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Was kostet die Krise? Mittelfristige Wachstumsperspektiven in Deutschland, 2010 - 2014

Buchen, Teresa; Carstensen, Kai; Henzel, Steffen; … - 2010

2009 ist eine Diskussion darüber entbrannt, inwieweit die derzeitige Finanzkrise Einfluss auf die mittelfristigen … Zeitreihenmodellen abgeschätzt. Die Ergebnisse deuten darauf hin, dass das Niveau des Produktionspotenzials aufgrund der Finanzkrise … Euro ableiten. Demgegenüber dürfte die Trendwachstumsrate in den kommenden Jahren bei 1,3 % liegen und damit nur …

Persistent link: https://www.econbiz.de/10010427571

The day-of-the-week effect revisited: An alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Persistent link: https://www.econbiz.de/10010292794

Combining forecasts based on multiple encompassing tests in a macroeconomic core system

Costantini, Mauro; Kunst, Robert M. - 2009

We investigate whether and to what extent multiple encompassing tests may help determine weights for forecast averaging in a standard vector autoregressive setting. To this end we consider a new test-based procedure, which assigns non-zero weights to candidate models that add information not...

Persistent link: https://www.econbiz.de/10010294025

How to deal with the US financial crisis at no cost to the taxpayer

Hillinger, Claude - 2008

I discuss briefly the crisis itself and then give some criteria that should be used in evaluating any policy proposed o deal with it. This is followed by a critical discussion of some of the policy measures that have been suggested. Finally, I give a list of proposals, that I believe best...

Persistent link: https://www.econbiz.de/10010427521

The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa

Jumah, Adusei; Kunst, Robert M. - 1999

The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that traders in perfectly competitive markets have equal access...

Persistent link: https://www.econbiz.de/10010291928

Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production

Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina - 2010

In this paper we assess the information content of seven widely cited early indicators for the euro area with respect … indicator, the OECD composite leading indicator, and the FAZ-Euro indicator published by the Frankfurter Allgemeine Zeitung. If …

Persistent link: https://www.econbiz.de/10010427576

Three Liquidity Crises in Retrospective: Implications for Central Banking Today

Sauer, Stephan - 2007

Liquidity problems lie at the heart of crises on financial markets as demonstrated in this paper by detailed descriptions of the stock market crash in 1987, the LTCM-crisis in 1998 and the financial market consequences of 11 September 2001. The events also demonstrate that modern central banks,...

Persistent link: https://www.econbiz.de/10010427504

On mean reversion in real interest rates: An application of threshold cointegration

Jumah, Adusei; Kunst, Robert M. - 2002

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....

Persistent link: https://www.econbiz.de/10010292774

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

Persistent link: https://www.econbiz.de/10010292792

On the demand for grandchildren: Tied transfers and the demonstration effect

Cox, Donald; Stark, Oded - 2004

Most private giving between living generations takes the form of tied transfers, such as help with housing downpayments. We argue that parents provide help with downpayments in order to encourage the production of grandchildren, and that such a subsidization emanates from the demonstration...

Persistent link: https://www.econbiz.de/10010293715