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Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration

Schindler, Felix; Voronkova, Svitlana - 2010

bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and … results from different cointegration methodologies and explicitly control for instability in cointegration relationships and … covering 20 years. In line with previous studies, the empirical results indicate several cointegration relationships between …

Persistent link: https://www.econbiz.de/10010301690

German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs

Jamin, Gösta; Entorf, Horst - 2004

This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways (e.g. by using multi-factor modelling instead of augmented CAPM,...

Persistent link: https://www.econbiz.de/10010297319

Exchange rate regimes and fiscal discipline in OECD countries

Heinemann, Friedrich - 1999

estimation for 20 OECD countries from 1970 onwards. The conclusion is that the exchange rate regime as such is not relevant for …

Persistent link: https://www.econbiz.de/10010297607

What's on their mind: do exchange rate forecasters stick to theoretical models?

Schröder, Michael; Dornau, Robert - 1999

-price monetary model and the Mundell-Fleming model. These models are the theoretical basis for the estimation of latent structural …

Persistent link: https://www.econbiz.de/10010297610

Exchange rate pass-through to consumer prices: a European perspective

Schröder, Michael; Hüfner, Felix P. - 2002

We study the pass-through of exchange rate changes to consumer prices for the euro area by estimating vector error correction models for Germany, France, Italy, the Netherlands and Spain. Using the weights of the Harmonized Index of Consumer Prices (HICP) we compute a weighted average of the...

Persistent link: https://www.econbiz.de/10010298101

How integrated are the European retail financial markets? A cointegration analysis

Heinemann, Friedrich; Schüler, Martin - 2002

, bivariate and multivariate cointegration techniques are used to assess the degree of integration in four loans and two deposit …

Persistent link: https://www.econbiz.de/10010298099

Long-term benefits from investing in international real estate

Schindler, Felix - 2009

bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long … central markets. With respect to the efficient market hypothesis, the findings by cointegration analysis put some further …

Persistent link: https://www.econbiz.de/10010298795

Long-term benefits from investing in international real estate

Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

Persistent link: https://www.econbiz.de/10005097511

Are IPOs of Different VCs Different?

Tykvová, Tereza; Walz, Uwe - 2004

This paper sets out to analyze the influence of different types of venture capitalists on the performance of their portfolio firms around and after IPO. We investigate the hypothesis that different governance structures, objectives, and track records of different types of VCs have a significant...

Persistent link: https://www.econbiz.de/10010297354

Surprises in scheduled releases: why do they move the bond market?

Hess, Dieter E. - 2000

It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O?Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...

Persistent link: https://www.econbiz.de/10010297725