| Description |
1 online resource (39 pages) : illustrations |
| Series |
IMF working paper, 2227-8885 ; WP/01/84 |
|
IMF working paper ; WP/01/84.
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| Summary |
Using symmetric data sets of 92 weekly return observations before and after the introduction of the euro, the paper analyzes the impact of the new currency on the return structure of equity markets in the European Monetary Union. Variance decompositions, cluster analyses, and principle component analyses are used to explore the changes in the structural relations. European industry factors are found to have dramatically increased in importance with the launch of the single currency, and a new 'country-size' factor in European stock returns is detected. Furthermore, inner-European correlations are documented to have been reduced sharply with the start of the monetary union |
| Bibliography |
Includes bibliographical references (pages 38-39) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
|
English |
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digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
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Print version record |
| Subject |
Economic and Monetary Union.
|
| SUBJECT |
Economic and Monetary Union fast |
| Subject |
Stocks -- Prices -- European Union countries
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Rate of return -- European Union countries
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Euro.
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|
Euro
|
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Rate of return
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Stocks -- Prices
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European Union countries
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| Form |
Electronic book
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| Author |
International Monetary Fund. Research Department.
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| ISBN |
1451896794 |
|
9781451896794 |
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128160089X |
|
9781281600899 |
|
1462389325 |
|
9781462389322 |
|
1452754292 |
|
9781452754291 |
|
9786613781581 |
|
6613781584 |
|
9781451850642 |
|
1451850646 |
|
