This study explored the nature of fiscal and monetary policy coordination and its impact on long-run sustainability in Kenya. The study employed annual time series data from 1963 to 2014. Two objectives were investigated. (i) The determinants ofmonetary and fiscal policy rules under different...

This paper analyzes the sustainability of fiscal debt contingent on fiscal policy operating in two fiscal regimes. The first regime is characterized by active policy (not reacting to debt) and the other by passive fiscal policy (reacting to debt). The average duration for which either regime can...

We develop a small-scale dynamic factor model for the Swiss economy based on an appropriately selected set of indicators. The resulting business cycle factor is in striking accordance with historical Swiss business cycle fluctuations. Our proposed model demonstrates a remarkable performance in...

We analyze vertical price transmission in the German biodiesel market studying therelationship between rapeseed oil, soya oil and biodiesel prices. We focus on the period fromsummer 2002 to late 2007 during which the German biodiesel market developed into thelargest market worldwide, mainly...

With this paper, we provide the first quantitative investigation of vertical price transmission in the biodiesel supply chain in Germany with the focus on the developments during the food crisis and the impact of subsidized US biodiesel exports. With the strong promotion of the production and...

To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short run dynamics of the...

In this paper a dynamic bi-factor model with Markov switching is proposed to measure and predict turning points of the German business cycle. It estimates simultaneously the composite leading indicator (CLI) and composite coincident indicator (CCI) together with corresponding probabilities of...

In most euro area countries, the monetary/fiscal policy mix is responsible for the changing history of debt and inflation facts. Using a Dynamic Stochastic General Equilibrium model with Markov-switching policy rules, we identify three distinct monetary/fiscal regimes in France and Italy: a...

With strong historical ties, and economic linkages that have continued to grow after the fall of the Soviet Union, the Baltic and Nordic regions form a unique economic space. How interconnected are these regions, both to each other and to the rest of the world? Greater connections can help...

Veränderungen der Rahmenbedingungen auf Finanzmärkten müssen von ökonomischen und ökonometrischen Modellen sinnvoll erfasst werden. Diese Dissertation beschäftigt sich mit der Zinsdynamik im Vorfeld einer Währungsunion. Auf diese Dynamik aufbauend werden Optionen auf Nullkuponanleihen...