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Lags and Leads in Life Satisfaction: A Test of the Baseline Hypothesis

Clark, Andrew E.; Diener, Ed; Georgellis, Yannis; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003

by life events (marriage and divorce). Anticipation is an important component of individual wellbeing. Last, we show that …

Persistent link: https://www.econbiz.de/10005068981

Flight-to-Liquidity and the Great Recession

Radde, Sören - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to financial frictions and idiosyncratic funding liquidity risk in their...

Persistent link: https://www.econbiz.de/10011128868

US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the...

Persistent link: https://www.econbiz.de/10008682201

Long Memory in German Energy Price Indices

Barros, Carlos P.; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken...

Persistent link: https://www.econbiz.de/10009646237

What Drives Housing Prices Down?: Evidence from an International Panel

Kholodilin, Konstantin A.; Menz, Jan-Oliver; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007

In this study, we suggest an explanation for the alarmingly low growth rates of real housing prices in Canada and Germany in comparison to other OECD countries over 1975-2005. We show that the long-run development of housing markets is determined by real disposable per capita income, real...

Persistent link: https://www.econbiz.de/10005068727

Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … estimation of a VAR-GARCH model. The results can be summarised as follows. Negative news have significant positive effects on … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their …

Persistent link: https://www.econbiz.de/10010929814

Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland

Siliverstovs, Boriss; Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the Swiss GDP. We find that the factor model...

Persistent link: https://www.econbiz.de/10008615361

An Early Warning System to Predict the House Price Bubbles

Dreger, Christian; Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011

In this paper, we construct the country-specific chronologies of the house price bubbles for 12 OECD countries over the period 1969:Q1- 2010:Q2. These chronologies are obtained using a combination of a fundamental and a filter approaches. The resulting speculative bubble chronology is the one...

Persistent link: https://www.econbiz.de/10009216692

Bayesian Inference for the Mixed-Frequency VAR Model

Viefers, Paul - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011

In this paper a mixed-frequency VAR à la Mariano & Murasawa (2004) with Markov regime switching in the parameters is estimated by Bayesian inference. Unlike earlier studies, that used the pseuo-EM algorithm of Dempster, Laird & Rubin (1977) to estimate the model, this paper describes how to...

Persistent link: https://www.econbiz.de/10009371746

Filtering German Economic Conditions from a Large Dataset: The New DIW Economic Barometer

Viefers, Paul; Fichtner, Ferdinand; Junker, Simon; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

This paper presents a revised version of the DIW Economic Barometer, the business cycle index of the German Institute for Economic Research (DIW Berlin). As in earlier versions, we put forward a factor model on a monthly frequency to filter the latent state of the aggregate economy. In the new...

Persistent link: https://www.econbiz.de/10010933108