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FINESS Working Papers 4.4 / 2009
This project aims at analyzing the impact of monetary policy on the international allocation of risk in a two-country dynamic stochastic general equilibrium model with sticky prices and international portfolio choice. The model features endogenous firms entry which influences the evolution of equity in each country and alters real exchange rate dynamics. Preliminary results show that there may be substantial ...
2009| Sven Blank
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Diskussionspapiere 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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Refereed essays Web of Science
This paper shows that the ECB's monetary policy has a heterogeneous impact on the sectoral stock market indexes in the Euro Area. We show that the heteroskedasticity based approach of Rigobon (2003) should be preferred to the event study approach.
In:
Economics Letters
105 (2009), 3, S. 211-213
| Konstantin A. Kholodilin, Alberto Montagnoli, Oreste Napolitano, Boriss Siliverstovs
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Diskussionspapiere 933 / 2009
Global liquidity expansion has been very dynamic since 2001. Contrary to conventional wisdom, high money growth rates have not coincided with a concurrent rise in goods prices. At the same time, however, asset prices have increased sharply, significantly outpacing the subdued development in consumer prices. We investigate the interactions between money and goods and asset prices at the global level. ...
2009| Ansgar Belke, Walter Orth, Ralph Setzer
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Diskussionspapiere 928 / 2009
This study questions the popular stereotype that women are more risk averse than men in their financial investment decisions. The analysis is based on micro-level data from large-scale surveys of private households in five European countries. In our analysis of investment decisions, we directly account for individuals' self-perceived willingness to take financial risks. The empirical evidence we provide ...
2009| Oleg Badunenko, Nataliya Barasinska, Dorothea Schäfer
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Diskussionspapiere 917 / 2009
We assess the differences that emerge in Taylor rule estimations for the ECB when using ex-post data instead of real time forecasts and vice versa. We argue that previous comparative studies in this field mixed up two separate effects. First, the differences resulting from the use of ex-post and real time data per se and, second, the differences emerging from the use of non-modified real time data ...
2009| Ansgar Belke, Jens Klose
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Diskussionspapiere 909 / 2009
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and inflation uncertainty have declined steadily ...
2009| Guglielmo Maria Caporale, Luca Onorante, Paolo Paesani
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SOEPpapers 224 / 2009
This study questions the popular stereotype that women are more risk averse than men in their financial investment decisions. The analysis is based on micro-level data from large-scale surveys of private households in five European countries. In our analysis of investment decisions, we directly account for individuals' self-perceivedwillingness to take financial risks. The empirical evidence we provide ...
2009| Oleg Badunenko, Nataliya Barasinska, Dorothea Schäfer
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Diskussionspapiere 922 / 2009
We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due to globalization-driven changes in the national economic structure. A FAVAR framework is applied to derive ...
2009| Ansgar Belke, Andreas Rees
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Diskussionspapiere 879 / 2009
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the former country this applies both ...
2009| Guglielmo Maria Caporale, Luis A. Gil-Alana