Sample records for FLUECHTIGKEIT (volatility)
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5

Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John; Caporale, Guglielmo Maria; Schulze-Ghattas, Marianne; Spagnolo, Nicola

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging m...

DRIVER (German)

13

Volatility Estimates of the Short Term Interest Rate with an Application to German Data

Dankenbring, Henning

This paper proposes a procedure for testing alternative specifications of the short term interest rate’s dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do not ...

DRIVER (German)

15

Volatile multinationals? Evidence from the labor demand of German firms

Buch, Claudia M.; Lipponer, Alexander

Does more FDI make the world a riskier place for workers? We analyze whether an increase in multinational firms' activities is associated with an increase in firm-level employment volatility. We use a firm-level dataset for Germany which allows us to distinguish between purely domestic firms, domest...

DRIVER (German)

18

Trade-off between consumption growth and inequality: Theory and evidence for Germany

Xie, Runli

This paper examines the structure and evolution of consumption and consumption growth inequality. Once heterogeneous agents relate their neighbors' consumption to their own, consumption volatility and inequality are affected. The relationship predicted between the group average consumption growth an...

DRIVER (German)

19

They are even larger! More (on) puzzling labor market volatilities

Gartner, Hermann; Merkl, Christian; Rothe, Thomas

This paper shows that the German labor market is more volatile than the US labor market. Specifically, the volatility of the cyclical component of several labor market variables (e.g., the job-finding rate, labor market tightness, and job vacancies) divided by the volatility of labor productivity is...

DRIVER (German)

20

They are even larger! More (on) puzzling labor market volatilities

Gartner, Hermann; Merkl, Christian; Rothe, Thomas

This paper shows that the German labor market is more volatile than the US labor market. Specifically, the volatility of the cyclical component of several labor market variables (e.g., the job-finding rate, labor market tightness, and job vacancies) divided by the volatility of labor productivity is...

DRIVER (German)

29

The Structural Determinants of External Vulnerability

Loayza, N.V.; Raddatz, C.; Center for International Economic Research
2007-01-01

German National Library of Science and Technology (GetInfo) (German)

31

The Decline in German Output Volatility: A Bayesian Analysis

Liesenfeld, Roman; Hogrefe, Jens; Aßmann, Christian

Empirical evidence suggests a sharp volatility decline of the growth in U.S. gross domestic product (GDP) in the mid-1980s. Using Bayesian methods, we analyze whether a volatility reduction can also be detected for the German GDP. Since statistical inference for volatility processes critically depen...

DRIVER (German)

32

The Asian financial crisis: the start of a regime switch in volatility

Giot, Pierre

Using a Markov switching model applied to the VIX and VDAX implied volatility indexes, we find that the volatility of the U.S. S&P100 index and German DAX index switched from a low-value state to a high-value state around the events of the Asian financial crisis. Moreover, the U.S. and German market...

DRIVER (German)

39

Regional origins of employment volatility: evidence from German states

Buch, Claudia M.; Schlotter, Martin

Openness for trade can have positive welfare effects in terms of higher growth. But increased openness may also increase uncertainty through a higher volatility of employment. We use regional data from Germany to test whether openness for trade has an impact on volatility. We find a downward trend i...

DRIVER (German)

41

Real-time price discovery in Stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Vega, Clara

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; he...

DRIVER (German)

46

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which includes s...

DRIVER (German)

47

Preisvolatilität auf landwirtschaftlichen Märkten

von Ledebur, Ernst-Oliver; Schmitz, Jochen

In diesem Beitrag wird die Entwicklung der Preisvolatilität auf deutschen Agrarmärkten analysiert. Ziel ist es das Ausmaß der Preisvolatilität auf ausgewählte deutsche Agrarmärkte zu quantifizieren und festzustellen inwiefern sie sich im Zeitablauf verändert hat. Soweit möglich wird eine Vergleichba...

DRIVER (German)

57

Money Growth Volatility and the Demand for Money in Germany Friedman’s Volatility Hypothesis Revisited

Brüggemann, Imke; Nautz, Dieter

Recently, the Bundesbank claimed that monetary targeting has become considerably more diffcult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman’s money growth vo...

DRIVER (German)

72

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A.

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...

DRIVER (German)

73

Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alana, Luis A.

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for the er...

DRIVER (German)

80

International equity market integration in a small open economy : Ireland January 1990–December 2000

Cotter, John

We examine the relationship between the Irish, German, UK and U.S. equity markets. Our main finding is that the Irish equity market depends heavily on trading activity in the other markets but not vice versa. Significant return and volatility spillover effects occur in the direction of, but not from...

DRIVER (German)

83

How wacky is the DAX? The changing structure of German stock market volatility

Werner, Thomas; Stapf, Jelena

In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after 1997 but the volatility persistence also increased. That means ...

