The Expectations Hypothesis of the Term Structure (EHT) implies cointegration between interest rates of different maturities and predicts certain values for adjustment speed. We estimate reduced-form Vector Error Correction Models (VECMs) of the US term structure. These are derived from a...

Fractionally integrated vector autoregressive models allow to capture persistence in time series data in a very flexible way. Additional flexibility for the short memory properties of the model can be attained by using the fractional lag perator of Johansen (2008) in the vector autoregressive...

In the following paper a simultaneous unobserved components model is applied to US and Canadian output data in order to examine the causal structure of trend and cycle shocks and the way it changes over time. The main focus is placed on the analysis of the subprime crisis impact on the trend and...

Nach Meinung von Hans Fehr, Lehrstuhl für Finanzwissenschaft, Universität Würzburg, belastet der aktuelle Gesetzentwurf zur Reform der Rentenversicherung pauschal die Beitragszahler, konterkariert die eingeleitete Anhebung des Rentenzugangsalters und hilft nur wenig gegen die künftig...

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q...

We develop new evidence on job recruitments and vacancy durations using a rich source of data on individual hires. Our core data set contains 55,000 recruitments into vacant job positions for stratified random samples of German employers from 2000 to 2010. We have information about the employer,...

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 the non-stationarity of the interest differential via central bank reactions to exchange rate...

The present paper sheds further light on a well-known (alleged) violation of the expectations hypothesis of the term structure (EHT): the frequent finding of unit roots in interest rate spreads. We show that the EHT implies (i) that the nonstationarity stems from the holding premium, which is...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

This paper studies the conditional patterns of unemployment dynamics in Germany. We employ a structural VAR model and identify a technology shock and two policy shocks by using standard restrictions. Interestingly, the worker reallocation process varies substantially with the identified shocks....