The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are...

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are assigned lower ratings, ceteris paribus, than "old" ones. We...

This paper investigates the usefulness of the money demand relationship in times of unconventional monetary policies by cointegration methods. In contrast to the bulk of the literature, evidence in favour of a stable long run money demand function is presented both for the US and the euro area....

The use of log-transformed data has become standard in macroeconomic forecasting with VAR models. However, its appropriateness in the context of out-of-sample forecasts has not yet been exposed to a thorough empirical investigation. With the aim of filling this void, a broad sample of VAR models...

Before the World War I, the urban rental housing market in Germany could be described as a free and competitive market. The government hardly interfered in the relationships between the landlords and ten- ants. The rents were set freely. During the World War I, the market was hit by several...

Parental leave and subsidized child care are prominent examples of family policies supporting the reconciliation of family life and labor market careers for mothers. In this paper, we combine different empirical strategies to evaluate the employment effects of these policies for mothers in...

A strong private equity market is a cornerstone for commercialization and innovation in modern economies. However, substantial differences exist in the relative amounts raised and invested in private equity across European countries. We investigate the macro-determinants of private equity...

Expectations form the basis of economic decisions of market participants in an uncertain world. Sentiment indicators reflect those expectations and thus have a proven track record for predicting economic variables. However, respondents of surveys perceive the world to a large extent with the...

The growth of the German economy intrinsically depends on the development of German exports to the euro area, which is by far the biggest market for German products. The paper estimates a structural equation for the export demand from the EMU member countries, which is suitable for both...