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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/10011431780

How safe was the "safe haven"? : financial market liquidity during the 1998 turbulences

Upper, Christian - 2000

The turbulences in the international financial markets during the summer and autumn of 1998 put the price formation and liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took place, investors shifted a large part of their...

Persistent link: https://www.econbiz.de/10011418740

Estimating bilateral exposures in the German interbank market : is there a danger of contagion?

Upper, Christian; Worms, Andreas - 2002

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank...

Persistent link: https://www.econbiz.de/10011431377

Time variation in the tail behaviour of Bund futures returns

Werner, Thomas; Upper, Christian - 2002

The literature on the tail behaviour of asset prices focuses mainly on the foreign exchange and stock markets, with only a few papers dealing with bonds or bond futures. The present paper addresses this omission. We focus on three questions: (i) Are heavy tails a relevant feature of the...

Persistent link: https://www.econbiz.de/10011431786

Long-run links among money, prices, and output : world-wide evidence

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

Regarding inflation as being a monetary phenomenon in the long-run is a widely-held view in modern macro economics. We analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a supposed equilibrium price level (P-star), which...

Persistent link: https://www.econbiz.de/10011419407

Testing for Causality in Variance using Multivariate GARCH Models

Hafner, Christian M.; Herwartz, Helmut - 2004

Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based...

Persistent link: https://www.econbiz.de/10010296228

A robust bootstrap approach to the Hausman test in stationary panel data models

Herwartz, Helmut; Neumann, Michael H. - 2007

In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models' slope parameters. When testing the null hypothesis of no correlation between unobserved heterogeneity and observable explanatory variables by means of the Hausman test model...

Persistent link: https://www.econbiz.de/10010296293

Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device

Herwartz, Helmut - 2008

In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test...

Persistent link: https://www.econbiz.de/10010298764

When, how fast and by how much do trade costs change in the euro area?

Herwartz, Helmut; Weber, Henning - 2008

Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area …

Persistent link: https://www.econbiz.de/10010298765

Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach

Blaskowitz, Oliver J.; Herwartz, Helmut; de Cadenas … - 2005

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex?ante forecasting performance for...

Persistent link: https://www.econbiz.de/10010296240