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Cyclical correlations, credit contagion, and portfolio losses

Giesecke, Kay (contributor); Weber, Stefan (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919109

Common cycles : a frequency domain approach

Breitung, Jörg; Candelon, Bertrand - 2000

In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency … series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental … Variables (IV) approach or a Canonical Correlation Analysis (CCA). The asymptotic and finite sample properties are studied and …

Persistent link: https://www.econbiz.de/10009612024

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...

Persistent link: https://www.econbiz.de/10009612026

Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - 2001

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...

Persistent link: https://www.econbiz.de/10009613608

Complementarity of labor market institutions, equilibrium unemployment and the propagation of business cycles

Burda, Michael C.; Weder, Mark - 2001

This paper evaluates complementarities of labor market institutions and the business cycle in the context of a stochastic dynamic general equilibrium model economy. Matching between workers and vacancies with endogenous time spent in search, Nash{bargained wages, payroll taxation, and...

Persistent link: https://www.econbiz.de/10009614292

Complementarity of labor market institutions, equilibrium unemployment and the persistence of business cycles

Burda, Michael C.; Weder, Mark - 1999

This paper evaluates complementarities of labor market institutions and the business cycle in the context of a stochastic dynamic general equililbriurn model econorny. Matching between workers and vacancies with endogenous search intensity, Nash-bargained wages, payroll taxation, and...

Persistent link: https://www.econbiz.de/10009580466

Money demand in Europe : evidence from the past

Müller-Kademann, Christian; Hahn, Elke - 2000

The conditions under which European monetary policy is likely to be conducted are investigated by means of multi-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis identifies two stable long-run relationships within a...

Persistent link: https://www.econbiz.de/10009583887

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

Growth regression and counterfactual income dynamics

Desdoigts, Alain - 2000

Persistent link: https://www.econbiz.de/10009611551

Transitional dynamics in the Uzawa-Lucas model of endogenous growth

Bethmann, Dirk (contributor); Reiß, Markus (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919298