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Survivor benefits and the gender tax gap in public pension schemes : observations from Germany

Werding, Martin (contributor) - 2005

. The present paper highlights this problem referring to institutional details and empirical results related to Germany and …

Persistent link: https://www.econbiz.de/10003204012

Asset returns, the business cycle, and the labor market : a sensitivity analysis for the German economy

Heer, Burkhard; Maußner, Alfred - 2011

premium is very sensitive with regard to the utility parameters. -- equity premium ; production CAPM ; real-business cycle …

Persistent link: https://www.econbiz.de/10009011127

Spend-and-tax adjustments and the sustainability of the government's intertemporal budget constraint

Legrenzi, Gabriella Deborah; Milas, Costas - 2010

We apply non-linear error-correction models to the empirical testing of the sustainability of the government's intertemporal budget constraint. Our empirical analysis, based on Italy, shows that the Italian government is meeting its intertemporal budget constraint, in spite of the high levels of...

Persistent link: https://www.econbiz.de/10003936661

Testing for alpha in linear factor pricing podels with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance … against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

Persistent link: https://www.econbiz.de/10011646274

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2010

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://www.econbiz.de/10003937257

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10009011784

How to run a target zone? : age old lessons from an Austro-Hungarian experiment

Flandreau, Marc; Komlos, John - 2001

This paper considers what we argue was the first experiment of an exchangerate band. This experiment took place in Austria-Hungary between 1896 and1914. The rationale for introducing this policy rested on precisely thoseintuitions that modern target zone literature has recently emphasized:...

Persistent link: https://www.econbiz.de/10011399739

Market efficiency in the age of big data

Martin, Ian; Nagel, Stefan - 2019

Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...

Persistent link: https://www.econbiz.de/10012156724

Long-run determinants of sovereign yields

Afonso, António; Rault, Christophe - 2010

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant...

Persistent link: https://www.econbiz.de/10008653417

The yield spread puzzle and the information content of SPF forecasts

Lahiri, Kajal; Monokroussos, George; Zhao, Yongchen - 2012

While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely …-rich environment including not just the yield spread but many other predictors as well. We confirm the puzzle in this context by … examining the contributions of both the SPF forecasts and the yield spread in predicting recessions, and by examining the …

Persistent link: https://www.econbiz.de/10009630664