DRIVER (German)

84

How risky is the German pension system? The volatility of the internal rates of return

Heidler, Matthias; Raffelhüschen, Bernd

In this paper we analyze exemplarily the volatility of the internal rates of return of the German pension system over the life-cycle of an individual born in 1957. The outcome is compared to an alternative defined-contribution or defined-benefit policy. Based on the actual data, our resultsshow the ...

DRIVER (German)

86

Households' Vulnerability to Covariate and Idiosyncratic Shocks

Harttgen, Kenneth; Günther, Isabel

Households in developing countries are frequently hit by severe idiosyncratic and covariate shocks resulting in high consumption volatility. A household's currently observed poverty status might therefore not be a good indicator of the household's general poverty risk, or in other words its vulnerab...

DRIVER (German)

87

Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; Schulze-Ghattas, Marianne; Spagnolo, Nicola

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of pos...

DRIVER (German)

88

German male income volatility 1984 to 2008

Bartels, Charlotte; Bönke, Timm

Deploying data from the German Socio-Economic Panel (GSOEP) we analyze the variability of individual earnings and equivalent household income. Permanent and transitory variances of male income over the period 1984-2008 are estimated for Old German Laender in order to determine their importance to in...

DRIVER (German)

89

From Riches to Rags, and Back? Explaining the Growth Trajectory of Argentina since the 1890s

Campos, Nauro F.; Karanasos, Menelaos G.; Tan, Bin

Argentina is the only country in the world that was developed in 1900 and developing in 2000. Although various underlying reasons have been identified (chiefly political instability, financial development, inflation, trade openness, and international financial integration), no study has quantita...

DRIVER (German)

96

Exchange Rate Volatility Effects on the German Labour Market: A Survey of Recent Results and Extensions

Buscher, Herbert S.; Mueller, Claudia

In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different volatility measures and four country groups. In autoregressive ...

DRIVER (German)

101

Estimating persistence in the volatility of asset returns with signal plus noise models

Caporale, Guglielmo Maria; Gil-Alana, Luis A.

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by Robinso...

DRIVER (German)

106

Delta-neutral volatility trading with intra-day prices: an application to options on the DAX

Schmitt, Christian; Kaehler, Jürgen

This paper evaluates the profitability of applying four different volatility forecasting models to the trading of straddles on the German stock market index DAX. Special care has been taken to use simultaneous intra-day prices and realistic transaction costs. Furthermore, straddle positions were eva...

DRIVER (German)

107

Decreasing wage mobility in Germany

Gernandt, Johannes

Using data from the German Socio Economic Panel (SOEP) for the years 1984 to 2007, this paper analyses the amount, the development and the explanations of wage mobility, as well as volatility in West Germany, measured by ranks in the wage distribution. Individual wage mobility decreased between 1984...

DRIVER (German)

108

Decreasing wage mobility in Germany

Gernandt, Johannes

Using data from the German Socio Economic Panel (SOEP) for the years 1984 to 2007, this paper analyses the amount, the development and the explanations of wage mobility, as well as volatility in West Germany, measured by ranks in the wage distribution. Individual wage mobility decreased between 1984...

DRIVER (German)

110

Crises, Volatility, and Growth

Kharroubi, E.; Center for International Economic Research
2007-01-01

German National Library of Science and Technology (GetInfo) (German)

111

Creditor Protection and Credit Response to Shocks

Galindo, A.J.; Micco, A.; Center for International Economic Research
2007-01-01

German National Library of Science and Technology (GetInfo) (German)

115

Common Factors Governing VDAX Movements and the Maximum Loss

Härdle, Wolfgang; Schmidt, Peter

Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the term s...

DRIVER (German)

120

An economic geography of global finance: ownership concentration and stock-price volatility in German firms and regions

Clark, Gordon L.; Wójcik, Dariusz

For some, global finance is ubiquitous. The growth of advanced electronic communications combined with computer-driven, top-down investment strategies has provided institutional investors access to the most sheltered capital markets, including those of continental Europe. By contrast, many economic ...

DRIVER (German)

122

An Economic Geography of Global Finance: Ownership Concentration and Stock-Price Volatility in German Firms and Regions

Clark, GL; Wojcik, D

For some, global finance is ubiquitous. The growth of advanced electronic communications combined with computer-driven, top-down investment strategies has provided institutional investors access to the most sheltered capital markets, including those of continental Europe. By contrast, many economic ...

DRIVER (German)

125

Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie

Rodt, Marc; Schäfer, Klaus

The regulatory changes in the german electric power market result in rising electricity price volatility. As a consequence electricity price risk management is essential for an electricity trader. The paper therefore analyzes the needed volume of futures hedging for an electricity trader, that ist t...

DRIVER (German)