This paper investigates the transmission of monetary policy in the euro area based onthe factor augmented vector autoregressive approach of Bernanke, Boivin and Eliasz(2005) as well as on a standard VAR model. We focus on the reaction of monetaryaggregates to a one-off monetary policy shock. We...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

This paper analyzes the recently documented instability of money demand in theeuro area in the framework of a Markov switching trend model. First, we consider astandard flexible price model with stable money demand, rational expectations, andan exogenous income-money ratio which follows a Markov...

Vorliegendes Arbeitspapier analysiert die Einflüsse intertemporaler Renditezusammenhänge und fester Startwerte in Vektorautoregressions-(VAR-) Modellen für stetige Renditen anhand des Vergleichs mit einem statischen Random-Walk-Modell.

This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).

This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.

A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)

We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

In this paper, we investigate the asymmetry in the tail dependence between USequity portfolios and the aggregate US market. Given the limited number of ob-servations in the tails of a joint distribution, standard non-parametric measures oftail dependence often have poor nite-sample properties....

This paper studies asset allocation decisions in the presence of regime switching in asset returns. Wefind evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states- are required to capture the joint distribution of stock and bond returns. Optimal asset...