The classical theory about foreign exchange rate explains its fluctuations as the resulting of a random walk motion. In this paper, such a theory is put into question by performing Brock, Dechert and Scheinkman's (1987) test on the Austrian Schilling - US Dollars exchange rate for the period...

The paper uses micro cross-section data from the GfK consumer panel for econometric demand analysis of private households in Germany. Contrary to most research which considered \average behavior we extend this approach to consumer behavior for di®erent \intensities of consumption. Our...

In this paper, we present an evolutionary model of industry dynamics yielding endogenous business cycles with 'Keynesian' features. The model describes an economy composed of firms and consumers/workers. Firms belong to two industries. The first one performs R&D and produces heterogeneous...

In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...

Vector autoregressions (VARs) are economically interpretable only when identified by being transformed into a structural form (the SVAR) in which the contemporaneous variables stand in a well-defined causal order. These identifying transformations are not unique. It is widely believed that...

In this paper the authors focus on credit connections as a potential source of systemic risk. In particular, they seek to answer the following question: how do we find densely connected subsets of nodes within a credit network? The question is relevant for policy, since these subsets are likely...

Die Kumulation von Haushaltsstichproben steht auf der Agenda einer europäischen Neuordnung von Haushaltsbefragungen. Im Rahmen des Projektes Amtliche Statistik und sozioökonomische Fragestellungen des Statistischen Bundesamtes und in Abstimmung mit den EUROSTAT-Erfordernissen für neue...