This note examines how the DEM/USD rate and US short-term and long-term interest rates respond to the release of payroll announcements. In contrast to a recent paper by Edison (1997), who employs a linear econometric model, we test the influence of news by comparing the absolute values of the...

To measure the global spillovers of a Chinese slowdown on the long-term nominal interest rates in the US/Germany, I model the US/German nominal term structure jointly in the post financial crisis (FC) sample, including the Chinese leading indicator as a new factor. I use an affine term structure...

This paper studies the effects of fiscal policy on GDP, prices and interest rates in 5 OECD countries, using a structural Vector Autoregression approach. Its mains results can be summarized as follows; 1) The effects of fiscal policy on GDP and its components have become substantially weaker in...

This paper examines whether macroeconomic convergence is an automatic outcome of forming a currency union by combining an analysis of real interest parity (RIP) in the EU with the argument for the endogeneity of the Optimum Currency Area (OCA) criteria. Using the DF-GLS and the CIPS* panel unit...

Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks...

This note examines how the DEM/USD rate and US short-term and long-term interest rates respond to the release of payroll announcements. In contrast to a recent paper by Edison (1997), who employs a linear econometric model, we test the influence of news by comparing the absolute values of the...

This paper studies stylized business cycle properties of household production in four industrialized countries (Canada, the United States, Germany, and Japan). We employ a dynamic small open economy business cycle model that incorporates a household production sector. We use the model to...

This paper estimates exchange rate pass-through of six major industrial countries using a time-varying parameter with stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices (first-stage pass-through) and those of import...

The massive decline in international trade in 2008/09 is often attributed to the global deterioration in financial conditions after the bankruptcy of a US investment bank, Lehman Brothers. This paper examines the association between external finance and firm activity in Germany in more detail....