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Sovereign bond yield spreads: a time-varying coefficient approach

Bernoth, Kerstin; Erdogan, Burcu - 2010

We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to...

Persistent link: https://www.econbiz.de/10010303780

Bond portfolios and two-fund seperation in the Lucas asset-pricing model

Judd, Kenneth L; Kubler, Felix - 2006

The two-fund separation theorem from static portofolio analysis generalizes to dynamic Lucas-style asset models only whern a consol is present. If all bonds have finite maturity and do not span the consol, then equilibrium will deviate, often significantly, from two-fund separation even with the...

Persistent link: https://www.econbiz.de/10010266289

Non-Bayesian testing of a stochastic prediction

Dekel, Eddie; Feinberg, Yossi - 2005

We propose a method to test a prediction of the distribution of a stochastic process. In a non-Bayesian non-parametric setting, a predicted distribution is tested using a realization of the stochastic process. A test associates a set of realizations for each predicted distribution, on which the...

Persistent link: https://www.econbiz.de/10010272320

Reserve requirements and economic stabilization

Bindseil, Ulrich - 1997

Persistent link: https://www.econbiz.de/10010478835

Die Stabilisierungswirkungen von Mindestreserven

Bindseil, Ulrich - 1997

This paper focuses on the quest ion whether reserve requirements can contribute anything to the stabilization of financial markets and economic activity ...

Persistent link: https://www.econbiz.de/10010478836

Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds

Gann, Philipp - 2010

die Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperioden während verschiedener … dadurch ausgelösten internationalen Finanzkrise, die zweite Untersuchungsperiode auf einen Zeitraum während der Krise. Es wird …, welche die Handelbarkeit einer Anleihe determinieren. Liquidität wird dadurch zu einem wesentlichen bewertungsrelevanten …

Persistent link: https://www.econbiz.de/10010427786

Implicit government guarantees and bank herding behavior

Rüffer, Rasmus - 1999

During the past two decades 130 of the 182 IMF member countries have experienced serious problems in their banking sectors or an outright banking crisis. Among the stylized facts about these crises are their often systemic nature, a pronounced boom-bust cyde and substantial financial involvement...

Persistent link: https://www.econbiz.de/10010478858

The Current Global Financial Turmoil and Asian Developing Countries

Akyuz, Yilmaz - 2008

Persistent link: https://www.econbiz.de/10010320489

From Marx to Morgan Stanley: Inequality and financial crisis

Mah-Hui, Michael Lim; Khor, Hoe Ee - 2010

Despite robust growth, rising inequality is widespread in many countries. At the same time financial instability and crises are occurring with greater frequency and severity. These two phenomena are related to the contest for a greater share of economic output between labor and capital, with...

Persistent link: https://www.econbiz.de/10010320514

Hedonic regression for digital cameras in Germany

Winker, Peter; Rippin, Franziska - 2005

Standard measures of consumer price inflation are based on a bundle of representative goods. It is well known that this approach might overstate inflation for new products and products with fast increasing quality. For this reason, hedonic adjustment methods have been proposed and introduced in...

Persistent link: https://www.econbiz.de/10010297266