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FX Intervention in the Yen-US Dollar Market: A Coordination Channel Perspective

Stefan Reitz ; Taylor, Mark P. - Institut für Weltwirtschaft (IfW) - 2012

The coordination channel has recently been established as an additional means by which foreign exchange market intervention may be effective. It is conjectured that strong and persistent misalignments of the exchange rate are caused by a coordination failure among fundamentals-based traders. In...

Persistent link: https://www.econbiz.de/10010886895

Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - Institut für Weltwirtschaft (IfW) - 2015

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...

Persistent link: https://www.econbiz.de/10011269107

Comparing and selecting performance measures using rank correlations

Caporin, Massimiliano; Lisi, Francesco - Institut für Weltwirtschaft (IfW) - 2011

The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyze, rank and select assets. There is thus a problem: which measures should be considered? The authors extend the current literature by comparing a large set of performance...

Persistent link: https://www.econbiz.de/10009493749

Extensive vs. Intensive Margin in Germany and the United States: Any Differences?

Merkl, Christian; Wesselbaum, Dennis - Institut für Weltwirtschaft (IfW) - 2009

This papers analyzes the role of the extensive vis-à-vis the intensive margin of labor adjustment in Germany and the United States. The contribution is twofold. First, we provide an update of older U.S. studies and confirm the view that the extensive margin (i.e., the adjustment in the number...

Persistent link: https://www.econbiz.de/10008531660

Switching Rates and the Asymptotic Behavior of Herding Models

Irle, Albrecht; Kauschke, Jonas; Lux, Thomas; … - Institut für Weltwirtschaft (IfW) - 2010

Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the statistical regularities of financial returns. We review some of the relevant mathematical facts and show how they apply to agent-based herding models, with the...

Persistent link: https://www.econbiz.de/10008583487

The Intensive Margin Puzzle and Labor Market Adjustment Costs

Wesselbaum, Dennis - Institut für Weltwirtschaft (IfW) - 2011

This paper documents a puzzling fact, namely that there is a significant negative relation between employment protection legislation and the usage of the intensive margin of labor market adjustments. We then make use of a Real Business Cycle model and introduce search and matching frictions as...

Persistent link: https://www.econbiz.de/10009025168

Nanoeconomics: A statistical model of company profit influenced by individual interests of managers

Sokolov, Igor; Katyshev, Anatoly - Institut für Weltwirtschaft (IfW) - 2015

A concept and mathematical model of modern economics are formulated in which a company profit is defined when taking into account possible interests of individual decision makers rather than based exclusively on benefits of either the company (ground of microeconomics) or the whole society...

Persistent link: https://www.econbiz.de/10011144577

Applications of Statistical Physics in Finance and Economics

Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2008

This chapter reviews recent research adopting methods from statistical physics in theoretical or empirical work in economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from observed scaling laws in financial markets and the...

Persistent link: https://www.econbiz.de/10005566184

(S,s) pricing: Does the heterogeneity wipe out the asymmetry on micro level?

Babutsidze, Zakaria - Institut für Weltwirtschaft (IfW) - 2010

This paper presents a model of asymmetric (S,s) pricing. We investigate whether the asymmetry on micro level is carried … conclude that the first type of asymmetry can be attributed to the differences in adjustment bands and that heterogeneity … softens this effect. The second type of asymmetry is the result of pricing behavior, thus of agent heterogeneity itself. …

Persistent link: https://www.econbiz.de/10008597181

The Ugly and the Bad: Banking and Housing Crises Strangle Output Permanently, Ordinary Recessions Do Not

Hogrefe, Jens; Jannsen, Nils; Meier, Carsten-Patrick - Institut für Weltwirtschaft (IfW) - 2010

This paper provides statistical evidence suggesting that in industrial countries, recessions that are associated with either banking crises or housing crises dampen output far more than ordinary recessions. Using a parametric panel framework that allows for a bounceback of the level of output in...

Persistent link: https://www.econbiz.de/10008540816