Recent literature on the design of optimal monetary policy has shown that deviations fromprice stability are small whenever prices are sticky. This paper reconsiders this issue byintroducing capital accumulation in the model. Optimal monetary policy in this setupimplies small deviations from...

Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and...

The aim of this paper is to provide new empirical evidence on the impact of international financialintegration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to threedifferent geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

This paper investigates how media coverage in°uences macroeconomic informationprocessing at the bond market. I provide evidence that a high media coverage of aneconomic topic increases investor attention prior to the release of the corresponding economic indicator: High media coverage of the...

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...

We present a regression-based generalization of the calendar time portfolio approach which allows for decomposing the risk-adjusted performance of private investors (or firms or mutual funds) into multivariate and continuous subject characteristics. Our technique remedies several well-known...

This paper empirically investigates the impact of both the first release of analysts' stock recommendations to a limited clientele and the subsequent dissemination of the same information in a major newspaper to a broader audience. For a sample of 1460 stock recommendations published in FuW,...

I use a survey methodology to obtain consensus ratings of 64 Swiss company names. The survey evidence suggests that simple cognitive company name characteristics do affect the buy and sell decision of respondents. Furthermore, I find that respondents attribute positive stock performance rather...

We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signallinghypothesis and, to some extent, the market cyclicality hypothesis...

We estimate the long-run stock performance after intial public offerings (IPOs) in the German capital market with a larger sample than prior studies and alternative benchmarks (the equally and the value-weighted market portfolio, size portfolio and matching stocks). In addition we present the...