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Volatility Patterns of CDs, Bond and Stock Markets Before and During the Financial Crisis : Evidence from Major Financial Institutions

Belke, Ansgar Hubertus - 2011

This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...

Persistent link: https://www.econbiz.de/10013128075

When Does it Hurt? The Exchange Rate 'Pain Threshold' for German Exports

Belke, Ansgar Hubertus - 2009

euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play … area to about 1.55 US dollar per euro. In our interpretation, this is the current "pain threshold", where a strong spurt … reaction of exports to a further appreciation of the euro is expected to start …

Persistent link: https://www.econbiz.de/10013155088

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

Bernoth, Kerstin - 2019

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...

Persistent link: https://www.econbiz.de/10012891675

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver; Herwartz, Helmut - 2008

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

Persistent link: https://www.econbiz.de/10003796145

Reinforcing EU Governance in Times of Crisis : The Commission Proposals and Beyond

Belke, Ansgar Hubertus - 2011

governance in the EU and the euro area since the launch of the Economic and Monetary Union. Broader and enhanced surveillance of …

Persistent link: https://www.econbiz.de/10014187416

Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound : Evidence for the ECB and the Fed

Belke, Ansgar Hubertus - 2012

We propose an alternative way of estimating Taylor reaction functions if the zero-lowerbound on nominal interest rates is binding. This approach relies on tackling the real rather than the nominal interest rate. So if the nominal rate is (close to) zero central banks can influence the inflation...

Persistent link: https://www.econbiz.de/10013103372

Global Liquidity, World Savings Glut and Global Policy Coordination

Belke, Ansgar Hubertus - 2010

The global imbalances of the 2000s and the recent global financial crisis are intimately connected. Both originate in the combination of economic policies adopted by the two key economies, the US and China. Global financial markets served as a transmission belt, both during the boom as during...

Persistent link: https://www.econbiz.de/10013144334

Exchange rate uncertainty and trade growth : a comparison of linear and nonlinear (forecasting) models

Herwartz, Helmut (contributor); Weber, Henning (contributor) - 2007

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

Persistent link: https://www.econbiz.de/10003634011

Modeling the FIBOR/EURIBOR swap term structure : an empirical approach

Blaskowitz, Oliver (contributor); … - 2005

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex-ante forecasting performance for...

Persistent link: https://www.econbiz.de/10003049489

On economic evaluation of directional forecasts

Blaskowitz, Oliver; Herwartz, Helmut - 2009

It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...

Persistent link: https://www.econbiz.de/10003893151