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Evaluating Inflation Targeting Using a Macroeconometric Model

Fair, Ray C. - Institut für Weltwirtschaft (IfW) - 2007

This paper uses a structurally estimated macroeconometric model, denoted the MC model, to evaluate inflation targeting in the United States. Various interest rate rules are tried with differing weights on inflation and output, and various optimal control problems are solved using differing...

Persistent link: https://www.econbiz.de/10005083416

Integrating biodiversity indices into a multi-species optimal control model

Bertram, Christine - Institut für Weltwirtschaft (IfW) - 2010

Processes of regional economic integration have been shaping the economic relations between countries significantly during the last decades. In addition, an increasing integration of the national economies into the global economy has affected these economic relations, too. In an effort to...

Persistent link: https://www.econbiz.de/10008693813

Managing Disinflation under Uncertainty

Tesfaselassie, Mewael F.; Schaling, Eric - Institut für Weltwirtschaft (IfW) - 2008

In this paper we analyze disinflation policy when a central bank has imperfect information about private sector inflation expectations but learns about them from economic outcomes, which are in part the result of the disinflation policy. The form of uncertainty is manifested as uncertainty about...

Persistent link: https://www.econbiz.de/10005755117

Contagion Risk in the Interbank Market: A Probabilistic Approach to cope with Incomplete Structural Information

Montagna, Mattia; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2014

for the contagion after default of one unit (i.e. number of expected subsequent defaults, or their probabilities). For …

Persistent link: https://www.econbiz.de/10010905564

Hubs and resilience: towards more realistic models of the interbank markets

Montagna, Mattia; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2013

This paper uses a toy financial system to study systemic risk in scale-free interbank networks. Networks are produced according to a fitness algorithm, combined with a representation of the balance sheets of the banks. Our generating processes for interbank networks are designed in a way to...

Persistent link: https://www.econbiz.de/10010905570

Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013

Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...

Persistent link: https://www.econbiz.de/10010956052

Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach

Mili, Mehdi - Institut für Weltwirtschaft (IfW) - 2012

The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...

Persistent link: https://www.econbiz.de/10010956076

Finding communities in credit networks

Bargigli, Leonardo; Gallegati, Mauro - Institut für Weltwirtschaft (IfW) - 2012

likelihood of intracommunity default contagion is expected to be high. …

Persistent link: https://www.econbiz.de/10010956113

Contagion effect of financial crisis on OECD stock markets

Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa - Institut für Weltwirtschaft (IfW) - 2011

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global …-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs … OECD stock markets under study during the crisis period for most of the countries. This proves the existence of contagion …

Persistent link: https://www.econbiz.de/10009149314

Contagion Between European and US Banks: Evidence from Equity Prices

Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

Persistent link: https://www.econbiz.de/10008764567