-
DIW Discussion Papers 1423 / 2014
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an overreaction day prices tend to move in the same direction for some time. A trading robot approach is then used to ...
2014| Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun
-
DIW Discussion Papers 1422 / 2014
Developed and well regulated financial markets are usually seen as a precondition for an efficient allocation of resources and can foster long term economic growth. This paper explores the institutional determinants for financial development in the countries of the Middle East and North African (MENA) region. Institutional conditions are from the International Country Risk Guide. Paneleconometric techniques ...
2014| Mondher Cherif, Christian Dreger
-
DIW Discussion Papers 1417 / 2014
The surge in the German house prices starting in 2010 raised fears about the emergence of a speculative bubble. Given a local nature of housing markets, it is not clear to what extent the bubble, if any, is spread across different cities. In this paper, we test for speculative house price bubbles in 127 large German cities over the last 20 years. Along with testing bubbles for each city separately, ...
2014| Konstantin A. Kholodilin, Claus Michelsen, Dirk Ulbricht
-
DIW Discussion Papers 1416 / 2014
Deviations of policy interest rates from the levels implied by the Taylor rule have been persistent before the financial crisis and increased especially after the turn of the century. Compared to the Taylor benchmark, policy rates were often too low. This paper provides evidence that both international spillovers, for instance international dependencies in the interest rate setting of central banks, ...
2014| Joscha Beckmann, Ansgar Belke, Christian Dreger
-
DIW Discussion Papers 1414 / 2014
This paper presents a revised version of the DIW Economic Barometer, the business cycle index of the German Institute for Economic Research (DIW Berlin). As in earlier versions, we put forward a factor model on a monthly frequency to filter the latent state of the aggregate economy. In the new version, the resulting business cycle factor is based on more than 300 variables. The main methodological ...
2014| Paul Viefers, Ferdinand Fichtner, Simon Junker, Maximilian Podstawski
-
DIW Discussion Papers 1413 / 2014
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for the period 1999-2014. The econometric analysis is based on the estimation of a VAR-GARCH model. The results ...
2014| Guglielmo Maria Caporale, Fabio Spagnolo, Nicola Spagnolo
-
DIW Discussion Papers 1412 / 2014
The use of log-transformed data has become standard in macroeconomic forecasting with VAR models. However, its appropriateness in the context of out-of-sample forecasts has not yet been exposed to a thorough empirical investigation. With the aim of filling this void, a broad sample of VAR models is employed in a multi-country set up and approximately 42 Mio. pseudo-out-of-sample forecasts of GDP are ...
2014| Johannes Mayr, Dirk Ulbricht
-
DIW Discussion Papers 1411 / 2014
The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro area. Our results suggest that expansionary monetary policy in the source countries – as measured by the ...
2014| Franziska Bremus, Marcel Fratzscher
-
DIW Discussion Papers 1409 / 2014
This paper provides new evidence on the contribution of local banking to local economic growth (i.e. at county level – the Italian “province”) in Italy. A comprehensive dataset is used, which includes control variables for social capital and human capital as well as indicators of the quality of local infrastructures and the production structure of the local economy. A linear within-estimator technique ...
2014| Guglielmo Maria Caporale, Stefano Di Colli, Roberto Di Salvo, Juan Sergio Lopez
-
DIW Discussion Papers 1405 / 2014
We assess the contribution of macroeconomic uncertainty — approximated by the dispersion of the real GDP survey forecasts — to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods are determined and subjected to panel logit regressions conditioning on macroeconomic indicators and expectation ...
2014| Helmut Herwartz, Konstantin A. Kholodilin