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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard; de Raaij, Gabriela - 2002
in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …
Persistent link: https://www.econbiz.de/10010295725
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Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?
Upper, Christian; Worms, Andreas - 2002
failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of …Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … Zusammenbruch anderer Banken bewirkt, die nicht direkt vom ursprünglichen Schock betroffen waren. Neuere theoretische Arbeiten …
Persistent link: https://www.econbiz.de/10010295726
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The pass-through from market interest rates to bank lending rates in Germany
Weth, Mark A. - 2002
The terms and conditions on which bank loans are made to non-financial firms and households play a key role in the transmission of monetary policy. This paper analyses the relationship between German bank lending rates and both money market and capital market rates in the 1990s. This study...
Persistent link: https://www.econbiz.de/10010295728
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Dependencies between European stock markets when price changes are unusually large
Schich, Sebastian T. - 2002
The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an...
Persistent link: https://www.econbiz.de/10010295729
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Analysing Divisia Aggregates for the Euro Area
Reimers, Hans-Eggert - 2002
In this paper, different Divisia monetary aggregates for the euro area are constructed over the period from 1980 to 2000. Theoretically, one main difference of these aggregates is their reaction to exchange-rate variations. Empirically, the aggregates are compared with respect to three issues....
Persistent link: https://www.econbiz.de/10010295730
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An Examination of the Relationship Between Firm Size, Growth and Liquidity in the Neuer Markt
Elston, Julie Ann - 2002
With the increasing competitive importance of scientific innovations associated with the new economy it has become critical to understand the dynamics of its' firm growth during this early and potentially critical stage of development. This study analyses the relationship between firm size and...
Persistent link: https://www.econbiz.de/10010295732
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Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10010295734
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Dynamic Q-investment functions for Germany using panel balance sheet data and a new algorithm for the capital stock at replacement values
Bellgardt, Egon; Behr, Andreas - 2002
by Gilchrist and Himmelberg. We compare the results from two different estimation techniques for dynamic investment …
Persistent link: https://www.econbiz.de/10010295740
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Tail Wags Dog? Time-Varying Information Shares in the Bund Market
Upper, Christian; Werner, Thomas - 2002
The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...
Persistent link: https://www.econbiz.de/10010295741
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Time Variation in the Tail Behaviour of Bund Futures Returns
Upper, Christian; Werner, Thomas - 2002
constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add … parallel to realised volatility. This suggests that the tails of futures returns contain information for risk management that …
Persistent link: https://www.econbiz.de/10010295742