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Forecast accuracy and uncertainty in applied econometrics : a recommendation of specific-to-general predictor selection
Herwartz, Helmut - In: Empirical economics : a journal of the Institute for … 41 (2011) 2, pp. 487-510
Persistent link: https://www.econbiz.de/10009305698
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Size corrected inference in fiscal policy reaction functions : a three country assessment
Herwartz, Helmut; Rengel, Malte - In: An analysis of long-term influences on financial …, (pp. 89-116). 2014
Persistent link: https://www.econbiz.de/10010480405
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Global credit shocks and real economies
Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2021
We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real...
Persistent link: https://www.econbiz.de/10012543597
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The euro’s trade effect under cross-sectional heterogeneity and stochastic resistance
Herwartz, Helmut; Weber, Henning - 2010
This paper investigates if the euro's effect on euro-area trade differs across trade sectors and across country pairs …, and to what degree heterogeneity matters for estimating the aggregate euro effect. Time-varying latent variables, which …, aggregate exports within the euro area increase between 2000 and 2002 by 15 to 25 percent compared with aggregate exports …
Persistent link: https://www.econbiz.de/10003976871
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Did the introduction of the euro have an impact on inflation uncertainty? : an empirical assessment
Hartmann, Matthias; Herwartz, Helmut - In: Macroeconomic dynamics 18 (2014) 6, pp. 1313-1325
Persistent link: https://www.econbiz.de/10010467980
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The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns
Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...
Persistent link: https://www.econbiz.de/10014305726
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Testing the parametric form of the volatility in continuous time diffusion models : an empirical process approach
Dette, Holger (contributor); Podolskij, Mark (contributor) - 2005
Persistent link: https://www.econbiz.de/10003354240
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Kolmogorov-Smirnov-type testing for the partial homogeneity of Markov processes : with application to credit risk
Weißbach, Rafael (contributor); Dette, Holger (contributor) - 2005
In banking the default behavior of the counterpart is of interest not only for the pricing of transactions under credit risk but also for the assessment of portfolio credit risk. We develop a test against the hypothesis that default intensities are constant over time within a homogeneous group...
Persistent link: https://www.econbiz.de/10003308927
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A simple test for the parametric form of the variance function in nonparametric regression
Dette, Holger (contributor); Hetzler, Benjamin (contributor) - 2005
Persistent link: https://www.econbiz.de/10003309048
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A simple test for the parametric form of the variance function in nonparametric regression
Dette, Holger (contributor); Hetzler, Benjamin (contributor) - 2006
Persistent link: https://www.econbiz.de/10003309907