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Multivariate volatility models
Fengler, Matthias R.; Herwartz, Helmut - 2001
Persistent link: https://www.econbiz.de/10001659915
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Exchange rates, foreign currency exposure and sovereign risk
Bernoth, Kerstin; Herwartz, Helmut - 2019
We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...
Persistent link: https://www.econbiz.de/10011977494
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Characteristics of the household sector of the hidden economy in an emerging economy
Sookram, Sandra; Schneider, Friedrich; Watson, Patrick K. - 2006
Using the case study of Trinidad and Tobago we investigate for an emerging economy the socioeconomic, demographic, and attitudinal characteristics that influence the propensity of individuals in the household sector to participate in the hidden economy and their perception of the risk of...
Persistent link: https://www.econbiz.de/10009747663
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Characteristics of the household sector of the hidden economy in an emerging economy
Schneider, Friedrich; Sookram, Sandra; Watson, Patrick K. - 2006
Persistent link: https://www.econbiz.de/10003470723
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A structural approach to identify financial transmission in distinguished scenarios of crises
Herwartz, Helmut; Roestel, Jan - 2018
This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...
Persistent link: https://www.econbiz.de/10011903210
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Global credit shocks and real economies
Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2021
We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real...
Persistent link: https://www.econbiz.de/10012543597
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The euro’s trade effect under cross-sectional heterogeneity and stochastic resistance
Herwartz, Helmut; Weber, Henning - 2010
This paper investigates if the euro's effect on euro-area trade differs across trade sectors and across country pairs …, and to what degree heterogeneity matters for estimating the aggregate euro effect. Time-varying latent variables, which …, aggregate exports within the euro area increase between 2000 and 2002 by 15 to 25 percent compared with aggregate exports …
Persistent link: https://www.econbiz.de/10003976871
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The introduction of the Euro and its effects on investment decisions
Haselmann, Rainer (contributor);  … - 2005
In this paper we examine changes on investment decisions induced by the introduction of the Euro. There are two … potential sources of portfolio reallocation. First, the introduction of the Euro diminished exchange rate risks within the EMU …
Persistent link: https://www.econbiz.de/10003182391
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The size and development of the shadow economies of 22 transition and 21 OECD countries
Schneider, Friedrich - 2002
Using the currency demand and DYMIMIC approaches estimates are presented about the size of the shadow economy in 22 Transition and 21 OECD countries. Over 2001/2002 in 21 OECD countries is the average size of the shadow economy (in percent of official GDP) 16.7% of "official" GDP and of 22...
Persistent link: https://www.econbiz.de/10011411840
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The size and development of the shadow economies of 22 transition and 21 OECD countries
Schneider, Friedrich - 2002
Persistent link: https://www.econbiz.de/10001683904