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Enders, Zeno; Hünnekes, Franziska; Müller, Gernot J. - 2021

We assess how firm expectations about future production impact current production and pricing decisions. Our analysis is based on a large survey of firms in the German manufacturing sector. To identify the causal effect of expectations, we rely on the timing of survey responses and match firms...

Persistent link: https://www.econbiz.de/10012819035

News and noise in the housing market

Gazzani, Andrea - 2016

prices related (news) and not related (noise) to future fundamentals. I provide empirical evidence of the sizable … macroeconomic effects of news and noise shocks. Following Forni et al. (2014, 2016), I identify news and noise shocks through a non … frequencies, but in the short-medium horizon noise shocks explain a large share of the variability in housing prices, residential …

Persistent link: https://www.econbiz.de/10011605978

Virtual proximity and audiovisual services trade

Schmitz, Martin; Hellmanzik, Christiane - 2015

Audiovisual services such as music and movies in digital formats have gained substantial importance over the last decade. This paper analyses audiovisual services in a gravity model framework. In particular, we explore the role of virtual proximity - a new proxy for cultural proximity based on...

Persistent link: https://www.econbiz.de/10011605871

Taking gravity online: the role of virtual proximity in international finance

Hellmanzik, Christiane; Schmitz, Martin - 2016

This paper analyses international patterns of bilateral portfolio equity and debt investment in a gravity model framework. We contribute to the literature by exploring the role of virtual proximity – measured by bilateral internet hyperlinks between countries – as a novel proxy for...

Persistent link: https://www.econbiz.de/10011605924

Virtual Proximity and Audiovisual Services Trade

Hellmanzik, Christiane - 2015

Persistent link: https://www.econbiz.de/10013019590

Taking Gravity Online : The Role of Virtual Proximity In International Finance

Hellmanzik, Christiane - 2016

Persistent link: https://www.econbiz.de/10013000305

Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model

Hördahl, Peter - 2000

This paper proposes the use of the two-factor term-structure model of Longstaff and Schwartz (1992a, LS) to estimate the risk-neutral density (RND) of the future short-term interest rate. The resulting RND can be interpreted as the market's estimate of the density of the future short-term...

Persistent link: https://www.econbiz.de/10011604062

Testing the rank of the Hankel matrix: a statistical approach

Camba-Méndez, Gonzalo; Kapetanios, George - 2001

The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In...

Persistent link: https://www.econbiz.de/10011604091

Spectral based methods to identify common trends and common cycles

Camba-Méndez, Gonzalo; Kapetanios, George - 2001

The rank of the spectral density matrix conveys relevant information in a variety of modelling scenarios. Phillips (1986) showed that a necessary condition for cointegration is that the spectral density matrix of the innovation sequence at frequency zero is of a reduced rank. In a recent paper...

Persistent link: https://www.econbiz.de/10011604108

A system approach for measuring the euro area NAIRU

Fabiani, Silvia; Mestre, Ricardo - 2001

This paper addresses the issue of measuring the NAIRU for the euro area and assessing the robustness and precision of the obtained estimates. The empirical framework adopted is based on systems combining an Okun-type relationship between cyclical unemployment and the output gap with a Phillips...

Persistent link: https://www.econbiz.de/10011604111

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