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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

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

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

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001377688

Testing for causality in variance using multivariate GARCH model

Hafner, Christian M. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002056023

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001701901

Testing for causality in variance using multivariate GARCH models

Hafner, Christian M. (contributor); … - 2004 - [Elektronische Ressource]

Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based...

Persistent link: https://www.econbiz.de/10001981192

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver; Herwartz, Helmut - 2008

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

Persistent link: https://www.econbiz.de/10003796145

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 1998

One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an...

Persistent link: https://www.econbiz.de/10009579187

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 2002

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...

Persistent link: https://www.econbiz.de/10009663846