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Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2021

We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real...

Persistent link: https://www.econbiz.de/10012543597

The euro’s trade effect under cross-sectional heterogeneity and stochastic resistance

Herwartz, Helmut; Weber, Henning - 2010

This paper investigates if the euro's effect on euro-area trade differs across trade sectors and across country pairs …, and to what degree heterogeneity matters for estimating the aggregate euro effect. Time-varying latent variables, which …, aggregate exports within the euro area increase between 2000 and 2002 by 15 to 25 percent compared with aggregate exports …

Persistent link: https://www.econbiz.de/10003976871

The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023

We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...

Persistent link: https://www.econbiz.de/10014305726

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001377688

Nonparametric comparison of regression curves : an empirical process approach

Dette, Holger; Neumeyer, Natalie - 2000

We propose a new test for the comparison of two regression curves, which is based on a difference of two marked empirical processes based on residuals. The large sample behaviour of the corresponding statistic is studied to provide a full nonparametric comparison of regression curves. In...

Persistent link: https://www.econbiz.de/10009781620

A power comparison between nonparametric regression tests

Zhang, Chunming; Dette, Holger - 2003

In this paper, we consider three major types of nonparametric regression tests that are based on kernel and local polynomial smoothing techniques. Their asymptotic power comparisons are established systematically under the fixed and contiguous alternatives, and are also illustrated through...

Persistent link: https://www.econbiz.de/10010509837

A note on testing the covariance matrix for large dimension

Birke, Melanie; Dette, Holger - 2003

We consider the problem of testing hypotheses regarding the covariance matrix of multivariate normal data, if the sample size s and dimension n satisfy lim [n,s→∞] n/s = y. Recently, several tests have been proposed in the case, where the sample size and dimension are of the same order, that...

Persistent link: https://www.econbiz.de/10010514274

A power comparison between nonparametric regression tests

Zhang, Chunming; Dette, Holger - 2003

Persistent link: https://www.econbiz.de/10001813298

A note on testing symmetry of the error distribution in linear regression models

Neumeyer, Natalie; Dette, Holger; Nagel, Eva-Renate - 2003

Persistent link: https://www.econbiz.de/10001813567

Testing for causality in variance using multivariate GARCH model

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

Persistent link: https://www.econbiz.de/10002056023