Short answer: It helps a lot when other important variables are excluded from the information set. Longer answer: We revisit claims in the literature that money growth is Granger-causal for inflation at low frequencies. Applying frequency-specific tests in a comprehensive system setup for...

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....

In dieser Untersuchung wird gezeigt, wie neuere ökonometrische Verfahren zur Modellierung und Prognose von Volatilitäten auf Aktienmärkten eingesetzt werden können. Hierzu werden verschiedene Varianten aus der Klasse der ARCH Modelle und das Markov-Mischungsmodell herangezogen. Die...

From September 2011 to January 2015, the Swiss National Bank (SNB) implemented a minimum exchange rate regime (i.e. a one-sided target zone) vis-a-vis the euro to fight deflationary pressures in the aftermath of the Great Financial Crisis. During this period of unconventional monetary policy,...