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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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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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Modeling the FIBOR/EURIBOR swap term structure : an empirical approach
Blaskowitz, Oliver (contributor);  … - 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 exante forecasting performance for...
Persistent link: https://www.econbiz.de/10002724448
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Regional labor demand and national labor market institutions in the EU15
Herwartz, Helmut; Niebuhr, Annekatrin - 2011
The labor market effects of the recent financial and economic crisis are rather heterogeneous across countries and regions. Such differences in labor market performance among industrialized countries are an issue of ongoing research. The objective of this paper is to analyse labor market...
Persistent link: https://www.econbiz.de/10009311598
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Essays on spatial econometrics : Hodges-Lehmann estimators and hospital efficiency
Strumann, Christoph - 2013
Persistent link: https://www.econbiz.de/10010212557
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A functional coefficient model view of the Feldstein-Horioka puzzle
Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007
What does the saving-investment (SI) relation really measure and how should the (SI) relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allow to...
Persistent link: https://www.econbiz.de/10003477959
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A new approach to bootstrap inference in functional coefficient models
Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007
We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...
Persistent link: https://www.econbiz.de/10003477963
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On economic evaluation of directional forecasts
Blaskowitz, Oliver; Herwartz, Helmut - 2009
It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...
Persistent link: https://www.econbiz.de/10003893151
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When, how fast and by how much do trade? : costs change in the Euro area?
Herwartz, Helmut (contributor); Weber, Henning (contributor) - 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/10003770823
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When, how fast and by how much do trade costs change in the euro area?
Weber, Henning; Herwartz, Helmut - 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/10003797988