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...

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(...)

Asset-backed securitisation (ABS) is an asset funding technique that involvesthe issuance of structured claims on the cash flow performance of a designatedpool of underlying receivables. Efficient risk management and asset allocation inthis growing segment of fixed income markets requires both...

Basierend auf einem strukturellen Modell analysieren die Autoren das Bedeutung informierten Handels (adverse Selektionseffekte) und dessen Auswirkung auf die Liquiditätsqualität in Xetra, dem elektronischen Handelssystem der Deutschen Börse . Die ökonometrische Analyse basiert auf einem...

This paper addresses the question of the British state of convergence towards the Euro area, compared to the USA. Economically, the analysis is based on dependences in the money and capital markets, namely the uncovered interest parity (UIP) and the expectation hypothesis of the term structure...