Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investorsfor first-time allocations into the alternative investment asset class. While many papers coverthe bright side of FHF investing, we in this paper empirically investigate the maximum drawdownsof FHF....

Monetary policies of the ECB and US Fed can be characterised by “Taylor rules”, that is bothcentral banks seem to be setting rates by taking into account the “output gap” and inflation.We also set up and tested Taylor rules which incorporate money growth and the euro-dollarexchange rate,...

Most research on the performance and risk of hedge funds are based on calculations that justuse the data from one index provider. Also most product providers and even more and moreinvestors are using hedge fund indices for benchmarking purposes. As some academic articlespointed out, the world of...

The aim of this note is to provide an overview of various measures of “excess liquidity”,which can be defined as the deviation of the actual stock of money from an estimated equilibriumlevel. Given their dynamic nature, the excess liquidity measures under review are - in thelight of long and...

One major outcome of the review of the ECB’s “two pillar monetary policy strategy”, whichwas published on 8 May 2003, has been the de facto downgrading of the hitherto prominentrole assigned to the stock of money. According to the authors’ judgement, however, there is astrong theoretical...

This paper tackles the issue of the incompleteness of information available to thecentral bank when taking its monetary policy decisions. It is focused on euro areadata and based on the simplistic assumption of the central bank following a simplemonetary policy rule à-la-Taylor. Along the lines...

The rate of growth in bank loans to private households and firms in Germany hasdeclined substantially since early 2000 and currently stands at virtually zero. In thisarticle, we analyse whether cyclical factors (“demand-side driven”) or banks’ unwillingnessand/or inability to lend...