This paper disentangles direct spillovers and common factors as sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be pinned down by specifying the variances of...

It is well known that profit sharing arrangements Pareto-dominate fixed wage contracts. Share agreements are (far) less than ubiquitous, however. This paper offers a solution of this ”fixed wage puzzle“ by adopting a perspective of bounded rationality. We show that share arrangements that...

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

Stabilisierungsfonds haben in den vergangenen Jahren, insb. während der letzten Energie- und Rohstoffpreishausse bis zum Sommer 2008, an Bedeutung gewonnen. In diesem Beitrag wird der Frage nachgegangen, welche strategische Rolle diese Fonds für die makroökonomische Governance von Ländern...

We document two stylised facts of US short- and long-term interest rate data incompatible with the pure expectations hypothesis: Relatively slow adjustment to long-run relations and low contemporaneous correlation. We construct a small structural model which features three types of randomness:...

This paper analyzes the effects of bank lending on German commercial property prices. The theory on the role of financial intermediaries in business cycle activity states that lending activity is characterized by asymmetric information between borrowers and lenders. As a consequence, interest...

This paper proposes a new approach to modelling financial transmission effects. In simultaneous systems of stock returns, fundamental shocks are identified through heteroscedasticity. The size of contemporaneous spillovers is determined in the fashion of smooth transition regression by the...

The expectations hypothesis of the term structure (EHT) implies cointegration between interest rates of different maturities and predicts certain values for adjustment speed. We estimate reduced-form vector error correction models of the US term structure. These are derived from a structural...