, 2005. "Bankenlandschaft Europa: Eigentum, Wettbewerb und Integration," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 74(4), pages 12-31. [Downloadable!] (restricted)
    35. Dima, Bogdan & Pirtea, Marilen & Barna, Flavia & Murgea, Aurora, 2007. "The Romanian Financial Market and the Financial Markets from EU - A Integration Analysis," MPRA Paper 12315, University Library of Munich, Germany. [Downloadable!]
    36. Uwe Böwer & Catherine Guillemineau, 2006. "Determinants of business cycle synchronisation across euro area countries," Working Paper Series 587, European Central Bank. [Downloadable!]
    37. Diemo Dietrich & Uwe Vollmer, 2006. "Banks’ Internationalization Strategies: The Role of Bank Capital Regulation," IWH Discussion Papers 18-06, Halle Institute for Economic Research. [Downloadable!]
    38. Juan Piñeiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    39. Ehrmann, Michael & Fratzscher, Marcel & Gürkaynak, Refet S. & Swanson, Eric T, 2007. "Convergence and Anchoring of Yield Curves in the Euro Area," CEPR Discussion Papers 6456, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    40. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2007. "Cross-Border Bank Contagion in Europe," Working Paper Series: Finance and Accounting 175, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
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    41. Carsten Detken & Vítor Gaspar & Bernhard Winkler, 2005. "On Prosperity and Posterity: The Need for Fiscal Discipline in a Monetary Union," Working Papers de Economia (Economics Working Papers) 30, Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro. [Downloadable!]
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    42. Karin Jõeveer & Peter Tóth, 2006. "Does the Introduction of the Euro affect the Debt-Equity Choice?," Keele Economics Research Papers KERP 2006/22, Centre for Economic Research, Keele University. [Downloadable!]
    43. Balli, Faruk & Ozer-Balli, Hatice, 2009. "Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk?," MPRA Paper 14554, University Library of Munich, Germany. [Downloadable!]
    44. Adalbert Winkler & Roland Beck, 2006. "Macroeconomic and financial stability challenges for acceding and candidate countries," Occasional Paper Series 48, European Central Bank. [Downloadable!]
    45. Zsolt Darvas & Gyorgy Szapary, 2008. "Euro Area Enlargement and Euro Adoption Strategies," IEHAS Discussion Papers 0824, Institute of Economics, Hungarian Academy of Sciences. [Downloadable!]
    46. Stefano Schiavo, 2005. "Euro bonds: in search of financial spillovers," Department of Economics Working Papers 0502, Department of Economics, University of Trento, Italia. [Downloadable!]
    47. Barbara Berkel, 2006. "The EMU and German Cross-Border Portfolio Flows," MEA discussion paper series 06110, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
    48. Magnus Andersson & Antonello D’Agostino, 2008. "Are sectoral stock prices useful for predicting euro area GDP?," Working Paper Series 876, European Central Bank. [Downloadable!]
    49. Dirk G. Baur, 2008. "How Bad Must Conditions Be To Make Investors Flee?," The Institute for International Integration Studies Discussion Paper Series iiisdp246, IIIS. [Downloadable!]
    50. Christoffer Kok Sørensen & Jung-Duk Lichtenberger, 2007. "Mortage interest rate dispersion in the euro area," Working Paper Series 733, European Central Bank. [Downloadable!]
    51. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Is there an identity within international stock market volatilities?," MPRA Paper 2069, University Library of Munich, Germany. [Downloadable!]
    52. Gianluca Di Lorenzo & Giuseppe Marotta, 2006. "Multiple breaks in lending rate pass-through A cross country study for the euro area," Heterogeneity and monetary policy 0602, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
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    53. Amadou N. R. Sy, 2006. "Financial Integration in the West African Economic and Monetary Union," IMF Working Papers 06/214, International Monetary Fund. [Downloadable!]
    54. Philip Lane & Gian Maria Milesi-Ferretti, 2005. "The International Equity Holdings of Euro Area Investors," The Institute for International Integration Studies Discussion Paper Series iiisdp104, IIIS. [Downloadable!]
    55. Tigran Poghosyan & Jakob de Haan, 2007. "Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    56. Dirk G. Baur, 2007. "Stock-bond co-movements and cross-country linkages," The Institute for International Integration Studies Discussion Paper Series iiisdp216, IIIS. [Downloadable!]
    57. Paul De Grauwe & Francesco Paolo Mongelli, 2005. "Endogeneities of optimum currency areas - what brings countries sharing a single currency closer together?," Working Paper Series 468, European Central Bank. [Downloadable!]
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    58. Elias Papaioannou, 2005. "What drives international bank flows? Politics, institutions and other determinants," Working Paper Series 437, European Central Bank. [Downloadable!]
