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This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...
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-commodity price covariance, procyclical interest rates, negative price of exchange rate volatility, and countercyclical currency risk … 0.5% before policy rate increases. We show that available fixed income instruments allow to forecast monetary policy … policy forecast rule. Our results thus pose a major challenge for the risk-based explanations of the exchange rate dynamics …
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Es liegt in der Verantwortung von ökonomischen Entscheidungsträgern, Entscheidungen unter Unsicherheit zu treffen. Finanzmarktunsicherheit kann ökonomische Aktivität negativ beeinflussen. In diesem Sinn können Prognosen theoretisch einen ökonomischen Mehrwert liefern. Diese kumulative...
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