Kerstin Bernoth
Istanbul, Türkei,
16.10.2014
- 17.10.2014| Policy Analysis in the Post Great Recession Era: Conference Organized by the Koc University - TÜSİAD Economic Research Forum (ERF)
Kerstin Bernoth
Berlin,
23.05.2014
- 20.06.2014| Economic Policy Analysis in Turbulent Times: Europe and Turkey: Boston College Summer School at DIW Berlin and Bahcesehir University
Kerstin Bernoth, Philipp Engler
Athen, Griechenland,
08.11.2013
- 09.11.2013| The Eurozone Crisis, Greece, and the Experience of Austerity: Minsky Conference in Greece Organized by the Levy Economics Institute of Bard College
Futures instead of forwards are used to study the complete maturity spectrum of the correlations between the spot returns and premium from two days up to six months. The correlation decreases with increasing maturity. We hypothesize this maturity effect is part of a latent factor. Futures data allow us to control for the influence of an unobserved factor that can be decomposed into this time-to...
Kerstin Bernoth, Jürgen von Hagen, Casper G. de Vries
Göttingen,
09.09.2012
- 12.09.2012| Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jahrhunderts: Jahrestagung des Vereins für Socialpolitik 2012
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to control for the influence of an unobserved factor that can be decomposed into a contract-specific and a time-...
Kerstin Bernoth, Jürgen von Hagen, Casper G. de Vries
Malaga, Spanien,
27.08.2012
- 31.08.2012| 27th Annual Congress of the European Economic Association: EEA 2012
Kerstin Bernoth
Berlin,
01.07.2011
| External Imbalances, Financial Integration and Exchange Rate Regimes: Workshop. Deutsche Bundesbank, Freie Universität Berlin
We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to altering risk pricing. We find that at the beginning of EMU, the government debt level and the general...
Kerstin Bernoth, Burcu Erdogan
Rethymno, Griechenland,
26.05.2011
- 28.05.2011| 15th Annual International Conference on Macroeconomic Analysis and International Finance