    59. Barbara Berkel, 2006. "The EMU and German Cross-Border Portfolio Flows," MEA discussion paper series 06110, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
    60. Friedrich Fritzer, 2006. "The Financial System and the Institutional Environment as Determinants of Economic Performance: Austria in Comparison," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 136-158, May 2006. [Downloadable!]
    61. Fecht, Falko & Grüner, Hans Peter, 2005. "Financial Integration and Systemic Risk," CEPR Discussion Papers 5253, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    62. Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS. [Downloadable!]
    63. Walter Waschiczek, 2005. "The Impact of EU Accession on Austria's Financial Structure," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 117-129, August. [Downloadable!]
    64. Francesco Paolo Mongelli & Juan Luis Vega, 2006. "What effects is EMU having on the euro area and its member countries? An overview," Working Paper Series 599, European Central Bank. [Downloadable!]
    65. Richard Podpiera & Tomas Dvorak, 2005. "European Union Enlargement and Equity Markets in Accession Countries," IMF Working Papers 05/182, International Monetary Fund. [Downloadable!]
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    66. Helge Berger & Carsten Hefeker, 2008. "Does financial integration make banks more vulnerable? Regulation, foreign owned banks, and the lender-of-last resort," International Economics and Economic Policy, Springer, vol. 4(4), pages 371-393, February. [Downloadable!] (restricted)
    67. Patrick McGuire & Nikola Tarashev, 2007. "International banking with the euro," BIS Quarterly Review, Bank for International Settlements, December. [Downloadable!]
    68. Aziakpono, Meshach & Kleimeier, Stefanie & Sander, Harald, 2007. "Banking Market Integration in the SADC Countries: Evidence from Interest Rate Analyses," Research Memoranda 047, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    69. Roberto A. De Santis & Bruno Gérard, 2006. "Financial integration, international portfolio choice and the European Monetary Union," Working Paper Series 626, European Central Bank. [Downloadable!]
    70. Gábor Vadas, 2007. "Wealth portfolio of Hungarian households – Urban legends and facts," MNB Occasional Papers 2007/68, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
    71. Otmar Issing, 2006. "Europe’s hard fix: the Euro area," International Economics and Economic Policy, Springer, vol. 3(3), pages 181-196, December. [Downloadable!] (restricted)
    72. Barry Eichengreen, 2008. "Sui Generis EMU," NBER Working Papers 13740, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    73. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    74. Gianluca Di Lorenzo & Giuseppe Marotta, 2005. "A less effective monetary transmission in the wake of EMU? Evidence from lending rates pass-through," Heterogeneity and monetary policy 0503, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
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    75. Pierre-Richard Agenor & Joshua Aizenman, 2008. "Capital Market Imperfections and the Theory of Optimum Currency Areas," NBER Working Papers 14088, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    76. Giofré, Maela/M., 2008. "EMU Effects on Stock Markets: From Home Bias to Euro Bias," MPRA Paper 13926, University Library of Munich, Germany. [Downloadable!]
    77. Caiado, Jorge & Crato, Nuno, 2008. "Identifying the evolution of stock markets stochastic structure after the euro," MPRA Paper 6609, University Library of Munich, Germany. [Downloadable!]
    78. Philip R. Lane, 2006. "The Real Effects of EMU," The Institute for International Integration Studies Discussion Paper Series iiisdp115, IIIS. [Downloadable!]
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    79. Nao Sudo & Yuki Teranishi, 2008. "Optimal Monetary Policy under Imperfect Financial Integration," IMES Discussion Paper Series 08-E-25, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
    80. Andersson, Magnus & D'Agostino, Antonello, 2008. "Are sectoral stock prices useful for predicting euro area GDP?," Research Technical Papers 2/RT/08, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
    81. Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2009. "Towards a Common European Monetary Union Risk Free Rate," NBER Working Papers 15353, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    82. Claudio Morana, 2008. "Realized portfolio selection in the euro area," ICER Working Papers - Applied Mathematics Series 10-2008, ICER - International Centre for Economic Research. [Downloadable!]
    83. Matthias Fuchs, 2005. "The Internationalization of Austria's Financial Sector since Accession to the European Union," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 130-143, August. [Downloadable!]
    84. Elias Papaioannou, 2007. "Finance and growth - a macroeconomic assessment of the evidence from a European angle," Working Paper Series 787, European Central Bank. [Downloadable!]
    85. Faruk, Balli, 2006. "New Patterns in International Portfolio Allocation and Income Smoothing," MPRA Paper 10121, University Library of Munich, Germany, revised 14 Aug 2008. [Downloadable!]

