We regress long-term private sector interest rates on a money market rate, a term premium and credit risk. As a contribution to the current debate about European safe assets, our interest is in quantifying domestic spillover effects from euro area sovereign bond spreads. Panel estimates show...

We regress long-term private sector interest rates on a money market rate, a term premium and credit risk. As a contribution to the current debate about European safe assets, our interest is in quantifying domestic spillover effects from euro area sovereign bond spreads. Panel estimates show...

Als Folge der massiven Preisschocks 2021 und 2022 schnellte die HVPI-Rate in Deutschland teilweise auf über 11 %, überschritt in der Schweiz aber nur kurzzeitig 3 %. Entscheidend war, dass die Energiepreise in der Spitze in Deutschland 5,3 Prozentpunkte zur Inflation beitrugen (Oktober 2022)...

Als Folge der massiven Preisschocks 2021 und 2022 schnellte die HVPI-Rate in Deutschland teilweise auf über 11 %, überschritt in der Schweiz aber nur kurzzeitig 3 %. Entscheidend war, dass die Energiepreise in der Spitze in Deutschland 5,3 Prozentpunkte zur Inflation beitrugen (Oktober 2022)...

This paper analyzes the real-time out-of-sample performance of three kinds of combination schemes. While for each the set of underlying forecasts is slightly modified, all of them are real-time recession probability forecasts generated by a dynamic probit indicator. Among the considered...

This paper uses several macroeconomic and financial indicators within a Markov Switching (MS) framework to predict the turning points of the business cycle. The presented model is applied to monthly German real-time data covering the recession and the recovery after the financial crisis. We show...

This paper provides market risk calculation for an equity-based trading portfolio. Instead of relying on the purely stochastic internal model method, which banks currently apply in line with the Basel regulatory requirements, we propose to include also alternative price mechanisms from the...

Die Frage, ob es starke Abweichungen bei der Inflationsbelastung zwischen verschiedenen Bevölkerungsgruppen gibt, stellt sich insbesondere dann, wenn sich hohe Preissteigerungsraten auf einzelne Warengruppen konzentrieren, wie dies derzeit bei Nahrungsmitteln und Energie der Fall ist. Eine...

Two recent proposals for overcoming the euro area crisis make the case for monetary financing of the public sector. Watt (2015) proposes that the ECB finances public investment directly, Pâris and Wyplosz (2014) contend that public debt may be effectively restructured by burying parts of it in...

Fiscal austerity has not led to a return of confidence and it is not at all certain that the current crisis strategy can be sustained politically and will eventually succeed. Government bonds of crisis-hit countries have lost their safe asset status and high risk premiums are impairing monetary...