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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

Circuit theory extended: The role of speculation in crises

Lancastle, Neil - Institut für Weltwirtschaft (IfW) - 2012

survival constraints that include a living wage, a zero interest rate and an upper interest rate. Inflation is everywhere. The … on the external balance and inflation concerns. The paper concludes that, with international Ponzi sectors, viable …

Persistent link: https://www.econbiz.de/10010983167

Information stickiness in general equilibrium and endogenous cycles

Gomes, Orlando - Institut für Weltwirtschaft (IfW) - 2012

Traditionally, observed fluctuations in aggregate economic time series have been mainly modelled as being the result of exogenous disturbances. A better understanding of macroeconomic phenomena, however, surely requires looking directly at the relations between variables that may trigger...

Persistent link: https://www.econbiz.de/10010956107

Changes in the Balance of Power Between the Wage and Price Setters and the Central Bank: Consequences for the Phillips Curve and the NAIRU

Kromphardt, Jürgen; Logeay, Camille - Institut für Weltwirtschaft (IfW) - 2007

In this paper we introduce and test the hypothesis that the relation between inflation and unemployment has been in … 1975 and 1980 after the first (or the second) oil price shock in autumn 1973. During the disin°ation period, inflation and … their favour and the Central Bank fighting against inflation. Since the wage and price setters did not fully believe in an …

Persistent link: https://www.econbiz.de/10005755220

Credit disruptions and the spillover effects between the household and business sectors

Nilavongse, Rachatar - Institut für Weltwirtschaft (IfW) - 2013

inflation downward. Debt deflation further depresses consumption, labor demand, and investment, altogether generating a sharp …

Persistent link: https://www.econbiz.de/10010956045

Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle

Döpke, Jörg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2000

This paper elaborates on the relative importance of sectoral shocks for real economic activity in Germany. Implications of multisectoral real business cycle models are examined by resorting to testing techniques based on stock market returns. The empirical evidence is obtained by calculating...

Persistent link: https://www.econbiz.de/10005818891

Estimating the Shape of Economic Crises under Heterogeneity

Dovern, Jonas; Jannsen, Nils - Institut für Weltwirtschaft (IfW) - 2009

During the ongoing financial crisis the analysis of similar historical crises has gained more and more attention among economic researchers and forecasters. Existing studies, however, do not tackle the immense heterogeneity that is present in cross-country samples in a formal and consistent way....

Persistent link: https://www.econbiz.de/10005012878

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

The Great Recession versus the Great Depression: stylized facts on siblings that were given different foster parents

Aiginger, Karl - Institut für Weltwirtschaft (IfW) - 2010

This paper compares the depth of the Recent Crisis and the Great Depression. We use a new data set to compare the drop in activity in the industrialized countries for seven activity indicators. This is done under the assumption that the Recent Crisis leveled off in mid-2009 for production and...

Persistent link: https://www.econbiz.de/10008615592

The Role of Sentiment in the Provision of Credit

Meyer, Björn O. - Institut für Weltwirtschaft (IfW) - 2014

The provision of credit has been shown to be eminent for macroeconomic activity.Recent research highlighted that optimism may play a role in the provision of credit through leverage cycles. A decomposition of corporate bond spreads allows the modelling of a propensity-to-lend through an excess...

Persistent link: https://www.econbiz.de/10011093912

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