  5. Baele, L., 2003. "Volatility spillover effects in European equity markets," Discussion Paper 114, Tilburg University, Center for Economic Research. [Downloadable!]
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    Published as:

    Cited by:

    1. Peter McAdam, 2003. "US, Japan and the euro area - comparing business-cycle features," Working Paper Series 283, European Central Bank. [Downloadable!]
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    2. Colm Kearney & Valerio Poti, 2006. "Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area," The Institute for International Integration Studies Discussion Paper Series iiisdp132, IIIS. [Downloadable!]
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    3. Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006. "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Working Papers 06-4, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
    4. Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan, 2006. "International Stock Return Comovements," CEPR Discussion Papers 5955, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    5. Du, Xiaodong (Sheldon) & Yu, Cindy L. & Hayes, Dermot J., 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Staff General Research Papers 13066, Iowa State University, Department of Economics. [Downloadable!]
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    6. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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    7. Bernd Kaltenhaeuser, 2003. "Country and sector-specific spillover effects in the euro area, the United States and Japan," Working Paper Series 286, European Central Bank. [Downloadable!]
    8. Tullio Jappelli & Marco Pagano, 2008. "Financial Market Integration Under EMU," CSEF Working Papers 197, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
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    9. Jianxin Wang, 2007. "Foreign Ownership and Volatility Dynamics of Indonesian Stocks," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 201-210, September. [Downloadable!] (restricted)
    10. Christiansen, Charlotte, 2005. "Decomposing European bond and equity volatility," Finance Research Group Working Papers F-2004-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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    11. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
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    12. Geert Bekaert & Campbell R. Harvey & Christian Lundblad & Stephan Siegel, 2009. "What Segments Equity Markets?," NBER Working Papers 14802, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    13. Hisashi Tanizaki & Shigeyuki Hamori, 2009. "Volatility transmission between Japan, UK and USA in daily stock returns," Empirical Economics, Springer, vol. 36(1), pages 27-54, February. [Downloadable!] (restricted)
    14. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics. [Downloadable!]
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    15. Christos Savva & Denise R Osborn & Len Gill, 2005. "Volatility, spillover Effects and Correlations in US and Major European Markets," Money Macro and Finance (MMF) Research Group Conference 2005 23, Money Macro and Finance Research Group. [Downloadable!]
    16. D. Van Den Poel, 2003. "Predicting Mail-Order Repeat Buying: Which Variables Matter?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/191, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    17. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department. [Downloadable!]
    18. Christiansen, Charlotte, 2003. "Volatility-Spillover E ffects in European Bond Markets," Finance Working Papers 03-8, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    19. Barbara Berkel, 2006. "The EMU and German Cross-Border Portfolio Flows," MEA discussion paper series 06110, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
    20. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Research series 200711-27, National Bank of Belgium. [Downloadable!]
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    21. Lewis, Karen K., 2006. "Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US," Working Papers 06-6, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
    22. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department. [Downloadable!]
    23. Thomas Lagoarde-Segot & Brian Lucey, 2006. "Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa," The Institute for International Integration Studies Discussion Paper Series iiisdp114, IIIS. [Downloadable!]
    24. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA. [Downloadable!]
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    25. Barbara Berkel, 2006. "The EMU and German Cross-Border Portfolio Flows," MEA discussion paper series 06110, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
    26. Karen K. Lewis, 2006. "Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US," NBER Working Papers 12697, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    27. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    28. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    29. Colm Kearney & Valerio Poti, 2004. "Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp015, IIIS. [Downloadable!]
    30. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany. [Downloadable!]
    31. Colm Kearney & Valerio Poti, 2005. "Correlation Dynamics in European Equity Markets," Finance 0507008, EconWPA. [Downloadable!]
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    32. C S Savva & D R Osborn & L Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," Centre for Growth and Business Cycle Research Discussion Paper Series 64, Economics, The Univeristy of Manchester. [Downloadable!]
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    33. Juan M. Londoño & Marta Regulez & Jesús Vázquez, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 200809, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]

Articles

  1. Baele, Lieven & Pungulescu, Crina & Ter Horst, Jenke, 2007. "Model uncertainty, financial market integration and the home bias puzzle," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 606-630, June. [Downloadable!] (restricted)

    Cited by:

    1. Arie Kapteyn & Federica Teppa, 2009. "Subjective Measures of Risk Aversion, Fixed Costs, and Portfolio Choice," DNB Working Papers 216, Netherlands Central Bank, Research Department. [Downloadable!]
    2. Dimitrios Christelis & Dimitris Georgarakos, 2008. "Investing at Home and Abroad: Different Costs, Different People?," CSEF Working Papers 188, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]

  2. Baele, Lieven & De Jonghe, Olivier & Vander Vennet, Rudi, 2007. "Does the stock market value bank diversification?," Journal of Banking & Finance, Elsevier, vol. 31(7), pages 1999-2023, July. [Downloadable!] (restricted)

    Cited by:

    1. Christian Calmès & Raymond Théoret, 2009. "The Impact of Off-Balance-Sheet Activities on Banks Returns: An Application of the ARCH-M to Canadian Data," RePAd Working Paper Series UQO-DSA-wp032009, Département des sciences administratives, UQO. [Downloadable!]
    2. Demirguc-Kunt, Asli & Huizinga, Harry, 2009. "Bank activity and funding strategies : the impact on risk and returns," Policy Research Working Paper Series 4837, The World Bank. [Downloadable!]
      Other versions:
    3. Joseph P. Hughes & Loretta J. Mester, 2008. "Efficiency in banking: theory, practice, and evidence," Working Papers 08-1, Federal Reserve Bank of Philadelphia. [Downloadable!]
    4. Christian Calmès & Raymond Théoret, 2009. "Off-Balance-Sheet Activities and the Shadow Banking System: An Application of the Hausman Test with Higher Moments Instruments," RePAd Working Paper Series UQO-DSA-wp042009, Département des sciences administratives, UQO. [Downloadable!]

  3. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(02), pages 373-401, June. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  4. Lieven Baele, 2004. "Measuring European Financial Integration," Oxford Review of Economic Policy, Oxford University Press, vol. 20(4), pages 509-530, Winter.

    Cited by:

    1. Cillian Ryan & Nicholas Horsewood, 2009. "The role of banks in financial integration: evidence from new EU members," International Economics and Economic Policy, Springer, vol. 6(3), pages 235-258, October. [Downloadable!] (restricted)
    2. Alfredo Martín-Oliver & Vicente Salas-Fumás & Jesús Saurina, 2005. "A test of the law of one price in retail banking," Banco de España Working Papers 0530, Banco de España. [Downloadable!]
      Other versions:
    3. Campa, José Manuel & Hernando, Ignacio, 2005. "M&As Performance in the European Financial Industry," CEPR Discussion Papers 5204, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Kerstin Bernoth & Guntram B. Wolff, 2006. "Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    5. Tigran Poghosyan, 2009. "Are “new” and “old” EU members becoming more financially integrated? A threshold cointegration analysis," International Economics and Economic Policy, Springer, vol. 6(3), pages 259-281, October. [Downloadable!] (restricted)
    6. Chris Higson & Sean Holly & Ivan Petrella, 2009. "The Financial Integration of the European Union: Common and Idiosyncratic Drivers," Working Paper / FINESS 1.1d, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    7. Arribas, Iván & Pérez, Francisco & Tortosa-Ausina, Emili, 2009. "The determinants of international financial integration revisited: the role of networks and geographic neutrality," MPRA Paper 18717, University Library of Munich, Germany. [Downloadable!]
    8. Schulz, Alexander & Wolff, Guntram B., 2009. "Sovereign bond market integration: the euro, trading platforms and financial crises," MPRA Paper 16900, University Library of Munich, Germany. [Downloadable!]
    9. Wolff, Guntram B. & Schulz, Alexander, 2008. "Sovereign bond market integration: the euro, trading platforms and globalization," Discussion Paper Series 1: Economic Studies 2008,12, Deutsche Bundesbank, Research Centre. [Downloadable!]
    10. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department. [Downloadable!]
    11. Pérez, Francisco & Arribas, Iván & Tortosa-Ausina, Emili, 2009. "Openness and geographic neutrality: How do they contribute to international banking integration?," MPRA Paper 17211, University Library of Munich, Germany. [Downloadable!]
    12. Horobet , Alexandra & Ilie, Livia, 2007. "Regulation versus Competition on European Financial Markets," MPRA Paper 6133, University Library of Munich, Germany. [Downloadable!]
    13. Yener Altunbas & Leonardo Gambacorta & David Marqués, 2007. "Securitisation and the bank lending channel," Working Paper Series 838, European Central Bank. [Downloadable!]
      Other versions:

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