House price cycles may have considerable macroeconomic effects even if they evolve heterogeneous across local markets. In this paper we use a panel Markov switching model allowing for time-varying volatility to analyze national and state level house price regimes for the US jointly. Our approach...

The purpose of this paper is to investigate whether a credit crunch occurred in Germany during the recent financial crisis and to analyze the underlying factors. In order to disentangle credit supply and demand we specify a theory-based dynamic disequilibrium model of the German credit market....

In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short- and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for...

Im Juni 2008 ist die Inflationsrate im Euroraum auf 4% und damit ihren höchsten Wert seit Beginn der Währungsunion gestiegen, ausgelöst durch den kräftigen Anstieg der Preise für Rohöl und Nahrungsmittel, der von recht dauerhafter Natur sein dürfte. Die Europäische Zentralbank (EZB) hat...

In der Euro-Krise gingen starke Änderungen in internationalen Kapitalflüssen mit großer makroökonomischer Unsicherheit einher. Zwar ist es offensichtlich, dass beide Faktoren ökonomische Schocks auslösen bzw. verstärken können, es ist aber derzeit unklar, inwiefern sie direkt miteinander...

We examine the dynamics of bank lending to the private sector for countries of the Euro area by applying a Markov switching error correction model. We identify for Belgium, Germany, Ireland and Portugal stable, mean reverting regimes and unstable regimes with no tendency to return to the long...

In this paper, we estimate a small New Keynesian dynamic stochastic general equilibrium (DSGE) model for Germany for the period from 1975 to 1998 and use it to identify the structural shocks, which have driven the business cycle. For this purpose we apply indirect inference methods, that is we...