The balanced growth and stochastic growth theory implies stable investment-output and consumption-output ratios. Our analysis supports cointegration between investment and output (IO-model) as well as consumption and output (CO-model) for single countries. Pooling the data we find cointegration...

We pursue a semiparametric approach to examining core implications of the Fisher hypothesis, namely cointegration linking nominal interest rates and inflation, and homogeneity of the potential equilibrium relation. The sample is an unbalanced panel and comprises monthly time series from more...

In this paper we test the purchasing power parity for the post Bretton Woods period for 18 main industrial countries. As base currencies we use alternatively the Deutsche mark, the Japanese yen, and the US dollar. We employ error correction models for single countries and on the level of pooled...

We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...

Die Analyse von täglichen Änderungen der deutschen Umlaufsrendite für festverzinsliche Wertpapiere der öffentlichen Hand zeigt starke Evidenz für eine zeitliche Abhängigkeit in den Varianzen für die Periode Januar 1981 - Juli 1996. Der untersuchte Zeitraum umfasst die Einführung von...

The paper provides an analysis of daily changes of German yields of public bonds outstanding for the period 1981-mid 1996. The sample period covers the introduction of financial innovations like future options. In addition, we suppose the interdependence of national bond markets and the activity...

Regarding inflation as being a monetary phenomenon in the long-run is a widely-held view in modern macro economics. We analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a supposed equilibrium price level (P-star), which...

In this paper we follow an empirical approach to examine the implications of the Fisher hypothesis, namely cointegration linking interest rates and inflation, and stationarity of the real interest rate implying in turn homogeneity of the potential equilibrium relation. The considered sample is...

Die Analyse von täglichen Änderungen der deutschen Umlaufsrendite für festverzinsliche Wertpapiere der öffentlichen Hand zeigt starke Evidenz für eine zeitliche Abhängigkeit in den Varianzen für die Periode Januar 1981 - Juli 1996. Der untersuchte Zeitraum umfasst die Einführung von...

In this paper we test the purchasing power parity for the post Bretton Woods period for 18 main industrial countries. As base currencies we use alternatively the Deutsche mark, the Japanese yen, and the US dollar. We employ error correction models for single countries and on the level of pooled...