We model aggregate credit losses on large portfolios of financial positions contracted with firms subject to both cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the dependence of firms on common (macro-) economic factors; credit contagion...

Empirical studies of open-market share repurchases in the U.S. typically find a mean abnormal return around the announcement day of about 3%. In Germany share repurchases were highly restricted before May 1998. Since then firms have repurchased shares in the open market more than 250 times....

This paper derives new results on the effects of employing Taylor rules in economies that are subject to real market imperfections such as production externalities. Taylor rules that aggressively respond to output can eliminate sunspot equilibria that arise from the increasing returns. The paper...

In this paper it is shown that the number of latent factors in a multiple multivariate regression model need not be larger than the number of the response variables in order to achieve an optimal prediction. The practical importance of this lemma is outlined and an application of such a...

This paper analyses the influence of 13 stylized facts of the German economy on the West German business cycles from 1955 to 1994. The method used in this investigation is Statistical Experimental Design with orthogonal factors. We are looking for all existing Plackett-Burman designs realizable...

The 1990s were the most prosperous decade in U.S. economic history. The paper analyses to which extent this period fits into preceding cyclical experience. This is done by classifying the period 1991-12 to 2000-12 with the help of a 4-phase classification scheme based on multivariate...

When analyzing business cycle data, one observes that the relevant predictor variables are often highly correlated. This paper presents a method to obtain measures of importance for the classification of data in which such multicollinearity is present. In systems with highly correlated variables...

Linear Discriminant Analysis (LDA) performs well for classifica- tion of business phases – even though the premises of an LDA are not met. As the variables are highly correlated there are numerical as well as interpretational shortcomings. By transforming the classification problem to a...

This paper investigates the effects of macroeconomic volatility on nonfinancial firms cash holding behavior. Using an augmented cash bufferstock model, we demonstrate that an increase in macroeconomic volatility will cause the crosssectional distribution of firms cashtoasset ratios to narrow. We...

The sensitivity of innovation activities with respect to the business cycle is often assumed to be small. In this paper the hypothesis on cyclical dependence of innovation activities is tested for firms in the German manufacturing, and additionally for SMEs. To this end firms? innovation...