This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

In a world with imperfect competition, market externalities or asymmetric information, the impact of money and monetary policy on the real sector depends on the way money is created. Two conflicting views of money supply can be distinguished in the literature: the endogeneity view and the...

Appraisals are needed for decision-making and for performance evaluation. Knowledge on the accuracy of valuation methods is of general interest for banks and investors. We assess the accuracy of the German Regulation on Valuation with monthly data on appraisals and prices for commercial...

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

Recent investigations of the transmission mechanism of German monetary policy arrive at quite different conclusions regarding its stability during the period of monetary targeting by the Bundesbank. In this study small dynamic models for the monetary sector of the German economy are analyzed in...

This paper extends the class of AK models with an explicit solution to the case where there are two capital goods in the model. this extension holds, even if an external effect in the use of human capital in goods production ia assumed.