M
Marcel Fratzscher
Researcher at German Institute for Economic Research
Publications - 254
Citations - 16754
Marcel Fratzscher is an academic researcher from German Institute for Economic Research. The author has contributed to research in topics: Monetary policy & Financial market. The author has an hindex of 72, co-authored 253 publications receiving 15316 citations. Previous affiliations of Marcel Fratzscher include Humboldt State University & European Central Bank.
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Central bank communication and monetary policy: A survey of theory and evidence
TL;DR: The authors survey the literature on central bank communication and find that communication can be an important and powerful part of the central bank's toolkit since it has the ability to move financial markets, to enhance the predictability of monetary policy decisions, and potentially to help achieve central banks' macroeconomic objectives.
Posted Content
Capital Flows, Push versus Pull Factors and the Global Financial Crisis
TL;DR: In this article, a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies was employed to find that common shocks such as key crisis events as well as changes to global liquidity and risk have exerted a large effect on capital flows both in the crisis and in the recovery.
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The Global Crisis and Equity Market Contagion
TL;DR: This paper analyzed the transmission of the 2007 to 2009 financial crisis to 415 country-industry equity portfolios and used a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion.
Journal ArticleDOI
Capital flows, push versus pull factors and the global financial crisis
TL;DR: In this article, a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies was employed to find that common shocks such as key crisis events as well as changes to global liquidity and risk have exerted a large effect on capital flows both in the crisis and in the recovery.
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Towards a new early warning system of financial crises
TL;DR: This paper developed a new early warning system (EWS) model, based on a multinomial logit model, for predicting financial crises, which can distinguish between tranquil periods and crisis/post-crisis periods, when economic variables go through an adjustment process before reaching a more sustainable level or growth path.