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Finance, investment, and firm value in Germany and the US : a comparative analysis

Nowak, Eric - 1998

Germany and the United States are generally seen as the two competing systems of corporate governance. In search for a comparative welfare analysis of the financial systems, we are interested in (i) the aggregate value-added of corporate investments in the two countries and in (ii) the...

Persistent link: https://www.econbiz.de/10009578016

Further VAR evidence for the effectiveness of a credit channel in Germany

Holtemöller, Oliver - 2002

In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in … Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel … empirical evidence for the effectiveness and relevance of a credit channel in Germany can be reported. -- vectorautoregressive …

Persistent link: https://www.econbiz.de/10009626675

On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven

Herwartz, Helmut (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001918978

The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany

Nautz, Dieter; Wolters, Jürgen - 1998

We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions indicated by changes in the very short rate affect long-term interest rates. Our main point is that the expectations hypothesis implies that very long rates should only react to...

Persistent link: https://www.econbiz.de/10009578577

A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds

Riedel, Frank - 1997

The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...

Persistent link: https://www.econbiz.de/10009632605

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10009583885

A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...

Persistent link: https://www.econbiz.de/10009611543

Modeling the US short-term interest rate by mixture autoregressive processes

Lanne, Markku; Saikkonen, Pentti - 2000

A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...

Persistent link: https://www.econbiz.de/10009612047

Money and banks : some theory and empirical evidence for Germany

Holtemöller, Oliver - 2002

the credit market and the deposits market. Using the aggregated balance sheet of the banking sector, endogenous money is …

Persistent link: https://www.econbiz.de/10009620766

Credit risk modeling and valuation : an introduction

Giesecke, Kay - 2002

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or … issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …

Persistent link: https://www.econbiz.de/10009625799

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