Central banks regularly communicate about financial stability issues. This article asks how such communications affect financial markets, based on a unique dataset covering more than 1,000 releases of Financial Stability Reports (FSRs) and speeches by 37 central banks over the past 14 years. The findings suggest that optimistic FSRs lead to significant and potentially long-lasting positive abnormal ...
The SOEPnewsletter 105/ July 2014 is published.It gives information aboutnew developments in the research about inequality the data distribution of SOEP-IS data as well asour offer to bring your research question into the Innovation Sample the analysis about the sensivity of some variables Sensitivitätsanalysen für die gemeinsame Nutzung von SOEP und FiD upcoming events and past conferencesthe ...
Axel Glemser is the new director in charge of SOEP at TNS Infratest Sozialforschung in Munich. He took up this new position on May 1, 2014. We had the opportunity to sit down with Mr. Glemser in Berlin and ask him a few questions. What are your responsibilities in your new job? I’m responsible for all the data collection work done by TNS Infratest on behalf of DIW Berlin. That means everything ...
Hertie School of Governance, Berlin 23 June 2014Panelists: Prof. Marcel Fratzscher, PhD, President and CEO of DIW Berlin (German Institute for Economic Research), Professor of Macroeconomics and Finance (Humboldt-University Berlin)Prof. Jean Pisani-Ferry, Professor of Economics and Public Management, Hertie school of Governance, Commissioner-General for Policy Planning, reporting to the French...
This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is non-stationary and non-mean-reverting, the null hypotheses of I(0), I(1) and I(2) being rejected in favour of fractional ...
Expectations form the basis of economic decisions of market participants in an uncertain world. Sentiment indicators reflect those expectations and thus have a proven track record for predicting economic variables. However, respondents of surveys perceive the world to a large extent with the help of media. So far, mainly very crude media information, such as word-count indices, has been used in the ...
This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, ...
