Seit 2021 steigen die Energiepreise kräftig an. Mit Beginn des russischen Kriegs gegen die Ukraine sind sie noch einmal in die Höhe geschnellt. Neben Lieferkettenstörungen und Exportrückgängen dämpft das die wirtschaftliche Entwicklung, Konjunkturprognosen wurden deutlich nach unten...

Seit 2021 steigen die Energiepreise kräftig an. Mit Beginn des russischen Kriegs gegen die Ukraine sind sie noch einmal in die Höhe geschnellt. Neben Lieferkettenstörungen und Exportrückgängen dämpft das die wirtschaftliche Entwicklung, Konjunkturprognosen wurden deutlich nach unten...

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Estimating multivariate EGARCH processes for the structural financial innovations determines causality-in-variance effects and...

In this paper we discuss identification of codependent VAR and VEC models. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and corresponding likelihood ratio testing...

We analyze non-stationary time series that do not only trend together in the long run, but restore the equilibrium immediately in the period following a deviation. While this represents a common serial correlation feature, the framework is extended to codependence, allowing for delayed...

We propose an extension of structural fractionally integrated vector autoregressive models that avoids certain undesirable effects for impulse responses if long-run identification restrictions are imposed. We derive its Granger representation, investigate the effects of long-run restrictions and...

The present work deals with a frequently detected failure of the uncovered interest rate parity (UIP) - the absence of bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential via central bank reactions to exchange rate...

"Between 1979 and 2009, the German labour market moved along a Beveridge curve with changing slope that usually shifted outwards but once inwards. We employ an unobserved components model to simultaneously disentangle permanent and transitory components of matching efficiency and separation rate...

"Using German data this study applies an unobserved-components approach to disentangle the unemployment rate into a (stochastic) trend and a cyclical part and to estimate the influence of these components on labor participation. The persistent trend component of unemployment, which triggers...

This paper disentangles direct spillovers and common factors, the sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be distinguished by specifying the variances...