As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit default swap spread returns to the concept of 4CoVaR suggested...

In this paper we adapt a dynamic discrete choice model to examine the aggregated demand for single- and multi-year crop insurance contracts. We show that in a competitive insurance market with heterogeneous risk averse farmers, there is simultaneous demand for both insurance contracts. Moreover,...

In this paper we investigate price and volatility risk originating in link- ages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact...

Electricity load forecasts are an integral part of many decision-making pro- cesses in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly impor- tant information about uncertainty. A more complete picture...

Time-diary data from 27 countries show a negative relationship between real GDP per capita and female-male differences in total work time—work for pay and work at home. In rich non-Catholic countries on four continents men and women do about the same average amount of total work. Survey...

German time use data for 2001/02 are used to assess the impact of workplace characteristics on the private life of couples. The major aim is to solve the endogeneity resulting from individual preferences for work and leisure to identify the pure effects of the workplace independent from other...

Using time-diary data from 25 countries, we demonstrate that there is a negative relationship between real GDP per capita and the female-male difference in total work time per day—the sum of work for pay and work at home. In rich northern countries on four continents there is no...

We study a matching model with heterogeneous agents, nontransferable utility and search frictions. Agents differ along a horizontal dimension (e.g. taste) and a vertical dimension (e.g. income). Agents’ preferences coincide only in the vertical dimension. This approach introduces individual...

The relation between the ECB’s main refinancing (MRO) rates and the money market is key for the monetary transmission process in the euro area. This paper investigates how money market rates respond to the new information revealed by MRO auctions. Our results confirm a stabilizing level...

This paper analyzes a procurement setting with two identical firms and stochastic innovations. In contrast to the previous literature, I show that a procurer who cannot charge entry fees may prefer a fixed-prize tournament to a first-price auction since holding an auction may leave higher rents...