Panel discussion on Longer-term trends, sector coupling, and cross-border coordination. Presentation by Dr. Matthias Deutsch, project leader at Agora Energiewende, at the Berlin Conference on Energy and Electricity Economics (BELEC 2016): "Towards a Lower Carbon Energy System in Germany, Europe, and world-wide - Market Design, Technologies, and Business Models"
In Germany and many other countries, financial advisors are required by law to assess their clients’ risk preferences in order to help them make informed and appropriate investment decisions. Most institutions that provide financial advice - banks, for instance - carry out this assessment using just one type of risk measure. Financial advisors might ask clients to answer a question about their attitudes ...
On Tuesday, October 25, the 2nd DIW Europe Lecture will be held on “Stability, Equity and Monetary Policy”. The President of the European Central Bank, Mario Draghi, will look at Europe’s economic and financial future: which challenges will Europe and the European Central Bank have to face in the months and years ahead? The event will be streamed live. The DIW Europe Lecture ...
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample properties are investigated via ...
A central question in the empirical monetary policy literature is how do asset prices respond to an unexpected monetary policy shock. We provide empirical evidence on this issue by augmenting the VAR model specification of Uhlig (2005) with the S&P 500 Composite Index, and estimating the model on monthly US data. We use the sign restrictions put forth in Uhlig (2005) as identifying assumptions...
We show that the impact of monetary policy on exchange rates has been growing significantly in recent years. Our results are established by a high-frequency event study of how key fixed income instruments - Overnight-Index Swaps (OIS) and Bonds - respond jointly with exchange rates to news about monetary policy from seven major central banks. News a ecting short-term maturity bonds tend to have...
This paper studies the interaction between monetary policy, financial markets, and the real economy. We develop a Bayesian framework to estimate proxy structural vector autoregressions (SVARs) in which monetary policy shocks are identified by exploiting the information contained in high frequency data. For the Great Moderation period, we find that monetary policy shocks are key drivers of ...
