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Consumer price adjustment under the microscope : Germany in a period of low inflation

Hoffmann, Johannes (contributor); … - 2006

We analyse the adjustment of retail and services prices in a period of low inflation, using a set of individual price … data from the German Consumer Price Index which covers the years 1998 to 2003. We strong find evidence of time- and state …-dependent price adjustment. Most importantly, the differences in unconditionalʺ sectoral price flexibility are found to be linked to …

Persistent link: https://www.econbiz.de/10003339174

Measuring business sector concentration by an infection model

Düllmann, Klaus (contributor) - 2006

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable infection modelʺ can provide a meaningful estimate of the impact of...

Persistent link: https://www.econbiz.de/10003326735

The coordination channel of foreign exchange intervention : a nonlinear microstructural analysis

Reitz, Stefan (contributor); Taylor, Markt P. (contributor) - 2006

The coordination channel has been proposed as a means by which foreign exchange market intervention may be effective, in addition to the traditional portfolio balance and signaling channels. If strong and persistent misalignments of the exchange rate are caused by non-fundamental influences,...

Persistent link: https://www.econbiz.de/10003304957

Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante...

Persistent link: https://www.econbiz.de/10003304970

Identifying the role of labor markets for monetary policy in an estimated DSGE model

Christoffel, Kai (contributor); Küster, Keith (contributor) - 2006

We focus on a quantitative assessment of rigid labor markets in an environment of stable monetary policy. We ask how wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we structurally model matching frictions and rigid wages...

Persistent link: https://www.econbiz.de/10003339179

Granularity adjustment for Basel II

Gordy, Michael B. (contributor); … - 2007

The credit value-at-risk model underpinning the Basel II Internal Ratings-Based approach assumes that idiosyncratic risk has been diversified away fully in the portfolio, so that economic capital depends only on systematic risk contributions. We develop a simple methodology for approximating the...

Persistent link: https://www.econbiz.de/10003415403

Slippery slopes of stress : ordered failure events in German banking

Kick, Thomas (contributor); Koetter, Michael (contributor) - 2007

Outright bank failures without prior indication of financial instability are very rare. Supervisory authorities monitor banks constantly. Thus, they usually obtain early warning signals that precede ultimate failure and, in fact, banks can be regarded as troubled to varying degrees before...

Persistent link: https://www.econbiz.de/10003415419

Threshold dynamics of short-term interest rates : empirical evidence and implications for the term structure

Archontakis, Theofanis (contributor); … - 2007

This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...

Persistent link: https://www.econbiz.de/10003417530

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael (contributor); … - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...

Persistent link: https://www.econbiz.de/10003477096

How to treat benchmark revisions? : the case of German production and orders statistics

Knetsch, Thomas A. (contributor); … - 2006

Elements of an econometric examination of benchmark revisions in real-time data are suggested. Structural break tests may be applied to detect heterogeneities within vintages. Systems cointegration tests are helpful to reveal inconsistencies across vintages. Differencing and rebasing, often used...

Persistent link: https://www.econbiz.de/10003391943