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A structural approach to identify financial transmission in distinguished scenarios of crises

Herwartz, Helmut; Roestel, Jan - 2018

This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...

Persistent link: https://www.econbiz.de/10011903210

A robust bootstrap approach to the Hausman test in stationary panel data models

Herwartz, Helmut (contributor); … - 2007

In panel data econometrics the Hausman test is of central importance to select an e±cient estimator of the models' slope parameters. When testing the null hypothesis of no correlation between unobserved heterogeneity and observable explanatory variables by means of the Hausman test model...

Persistent link: https://www.econbiz.de/10003587048

Exact inference in diagnosing value-at-risk estimates : a Monte Carlo device

Herwartz, Helmut (contributor) - 2008

In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test...

Persistent link: https://www.econbiz.de/10003761111

Testing for causality in variance using multivariate GARCH models

Hafner, Christian M. (contributor); … - 2004 - [Elektronische Ressource]

Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based...

Persistent link: https://www.econbiz.de/10001981192

A functional coefficient model view of the Feldstein-Horioka puzzle

Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007

What does the saving-investment (SI) relation really measure and how should the (SI) relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allow to...

Persistent link: https://www.econbiz.de/10003477959

A new approach to bootstrap inference in functional coefficient models

Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007

We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...

Persistent link: https://www.econbiz.de/10003477963

When, how fast and by how much do trade costs change in the euro area?

Herwartz, Helmut (contributor); Weber, Henning (contributor) - 2008

Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area. …

Persistent link: https://www.econbiz.de/10003761135