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Exchange rates, foreign currency exposure and sovereign risk

Bernoth, Kerstin; Herwartz, Helmut - In: Journal of international money and finance 117 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013284855

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Persistent link: https://www.econbiz.de/10001659915

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

Size corrected inference in fiscal policy reaction functions : a three country assessment

Herwartz, Helmut; Rengel, Malte - In: An analysis of long-term influences on financial …, (pp. 89-116). 2014

Persistent link: https://www.econbiz.de/10010480405

Forecast accuracy and uncertainty in applied econometrics : a recommendation of specific-to-general predictor selection

Herwartz, Helmut - In: Empirical economics : a journal of the Institute for … 41 (2011) 2, pp. 487-510

Persistent link: https://www.econbiz.de/10009305698

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...