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Weitere externe Aufsätze
In:
Douglas Cumming (Ed.) ,
The Oxford Handbook of Entrepreneurial Finance
Oxford [u.a.] : Oxford Univ. Press
S. 109-132
| Frank M. Fossen
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Diskussionspapiere 1165 / 2011
This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero frequency, although adequately describing the persistent behaviour of the series, do not take into account its cyclical ...
2011| Guglielmo Maria Caporale, Luis A. Gil-Alana
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Externe Monographien
Essen:
RWI,
2011,
17 S.
(Ruhr Economic Papers ; 273)
| Ansgar Belke, Christian Dreger
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Diskussionspapiere 1041 / 2010
Using quarterly data from 2000-2007 and applying Error Correction Model and Johansen Co-integration Approaches I estimate the impact of real oil price on the real exchange rate of Azerbaijani manat. Estimation outputs derived from these approaches are very close to each other and indicate that real oil price has statistically significant positive impact on real exchange rate in the long-run. Besides, ...
2010| Fakhri Hasanov
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Diskussionspapiere 1029 / 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market activity. The determinants of this volatility ...
2010| John Beirne, Guglielmo Maria Caporale, Nicola Spagnolo
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Diskussionspapiere 932 / 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the analysis on both sectors and individual industries within sectors. As a first step, we use the Stock and ...
2009| Guglielmo Maria Caporale, Burcu Erdogan, Vladimir Kuzin
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Diskussionspapiere 1173 / 2011
We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of price bubble periods are determined. Using these chronologies as dependent processes and a set of macroeconomic and financial variables as explanatory variables, ...
2011| Helmut Herwartz, Konstantin A. Kholodilin
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Diskussionspapiere 1190 / 2012
Tax competition for the mobile factor capital has led to a trend in many countries to levy lower taxes on interest income, often introducing differential taxation between interest and business income. In this study, we analyze the effect of such differential taxation on the debt ratio of firms. We exploit a 2009 tax reform in Germany as a quasi-experiment, which introduced a flat final withholding ...
2012| Frank M. Fossen, Martin Simmler
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Diskussionspapiere 981 / 2010
This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The results indicate that US Treasury maturity rates are I(1) in most cases, although the order of integration decreases ...
2010| Guglielmo Maria Caporale, Luis A. Gil-Alana
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SOEPpapers 218 / 2009
Weather variables, and sunshine in particular, are found to be strongly correlated with financial variables. I consider self-reported happiness as a channel through which sunshine affects financial variables. I examine the influence of happiness on risk-taking behavior by instrumenting individual happiness with regional sunshine, and I find that happy people appear to be more risk-averse in financial ...
2009| Cahit Guven