Untersuchungsgegenstand dieser Arbeit sind Euribor-Zinssätze, zwischen denen wir fraktionale Kointegrationsbeziehungen vermuten. Dazu klären wir im ersten Schritt den Begriff der fraktionalen Integration und stellen sowohl semiparametrische als auch nicht-parametrische Verfahren zur Bestimmung...

Untersuchungsgegenstand dieser Arbeit sind Euribor-Zinssätze, zwischen denen wir fraktionale Kointegrationsbeziehungen vermuten. Dazu klären wir im ersten Schritt den Begriff der fraktionalen Integration und stellen sowohl semiparametrische als auch nicht-parametrische Verfahren zur Bestimmung...

Modeling fractional cointegration relationships has become a major topic in applied time series analysis as it steps back from the traditional rigid I(1)/I(0) methodology. Hence, the number of proposed tests and approaches has grown over the last decade. The aim of this paper is to study the...

Modeling fractional cointegration relationships has become a major topic in applied time series analysis as it steps back from the traditional rigid I(1)/I(0) methodology. Hence, the number of proposed tests and approaches has grown over the last decade. The aim of this paper is to study the...

This paper evaluates business cycle and welfare effects of cross-country mortgage market heterogeneity for a monetary union. By employing a calibrated two-country New Keynesian DSGE model with collateral constraints tied to housing values, we show that a change in cross-country institutional...

This paper challenges the view that the observed negative correlation between the Federal Funds rate and the interest rate implied by consumption Euler equations is systematically linked to monetary policy. By using a Monte Carlo experiment, we show that stochastic risk premium disturbances have...

In this paper we study the drivers of fluctuations in the Irish housing market by developing a dynamic stochastic general equilibrium (DSGE) model of Ireland as a member of the European Monetary Union (EMU). We estimate the model with Bayesian methods using time series for both Ireland and the...

Der Beitrag geht auf theoretischer und empirischer Ebene der Frage nach, wie Lohnsubventionen und Mindestlöhne in Bezug auf Beschäftigungschancen interagieren und wie diese Interaktionseffekte zwischen einzelnen Arbeitnehmergruppen variieren können. Unter der Annahme eines neoklassischen...

We analyze the influence of the fiscal position on the transmission of government spending shocks in a New Keynesian model. We find that once we allow for positive levels of government debt in the steady state, the sign and the size of the fiscal multiplier depend strongly on the horizon at...