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Robust GMM estimation of an Euler equation investment model with German firm level panel data

Janz, Norbert - 1997

constants are provided. Whereas the estimation results from the usual GMM estimator would contradict the theory, the empirical …

Persistent link: https://www.econbiz.de/10013428090

The determinants of BUND-future price changes : an ordered probit analysis using DTB and LIFFE data

Kaiser, Ulrich - 1997

This paper investigates the determinants of transaction price changes during BUND-future trading at Deutsche Terminbörse (DTB) and London International Financial Futures Exchange (LIFFE). The analysis uses the ordered probit model, which is an econometric tool that is comparatively new to the...

Persistent link: https://www.econbiz.de/10011621695

The determinants of BUND-future price changes : an ordered probit analysis using DTB and LIFFE data

Kaiser, Ulrich - 1997

Persistent link: https://www.econbiz.de/10013428091

The PHF: a comprehensive panel survey on household finances and wealth in Germany

Kalckreuth, Ulf von; Eisele, Martin; Le Blanc, Julia; … - 2012

The Panel on Household Finances (PHF) is a new panel survey on household finances and wealth in Germany conducted by … households in Germany. Wealthy households are oversampled using micro-geographic indicators. The survey is designed to be a full … self-contained and comprehensive survey on household finances in Germany, the PHF is part of the Household Finance and …

Persistent link: https://www.econbiz.de/10009563509

Saving and learning : theory and evidence from saving for child’s college

Zhu, Junyi - 2012

This paper analyzes the main uncertainty of college saving - the child’s ability - in the context of the saving with learning model. The first section develops a dynamic model combining asset accumulation and learning to explain the parents’ forward-looking saving behavior when they are...

Persistent link: https://www.econbiz.de/10009625571

The term structure of interest rates and the macroeconomy : learning about economic dynamics from a FAVAR

Halberstadt, Arne - 2015

Expectations about macroeconomic developments are important determinants of long term interest rates. In this paper, I compare two different assumptions on how agents may form their expectations about the economy and yields in a pseudo real time exercise. Based on the no-arbitrage...

Persistent link: https://www.econbiz.de/10010471626

Contagious herding and endogenous network formation in financial networks

Georg, Co-Pierre - 2014

When banks choose similar investment strategies, the financial system becomes vulnerable to common shocks. Banks decide about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed from observing the actions of peers. When the social...

Persistent link: https://www.econbiz.de/10010405430

Consumer cash usage : a cross-country comparison with payment diary survey data

Bagnall, John; Bounie, David; Huynh, Kim P.; Kosse, Anneke - 2014

, France, Germany, the Netherlands, and the United States (conducted 2009 through 2012). Our paper finds important cross …

Persistent link: https://www.econbiz.de/10010384150

How do households allocate their assets? : stylized facts from the eurosystem household finance and consumption survey

Arrondel, Luc; Bartiloro, Laura; Fessler, Primin; … - 2014

Using the Household Finance and Consumption Survey (HFCS), a large micro-level dataset on households’ wealth in fifteen euro area countries, this paper explores how households allocate their assets. We derive stylized facts on asset participation as well as levels of asset holdings and...

Persistent link: https://www.econbiz.de/10010384151

Wealth shocks, credit-supply shocks, and asset allocation : evidence from household and firm portfolios

Kick, Thomas; Ruprecht, Benedikt; Onali, Enrico; … - 2014

We use a unique dataset with bank clients’ security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth...

Persistent link: https://www.econbiz.de/10010258831

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