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Testing for competition among German banks

Hempell, Hannah S. - 2002

profit and loss accounts for the years 1993-1998, the hypotheses of perfect collusion as well as of perfect competition can …

Persistent link: https://www.econbiz.de/10001647892

Wechselkurszielzonen, wirtschaftlicher Aufholprozess und endogene Realignmentrisiken

Radeck, Karin - 2002

Persistent link: https://www.econbiz.de/10001727585

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10001727625

Monetary transmission in the new economy : service life of capital, transmission channels and the speed of adjustment

Kalckreuth, Ulf von; Schröder, Jürgen - 2002

This paper evaluates the consequences of accelerated technical progress for monetary transmission and the speed of adjustment in the real economy. With a decreasing service life, the long term rate relevant to real demand will resemble more closely the money market rate. We make the investment...

Persistent link: https://www.econbiz.de/10001684383

Monetäre Indikatoren und geldpolitische Regeln im P-Stern-Modell

Tödter, Karl-Heinz - 2002

Persistent link: https://www.econbiz.de/10001684590

Cost-push shocks and monetary policy in open economies

Sutherland, Alan - 2002

This paper analyses the implications of cost-push shocks for the optimal choice of monetary policy target in an two-country sticky-price model. In addition to cost-push shocks, each country is subject to labour-supply and money-demand shocks. It is shown that the fully optimal coordinated policy...

Persistent link: https://www.econbiz.de/10001717515

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10001657476

The Eurosystem's standing facilities in a general equilibrium model of the European interbank market

Tapking, Jens - 2002

We analyse the European interbank market in a general equilibrium model. Several institutional aspects of the market are taken into consideration, especially the Eurosystem's two standing facilities, reserve requirements of banks and the fact that borrowing from the Eurosystem has to be secured....

Persistent link: https://www.econbiz.de/10001686290

Imperfect competition, monetary policy and welfare in a currency area

Lombardo, Giovanni - 2002

This paper studies the implication, in terms of welfare and monetary policy, of unequal degrees of competition across … members of a currency area. We look at two ways in which the degree of competition in the market for goods can affect welfare … in a currency area. One is through different average degrees of competition in the monetary union; the other is through …

Persistent link: https://www.econbiz.de/10001693438