The mid-term and long-term growth potential of China’s insurance industry is a subject ofsignificant interest to governments, business and academia. In this paper, the ‘‘worldinsurance growth curve’’ is used in conjunction with estimates of China’s future GDPgrowth to estimate the...

Most treatments of the Great Depression have focused on its onset and its aftermath. In contrast, we take a unified view of the interwar period. We look at the slide into and the emergence from the 1920-21 recession and the roaring 1920s boom, as well as the slide into the Great Depression after...

Nominal and real U.S. interest rates (1997–2007) are combined with inflationexpectations from the Survey of Professional Forecasters to calculate time series ofrisk premia. It is shown that survey data on inflation and output growth uncertainty,as well as a proxy for liquidity premia can...

Explaining exchange rates has long been an important but vexing issue in international economics and finance. In recent years, a number of studies have shown that investors' private information plays a central role in determining exchange rates. We demonstrate in this paper that the private...

Das vorliegende Papier verfolgt, den empirischen Zusammenhang zwischen den realen Aktienmarktniveaus von Deutschland und den USA zur Aktienmarktprognose zu verwenden ...

This paper tests whether out-of-sample hedonic value predictions can be improved when a large urban housing market is divided into submarkets.

In this paper we want to discuss macroscopic and microscopicproperties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Credit risk transition probabilities between aggregate portfolio classes constitute a very useful tool when individual transition data are not available. Jones (2005) estimates Markovian Credit Transition Matrices using an adjusted least squares method. Given the arguments of Judge and Takayama...

We systematically examine the comparative predictive performance of a number of alternativelinear and non-linear models for stock and bond returns in the G7 countries. Besides Markovswitching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regimeswitching...

I apply standard time series models to US housing prices. Forecasts made in 2005 or earlier would have produced stress scenarios that are worse than the subsequent actual change in housing prices. The probability of these scenarios is in the range that banks claim to consider in their risk...