Similar Search Results

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

U-MIDAS: MIDAS regressions with unrestricted lag polynomials

Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - 2011

unrestricted polynomials. In an empirical application on out-of-sample nowcasting GDP in the US and the Euro area using monthly …

Persistent link: https://www.econbiz.de/10009490826

Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities

Scharnagl, Michael (contributor); … - 2007

This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a … estimation of inclusion probabilities of a particular variable, that is the probability of that variable being in the forecast … empirical question whether the group of monetary variables is relevant for forecasting euro area inflation. In our application …

Persistent link: https://www.econbiz.de/10003461220

Forecasting German GDP using alternative factor models based on large datasets

Schumacher, Christian (contributor) - 2005

This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the german economy. One model extracts factors by static principals components analysis, the other is based on dynamic principal components obtained using frequency...

Persistent link: https://www.econbiz.de/10003029896

Real-time forecasting of GDP based on a large factor model with monthly and quarterly data

Schumacher, Christian (contributor); … - 2006

This paper discusses a factor model for estimating monthly GDP using a large number of monthly and quarterly time series in real-time. To take into account the different periodicities of the data and missing observations at the end of the sample, the factors are estimated by applying an EM...

Persistent link: https://www.econbiz.de/10003383602

Factor-MIDAS for now- and forecasting with ragged-edge data : a model comparison for German GDP

Marcellino, Massimiliano (contributor); … - 2007

combinations of factor estimation methods and Factor-MIDAS projections with respect to nowcast performance. Additionally, we …. Our empirical findings show that the factor estimation methods don't differ much with respect to nowcasting accuracy …

Persistent link: https://www.econbiz.de/10003634929