Diskussionspapiere 989 / 2010
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- ...
2010| Kerstin Bernoth, Jürgen von Hagen, Casper G. de Vries
Diskussionspapiere 976 / 2010
In the Copenhagen Accord of December 2009, developed countries agreed to provide start-up finance for adaptation in developing countries and expressed the ambition to scale this up to $100 billion per year by 2020. The financial mechanisms to deliver this support have to be tailored to country and sector specific needs so as to enable domestic policy processes and self sustaining business models, and ...
2010| Karsten Neuhoff, Sam Fankhauser, Emmanuel Guerin, Jean Charles Hourcade, Helen Jackson, Ranjita Rajan, John Ward
Diskussionspapiere 975 / 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous studies using a standard fractional ...
2010| Guglielmo Maria Caporale, Luis A. Gil-Alana
Refereed essays Web of Science
In developing and transition economies, microlending has become an effective instrument for providing micro businesses with the necessary financial resources to launch operations. In industrialized countries, with their highly developed banking systems, however, there has been ongoing debate on the question of whether an uncovered demand for microlending services exists. The present pilot study explores ...
Jahrbücher für Nationalökonomie und Statistik
229 (2009), 5, S. 523-543
| Alexander S. Kritikos, Christoph Kneiding, Claas Christian Germelmann
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
Diskussionspapiere 952 / 2009
This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEEC's financial markets. Since the integration of formerly strongly regulated markets into global markets can also lead to an increase of the dependence ...
2009| Ansgar Belke, Joscha Beckmann, Michael Kühl
Diskussionspapiere 814 / 2008
This paper analyzes the response of the European stock markets to the monetary policy shocks by the European Central Bank using the heteroskedasticity based approach of Rigobon (2003). We find that monetary policy tightening has a heterogeneous impact on the Euro Area sectors on the day the monetary policy is publicly announced. Furthermore, we provide statistical evidence against the use of the popular ...
2008| Konstantin A. Kholodilin, Alberto Montagnoli, Oreste Napolitano, Boriss Siliverstovs
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.
105 (2009), 3, S. 211-213
| Konstantin A. Kholodilin, Alberto Montagnoli, Oreste Napolitano, Boriss Siliverstovs
Diskussionspapiere 903 / 2009
In developing and transition economies, microlending has become an effective instrument for providing micro businesses with the necessary financial resources to launch operations. In the industrialized countries, with their highly developed banking systems, however, there has been ongoing debate on the question of whether an uncovered demand for microlending services exists. The present pilot study ...
2009| Alexander S. Kritikos, Christoph Kneiding, Claas Christian Germelmann
Diskussionspapiere 130 / 1996
1996| Ludger Lindlar