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Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

Persistent link: https://www.econbiz.de/10010632797

Assessing the Sustainability of Government Debt: On the Different States of the Debt/GDP Process

Velinov, Anton - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

This paper discusses the type of trajectory a country's public debt path follows. In particular, a Markov switching ADF model is used to assess the sustainability of public debt by testing whether a government's present value borrowing constraint holds. Building on the work of Raybaudi et al....

Persistent link: https://www.econbiz.de/10010735661

Money and Inflation in the Euro Area during the Financial Crisis

Dreger, Christian; Wolters, Jürgen - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011

This paper explores the stability of the relation between money demand for M3 and inflation in the euro area by including the recent period of the financial crisis. Evidence is based on a cointegration analysis, where inflation and asset prices are allowed to enter the long run relationship. By...

Persistent link: https://www.econbiz.de/10009149130

Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation

Dreger, Christian; Wolters, Jürgen - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

This paper examines the forecasting performance of a broad monetary aggregate (M3) in predicting euro area inflation. Excess liquidity is measured as the difference between the actual money stock and its fundamental value, the latter determined by a money demand function. The out-of sample...

Persistent link: https://www.econbiz.de/10008682202

Unconventional Monetary Policy and Money Demand

Dreger, Christian; Wolters, Jürgen - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

This paper investigates the usefulness of the money demand relationship in times of unconventional monetary policies by cointegration methods. In contrast to the bulk of the literature, evidence in favour of a stable long run money demand function is presented both for the US and the euro area....

Persistent link: https://www.econbiz.de/10011128871

German Exports to the Euro Area

Stephan, Sabine - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2002

The growth of the German economy intrinsically depends on the development of German exports to the euro area, which is by far the biggest market for German products. The paper estimates a structural equation for the export demand from the EMU member countries, which is suitable for both...

Persistent link: https://www.econbiz.de/10004963603

Money Velocity and Asset Prices in the Euro Area

Dreger, Christian; Wolters, Jürgen - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008

Monetary growth in the euro area has exceeded its target since several years. At the same time, the money demand function seems to be increasingly unstable if more recent data are used. If the link between money balances and the macroeconomy is fragile, the rationale of monetary aggregates in...

Persistent link: https://www.econbiz.de/10004963942

M3 Money Demand and Excess Liquidity in the Euro Area

Dreger, Christian; Wolters, Jürgen - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008

Money growth in the euro area has exceeded its target since 2001. Likewise, recent empirical studies did not find evidence in favour of a stable long run money demand function. The equation appears to be increasingly unstable if more recent data are used. If the link between money balances and...

Persistent link: https://www.econbiz.de/10004963949

Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models

Dreger, Christian; Wolters, Jürgen - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

Monetary growth in the euro area has exceeded its target level especially since 2001. Likewise, recent empirical studies did not find evidence in favour of a stable long run relationship between the variables entering the money demand function. Instead the equation appears to be increasingly...

Persistent link: https://www.econbiz.de/10005068912

Benchmarking and Firm Heterogeneity in Electricity Distribution: A Latent Class Analysis of Germany

Cullmann, Astrid - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

In January 2009 Germany introduced incentive regulation for the electricity distribution sector based on results obtained from econometric and nonparametric benchmarking analysis. One main problem for the regulator in assigning the relative efficiency scores are unobserved firm-specific factors...

Persistent link: https://www.econbiz.de/10005068651

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