Eastern Germany's recovery from the unification shock has been characterized by deep structural change - with apparent repercussions for the West as well - and an integration process involving both capital deepening (extensive and intensive investment) and labor thinning (net out-migration). I...

The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the group-p, the panel-t, the group-t statistics of Pedroni...

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Comparing groups with respect to hypothetical constructs requires that the measurement models are equal across groups. Otherwise conclusions drawn from the observed indicators regarding differences at the latent level (mean differences, differences in the structural relations) might be severly...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the...

In times of increasing oil prices and a weak dollar, European companies that focus their business on the US market may find themselves in a weak position. While many businesses can hedge this kind of risk by relocating production to the US, or employing financial remedies, these strategies may...

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...