Advanced Search
MyIDEAS: Login

The Euro and International Capital Markets

Contents:

Author Info

  • Carsten Detken
  • Philipp Hartmann

Abstract

This paper provides the first empirical examination of the major currencies' roles in international capital markets after the introduction of the euro. Time series of new measures for both international financing currency use and international investment currency use are presented. The data compare euro uses in 1999 with the aggregate of predecessor currency uses between 1994 and 1998 and with dollar and yen uses. A number of key factors for international portfolio investments are examined, including relative market liquidity and assets' relative risk characteristics. The euro immediately became the second most widely used currency in international capital markets. The paper also discusses links between the strong external supply of euro-denominated bonds, the most pronounced change during the first year of the euro, and exchange rate developments. Most of the increased issuance of euro-denominated bonds by non-residents of the euro area seems to have been bought by euro area residents. Copyright 2000 by Blackwell Publishers Ltd.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.eui.eu/ERPA/RSCAS/../../RSCAS/WP-Texts/00_27.pdf
File Function: Full text
Download Restriction: no
File URL: http://www.eui.eu/ERPA/RSCAS/../../RSCAS/WP-Texts/00_27.pdf
File Function: Full text
Download Restriction: no

Bibliographic Info

Paper provided by European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS) in its series EUI-RSCAS Working Papers with number 27.

as in new window
Length:
Date of creation: 15 Jun 2000
Date of revision:
Handle: RePEc:erp:euirsc:p0025

Contact details of provider:
Postal: Via dei Roccettini, 9 - I-50016 San Domenico di Fiesole
Web page: http://www.eui.eu/RSCAS/
More information through EDIRC

Related research

Keywords: currency; economic integration; EMU; Euro; European Central Bank; political economy;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Shang-Jin Wei, 1994. "Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads," NBER Working Papers 4737, National Bureau of Economic Research, Inc.
  2. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 335-359.
  3. Coutinho, L., 1999. "Euro Exchange Rates: What Can Be Expected in Terms of Volatility?," Economics Working Papers eco99/20, European University Institute.
  4. Richard Portes & Hélène Rey, 1998. "The emergence of the euro as an international currency," Economic Policy, CEPR & CES & MSH, vol. 13(26), pages 305-343, 04.
  5. Agmon, Tamir & Barnea, Amir, 1977. "Transaction costs and marketability services in the Eurocurrency money market," Journal of Monetary Economics, Elsevier, vol. 3(3), pages 359-366, July.
  6. Pagano, Marco, 1986. "Trading Volume and Asset Liquidity," CEPR Discussion Papers 142, C.E.P.R. Discussion Papers.
  7. Krugman, Paul, 1980. "Vehicle Currencies and the Structure of International Exchange," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(3), pages 513-26, August.
  8. Black, Stanley W., 1991. "Transactions costs and vehicle currencies," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 512-526, December.
  9. Eichengreen, Barry, 1998. "The Euro as a Reserve Currency," Journal of the Japanese and International Economies, Elsevier, vol. 12(4), pages 483-506, December.
  10. P Martin & H Rey, 2000. "Financial Super-Markets: Size Matters for Asset Trade," CEP Discussion Papers dp0450, Centre for Economic Performance, LSE.
  11. Martin, Philippe, 1997. "The Exchange Rate Policy of the Euro: A Matter of Size?," CEPR Discussion Papers 1646, C.E.P.R. Discussion Papers.
  12. Boothe, Paul M, 1988. "Exchange Rate Risk and the Bid-Ask Spread: A Seven Country Comparison," Economic Inquiry, Western Economic Association International, vol. 26(3), pages 485-92, July.
  13. Guillermo Calvo & Carlos A. Végh Gramont, 1992. "Currency Substitution in Developing Countries - An Introduction," IMF Working Papers 92/40, International Monetary Fund.
  14. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
  15. Hartmann,Philipp, 1998. "Currency Competition and Foreign Exchange Markets," Cambridge Books, Cambridge University Press, number 9780521632737.
  16. Black, Stanley W., 1985. "International money and international monetary arrangements," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 22, pages 1153-1193 Elsevier.
  17. Hans R. Stoll, . "The Supply of Dealer Services in Securities Markets," Rodney L. White Center for Financial Research Working Papers 02-78, Wharton School Rodney L. White Center for Financial Research.
  18. Gros, Daniel, 1998. "EMU and Capital Markets: Big Bang or Glacier?," International Finance, Wiley Blackwell, vol. 1(1), pages 3-34, October.
  19. Branson, William H. & Henderson, Dale W., 1985. "The specification and influence of asset markets," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 15, pages 749-805 Elsevier.
  20. Linda L. Tesar & Ingrid M. Werner, 1992. "Home Bias and the High Turnover," NBER Working Papers 4218, National Bureau of Economic Research, Inc.
  21. Robert N. McCauley, 1997. "The euro and the dollar," BIS Working Papers 50, Bank for International Settlements.
  22. Tavlas, G.S., 1991. "On the International Use of Currencies: the Case of the Deutsche Mark," Princeton Studies in International Economics 181, International Economics Section, Departement of Economics Princeton University,.
  23. Paul R. Krugman, 1984. "The International Role of the Dollar: Theory and Prospect," NBER Chapters, in: Exchange Rate Theory and Practice, pages 261-278 National Bureau of Economic Research, Inc.
  24. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
  25. Garry J. Schinasi & Alessandro Prati, 1997. "European Monetary Union and International Capital Markets: Structural Implications and Risks," IMF Working Papers 97/62, International Monetary Fund.
  26. Stockman, Alan C. & Dellas, Harris, 1989. "International portfolio nondiversification and exchange rate variability," Journal of International Economics, Elsevier, vol. 26(3-4), pages 271-289, May.
  27. John F. O. Bilson & Richard C. Marston, 1984. "Exchange Rate Theory and Practice," NBER Books, National Bureau of Economic Research, Inc, number bils84-1.
  28. Hartmann, Philipp, 1998. "The Currency Denomination of World Trade after European Monetary Union," Journal of the Japanese and International Economies, Elsevier, vol. 12(4), pages 424-454, December.
  29. Cohen, Daniel, 1997. "How Will the Euro behave?," CEPR Discussion Papers 1673, C.E.P.R. Discussion Papers.
  30. Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
  31. Philipp Hartmann, 1996. "The Future of the Euro as an International Currency: a Transactions Perspective," FMG Special Papers sp91, Financial Markets Group.
  32. Cukierman, Alex, 1983. "Relative price variability and inflation: A survey and further results," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 19(1), pages 103-157, January.
  33. Cooper, Ian & Kaplanis, Evi, 1994. "Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 45-60.
  34. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
  35. Michael Leahy, 1996. "The dollar as an official reserve currency under EMU," Open Economies Review, Springer, vol. 7(4), pages 371-390, October.
  36. Adler, Michael & Dumas, Bernard, 1983. " International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-84, June.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:erp:euirsc:p0025

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Luca Arnaudo).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.