This paper implements a simultaneous equations model to test for international financial contagion among developed sovereign credit markets between May 1, 2000 and September 1, 2010. Two alternative measures are proposed that identify credit crises in the tails of bond yield distributions, which...

Using a Threshold Vector Autoregression framework identified via sign restrictions, we answer three questions: First, are fiscal policy shocks regime-dependent? Second, which variables are governing the regime? Third, what are the effects of fiscal policies on the main macroeconomic variables in...

This paper investigates exceptional phases of stock market cycles. Defined in Pagan and Sossounov (2003) as unusual, they are detected as outliers in the historical distribution. Moreover, this study completes the growing literature on stock market bulls and bears in several aspects. First,it...

Shrinkage estimators of the covariance matrix are known to improve the stability over time of the Global Minimum Variance Portfolio (GMVP), as they are less error-prone. However, the improvement over the empirical covariance matrix is not optimal for small values of n, the estimation sample...

We present a general equilibrium model of the new neoclassical synthesis that has the same levelof generality as the Arrow-Debreu model. This involves a stochastic multi-period economy with amonetary sector and sticky commodity prices. We formulate the notion of a sticky price equilibriumwhere...

In this paper I analyze optimal monetary and fiscal policy in a monetary union from a union-wide perspective. For this purpose I lay out a New Keynesian business cycle model of a currency union with rigid real wages. The fiscal policy is implemented at the country level through the choice of...

This study investigates the current state of euro zone banking market integration by applying convergence and cointegration measures to mortgage and short-term corporate loan markets. These two measures of integration often lead to contradicting conclusions and are therefore comparatively...

Cochrane (2007) points out that the Taylor rule parameters in New-Keynesian models are not identified, and thus trying to estimate them through single-equation regressions is pointless. This paper shows in contrast that this observation holds only for economies that do not display inflation...

Georg Simmel (1858-1918) veröffentlichte 1899 und 1907 seine ''Philosophie des Geldes''. Die Rezeption in der amerikanischen Literatur aber aber auch in den Beitrag von Dietz betohnt den Ökonomisch-Geldtheoretischen Aspekt dieses Beitrages und sucht ihn in der österreichischen Tradition der...

This paper compares two approaches that aim to explain the lagged and persistent behaviorof inflation and output after a variation in the interest rate. Two variants that produce inertiaare added to a baseline DSGE model of sticky prices: 1) a lagged inflation indexation rulealong with habit...