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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

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Persistent link: https://www.econbiz.de/10001659915

Size corrected inference in fiscal policy reaction functions : a three country assessment

Herwartz, Helmut; Rengel, Malte - In: An analysis of long-term influences on financial …, (pp. 89-116). 2014

Persistent link: https://www.econbiz.de/10010480405

The introduction of the Euro and its effects on investment decisions

Haselmann, Rainer (contributor); … - 2005

In this paper we examine changes on investment decisions induced by the introduction of the Euro. There are two … potential sources of portfolio reallocation. First, the introduction of the Euro diminished exchange rate risks within the EMU …

Persistent link: https://www.econbiz.de/10003182391

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

Interest rates, convenience yields, and inflation expectations : drivers of US dollar exchange rates

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2024

Using a data-driven approach to identify structural vector autoregressive models, we examine key factors influencing the US dollar exchange rate across eight advanced economies from 1980 to 2022. We find that shocks to inflation expectations, which are closely tied to unfunded government...

Persistent link: https://www.econbiz.de/10015123453

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

Exchange rates, foreign currency exposure and sovereign risk

Bernoth, Kerstin; Herwartz, Helmut - 2019

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...

Persistent link: https://www.econbiz.de/10011977494

The determinants of health care expenditure : testing pooling restrictions in small samples

Herwartz, Helmut; Theilen, Bernd - 2000

Persistent link: https://www.econbiz.de/10001528176

Testing the purchasing power parity in pooled systems of error correction models

Herwartz, Helmut; Reimers, Hans-Eggert - 2000

Persistent link: https://www.econbiz.de/10001528178