We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Sustainable intensification of Ghana’s smallholder farming is critical to mitigate rural poverty. Innovations for sustainable intensification include agro-ecological practices, which build up soil fertility, and mulching, which conserves soil moisture. To stimulate the adoption of these...

In diesem Beitrag wird ein internationales makroökonometrisches Modell präsentiert, das Deutschland, Großbritannien, Frankreich und Italien als separate Ländermodule enthält (Big4-Modell). Die Modellstruktur basiert auf dem volkswirtschaftlichen Kreislaufschema. Die Verhaltensbeziehungen...

1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for...

This paper studies the interaction between monetary policy, financial markets, and the real economy. We develop a Bayesian framework to estimate proxy structural vector autoregressions (SVARs) in which monetary policy shocks are identified by exploiting the information contained in high...

I derive a generalized version of the fundamental law of active management under some weak conditions. I show that the original fundamental law of Grinold and various extensions are special cases of the result presented in this paper. I also show that cross-sectional ICs are usually different...

We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical...

This paper presents the recent developments of macro-econometric modeling and discusses their advantages and limits. We first present the Sims critique and the Lucas critique. These two critiques have opened two new ways of macro-modeling. On the one hand, the Structural VAR approach allows to...

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. The approximation is based on regular and singular expansions with respect to the small volatility and contains a low-dimensional integration. The model in hand...

This paper investigates the role of labor markets heterogeneity in a monetary union and especially what are the welfare gains/costs of labor market reforms for each member of the area. To this end, we develop a medium-scale two-country model representing a currency union characterized by price...