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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model

Giese, Julia V. - Institut für Weltwirtschaft (IfW) - 2008

Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...

Persistent link: https://www.econbiz.de/10005083365

Announcements of ECB Unconventional Programs: Implications for the Sovereign Risk of Italy

Falagiarda, Matteo; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10010886951

Should We Discount the Far-Distant Future at Its Lowest Possible Rate?

Gollier, Christian - Institut für Weltwirtschaft (IfW) - 2009

In this paper, we elaborate on an idea initially developed by Weitzman (1998) that justifies taking the lowest possible discount rate for far-distant future cash flows. His argument relies on the arbitrary assumption that when the future rate of return of capital (RRC) is uncertain, one should...

Persistent link: https://www.econbiz.de/10005083338

Yes, we should discount the far-distant future at its lowest possible rate: a resolution of the Weitzman-Gollier puzzle

Freeman, Mark C. - Institut für Weltwirtschaft (IfW) - 2009

In this paper the author proves that the Expected Net Future Value (ENFV) criterion can lead a risk neutral social planner to reject projects that increase expected utility. By contrast, the Expected Net Present Value (ENPV) rule correctly identifies the economic value of the project. While the...

Persistent link: https://www.econbiz.de/10008561126

Determinants of government bond spreads in the Euro area – in good times as in bad

Aßmann, Christian; Hogrefe, Jens - Institut für Weltwirtschaft (IfW) - 2009

spreads are usually attributed to differing default and liquidity risks. Recent research points out that time-varying global … rather their evaluation increased but lost relative importance compared to liquidity risks …

Persistent link: https://www.econbiz.de/10005026904

Politics and the Stock Market ; Evidence from Germany

Döpke, Jörg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2004

We analyze the interaction of stock market movements and politics in Germany. In contrast to the empirical evidence available for the U.S., we do not find that German stock market returns tend to be higher during liberal than during conservative governments. Also in contrast to results for the...

Persistent link: https://www.econbiz.de/10005700518

How Resilient is the German Banking System to Macroeconomic Shocks?

Dovern, Jonas; Meier, Carsten-Patrick; Vilsmeier, Johannes - Institut für Weltwirtschaft (IfW) - 2008

Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data …. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic … to model the interaction between the banking sector and the macroeconomy. Our identified-VAR analysis indicates that the …

Persistent link: https://www.econbiz.de/10005818895

Trade Effects of Monetary Integration in Large, Mature Economies: A Primer on the European Monetary Union

Souza, Lúcio Vinhas de - Institut für Weltwirtschaft (IfW) - 2002

of the euro area. With a 1980-2001 sample, no consistent significant trade effects from the 1999 creation of EMU are … found, using dummies for the 1999-2001 period. Treating EMU not as a single event but as a part of a long-term integration …

Persistent link: https://www.econbiz.de/10005818856

Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - Institut für Weltwirtschaft (IfW) - 2001

This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...

Persistent link: https://www.econbiz.de/10005700511

Changes in the Response of Fiscal Policy to Monetary Policy in the EMU

Arora, Sanchit; Reicher, Claire - Institut für Weltwirtschaft (IfW) - 2014

We study the evolution of the response of scal policy to monetary policy shocks in the EMU in the light of two … important events: the signing of the Maastricht treaty in 1992 and the introduction of the EMU in 1999. Based on impulse … as complements after the introduction of the EMU. These results holds for a set of 11 non-EMU countries as well, which …

Persistent link: https://www.econbiz.de/10011093913

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