This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as...

(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however, researchers typically face a trade-off in the sense that a...

Heterogenous agents models have proven to be capable of explaining price dynamics on speculative markets. In general, this is achieved by allowing time series properties to be state dependent. This paper investigates whether market participants' expectations already reflect these time varying...

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

In contrast to academic recommendations monetary authorities all over the world intervene on the foreign exchange market to actively manage the exchange rate. Particularly in the aftermath of the global financial crisis the exchange rate is abused by some countries in a currency war to...

This Kiel Policy Brief demonstrates the calculation of a new stock market index informing about the price competitiveness of a country's assets vis-à-vis its foreign competitors. In line with the portfolio balance approach we empirically identify net foreign holdings of a country's assets as...

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...

Der Euro zeigt sich gegenüber dem Dollar anhaltend stark. Inwieweit wird die Konjunktur in Europa von der aktuellen Stärke der Gemeinschaftswährung in Mitleidenschaft gezogen? Ist die Grenze erreicht, bei der eine weitere Verschlechterung der preislichen Wettbewerbsfähigkeit die deutsche...