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DIW Discussion Papers 981 / 2010
This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The results indicate that US Treasury maturity rates are I(1) in most cases, although the order of integration decreases ...
2010| Guglielmo Maria Caporale, Luis A. Gil-Alana
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DIW Discussion Papers 978 / 2010
We use a life cycle model of consumption and portfolio choice to study the effects of social security on the investment decisions of households for the European case. Our model is mainly based on the one developed by Cocco, Gomes, and Maenhout (2005). We extend it by unemployment risk using Markov chains to model the transition between different employment states. In contrast to most models in the ...
2010| Vladimir Kuzin, Franziska Bremus
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DIW Discussion Papers 977 / 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily data for 107 pairs of bonds, we present unambiguous evidence that trades on EuroMTS have a sizeable informational ...
2010| Guglielmo Maria Caporale, Alessandro Girardi
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DIW Discussion Papers 975 / 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous studies using a standard fractional ...
2010| Guglielmo Maria Caporale, Luis A. Gil-Alana
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DIW Discussion Papers 970 / 2010
This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the Swiss GDP. We find that the factor model offers a substantial improvement in forecast accuracy of GDP growth rates compared to a benchmark naive constant-growth ...
2010| Boriss Siliverstovs, Konstantin A. Kholodilin
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DIW Discussion Papers 953 / 2009
Die aktuellen Finanzmarktturbulenzen wurden durch Entwicklungen im Immobiliensektor ausgelöst. Vor diesem Hintergrund analysiert dieser Beitrag den Zusammenhang zwischen den Immobilienpreisen und der Geldmengen- und Kreditvolumensentwicklung für den Zeitraum 1992 -2006 (westdeutsche Preisdaten) bzw. 1997 bis 2006 (ostdeutsche Preisdaten). Die Untersuchung konzentriert sich erstmals auf die Bundesrepublik ...
2009| Ansgar Belke
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DIW Discussion Papers 952 / 2009
This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEEC's financial markets. Since the integration of formerly strongly regulated markets into global markets can also lead to an increase of the dependence ...
2009| Ansgar Belke, Joscha Beckmann, Michael Kühl
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DIW Discussion Papers 946 / 2009
The Google Insights data are a collection of recorded Internet searches for a huge number of the keywords, which are available since January 2004. These searches represent a kind of revealed perceptions of Internet users, which are a (possibly not entirely representative) sample of the general public. These data can be used to improve the short-term forecasts or nowcasts of various macroeconomic variables. ...
2009| Konstantin A. Kholodilin, Maximilian Podstawski, Boriss Siliverstovs, Constantin Bürgi
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DIW Discussion Papers 944 / 2009
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we come up with interesting properties of our ...
2009| Joscha Beckmann, Ansgar Belke, Michael Kühl
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DIW Discussion Papers 943 / 2009
This paper deals with the impact of the $/€ exchange rate on German exports in the period from 1995Q1 to 2008Q4. Our main aim is to identify "pain thresholds" for German exporters. We rely on a non-linear model according to which suddenly strong spurts of exports occur when changes of the EXR go beyond a kind of "play" area (analogous to a mechanical play). We implement an algorithm describing play-hysteresis ...
2009| Ansgar Belke, Matthias Göcke, Martin Günther