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DIW Discussion Papers 1722 / 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in the variability of their demand shocks. We find that the downward-sloping demand curve of intermediaries steepens ...
2018| Daniel Bierbaumer, Malte Rieth, Anton Velinov
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DIW Discussion Papers 1721 / 2018
We study the characteristics of inflation targeting as a shock absorber, using quarterly data for a large panel of countries. To overcome an endogeneity problem between monetary regimes and the likelihood of crises, we propose to study large natural disasters. We find that inflation targeting improves macroeconomic performance following such exogenous shocks. It lowers inflation, raises output growth, ...
2018| Marcel Fratzscher, Christoph Grosse Steffen, Malte Rieth
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DIW Discussion Papers 1697 / 2017
This paper characterizes capital taxation and public debt policy in a quantitative macroeconomic model with an impatient government and uncertainty. The government has access to linear taxes on capital and labor, and to non-state-contingent bonds. Government impatience generates positive and empirically realistic longrun levels of both capital taxes and public debt. Prior predictive analysis shows ...
2017| Malte Rieth
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DIW Discussion Papers 1672 / 2017
The performance of information criteria and tests for residual heteroskedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the selection criteria, using them is recommended because they can reduce the mean squared error of impulse ...
2017| Helmut Lütkepohl, Thore Schlaak
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DIW Discussion Papers 1650 / 2017
This paper investigates how the withdrawal of banks from their cross-border business impacted the borrowing costs of European firms since the crisis. We combine aggregate information on total and cross-border credit with firm-level survey data for the period 2010 - 2014. We find that the decline in cross-border lending led to a deterioration in the borrowing conditions of small firms. In countries ...
2017| Franziska Bremus, Katja Neugebauer
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DIW Discussion Papers 1646 / 2017
This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators’ positions. The results suggest that idiosyncratic net long demand shocks of both index investors and hedge ...
2017| Michael Hachula, Malte Rieth
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DIW Discussion Papers 1636 / 2017
This paper investigates the link between mortgage supply shocks at the banklevel and regional house price growth in the U.S. using micro-level data on mortgage markets from the Home Mortgage Disclosure Act for the 1990-2014 period. Our results suggest that bank-specific mortgage supply shocks indeed affect house price growth at the regional level. The larger the idiosyncratic shocks to newly issued ...
2017| Franziska Bremus, Thomas Krause, Felix Noth
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DIW Discussion Papers 1602 / 2016
This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We show in a consumption-based asset pricing model with simultaneously risky and ambiguous assets that a rise in the level of ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a structural VAR to achieve identification ...
2016| Christoph Große Steffen, Maximilian Podstawski
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DIW Discussion Papers 1596 / 2016
We study the macroeconomic effects of unconventional monetary policy in the euro area using structural vector autoregressions, identified with an external instrument. The instrument is the common unexpected variation in euro area sovereign spreads for different maturities on policy announcement days. We first show that expansionary monetary surprises are effective at lowering public and private interest ...
2016| Michael Hachula, Michele Piffer, Malte Rieth
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DIW Discussion Papers 1584 / 2016
Rising rents in German cities have led to an intense debate about the need for tighter rent controls in housing markets. In April 2015, the so-called rental brake was introduced, which imposes upper bounds for rents in new contracts, in order to immediately slow down the increase of rents in tight housing markets. Since then, 11 federal states made use of this instrument. We take advantage of this ...
2016| Konstantin A. Kholodilin, Andreas Mense, Claus Michelsen