This article presents new data on grain production, storage and prices in Saxony between 1789 and 1830. We contribute to three interrelated debates. First, we discuss whether monthly price increases were sufficient to cover storage costs, and how they relate to storage levels at the end of the...

Using a Markov-switching GARCH model this paper analyzes the volatility evolution of the greenback's price in gold from after the Civil War until the return to gold convertibility in 1879. The econometric inference associated with our methodology indicates a switch to a regime of low volatility...

This paper analyses 19th century wheat market integration using comovement analysis borrowed from international business cycle research. This allows for tracking each single city's integration into its respective national market while controlling for international developments. I nd that the...

This study analyzes annual wheat prices in 13 German cities in the years 1806 to 1855, together with wheat price series from 44 other European and American cities. The method used is a dynamic factor model, which allows for distinguishing common price uctuations on international and national...

Empirical studies on price transmissions between North American and European agricultural futures neglect the period of financialization in the US commodity market, the increase of futures trading in Europe and the recent price turmoils. We fill this gap by analyzing the price dynamics of...

In case of herding, investors follow each other, prices move together more than they normally do, and the cross-sectional dispersion of returns decreases. Chang, Cheng, and Khorana (2000) suggest to test for herding by regressing the cross-sectional absolute deviation on the absolute and squared...

We introduce a forecasting method that closely matches the econometric properties required by the theory on exchange rate prediction. Our approach formally models (i) when (and if) explanatory variables enter or leave a regression model, (ii) the degree of parameter instability, (iii) the...

The Gain-Loss-Ratio, proposed by Bernardo and Ledoit (2000), evaluates the attractiveness of an investment opportunity for an investor with a given stochastic discount factor. It can either be used as a performance measure on a market with known prices or to derive price-intervals in incomplete...

This paper introduces a Bayesian version for Dynamic Model Averaging for predicting aggregate stock returns. Our suggested approach simultaneously accounts for many sources of uncertainty. It is designed to handle (i) parameter instability, (ii) time-varying volatility, (iii) model uncertainty...

Stocks of German renewable energy companies have commonly been regarded as lucrative investment opportunities. Their innovative line of business initially seemed to promise considerable future earnings. As shown by two powerful bubble tests, the positive sentiment for renewable energy stocks...