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Auflistung nach Autor "Nautz, Dieter"
Anzeige der Publikationen 1-20 von 27
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2014-10-20DiskussionspapierAre US InflationExpectations Re-Anchored? Nautz, Dieter; Strohsal, TillAnchored inflation expectations are of key importance for monetary policy. If long-terminflation expectations arewell-anchored, they should be unaffected by short-termeconomic news. This letter introduces newsregressions ...
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1998-03-01BuchBanks’ Supply of Loans Mitusch, Kay; Nautz, DieterThe most important policy instruments of the Bundesbank and of the coming European Central Bank involve lending to domestic credit institutions. In this monetary setup, banks use short-term central bank credits extensively ...
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2009-05-15DiskussionspapierControllability and Persistence of Money Market Rates along the Yield Curve Busch, Ulrike; Nautz, DieterControllability of longer-term interest rates requires that the persistence of their deviations from the central bank's policy rate (i.e. the policy spreads) remains sufficiently low. This paper applies fractional integration ...
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2012-05-22DiskussionspapierCorrelated Trades and Herd Behavior in the Stock Market Jurkatis, Simon; Kremer, Stephanie; Nautz, DieterHerd behavior is often viewed as a significant threat for the stability and effciency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce ...
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1999-08-17BuchDie empirische Relevanz des Monetären Modells für die Erklärung des DM/Dollar Wechselkurses Nautz, Dieter
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2013-08-07DiskussionspapierHerding in financial markets Boortz, Christopher; Jurkatis, Simon; Kremer, Stephanie; Nautz, DieterDue to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper attempts to close this gap in the herding literature. From a theoretical ...
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2009-07-07DiskussionspapierInflation and Growth Kremer, Stephanie; Bick, Alexander; Nautz, DieterWe introduce a dynamic panel threshold model to shed new light on the impact of inflation on long-term economic growth. The empirical analysis is based on a large panel-data set including 124 countries during the period ...
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2010-11-25DiskussionspapierInflation, Price Dispersion and Market Integration through the Lens of a Monetary Search Model Becker, Sascha; Nautz, DieterMonetary search theory implies that the real effects of inflation via its impact on price dispersion depend on the level of search costs and, thus, on the level of market integration. For less integrated markets, the ...
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2014-05-20DiskussionspapierInformation Risk, MarketStress and InstitutionalHerding in FinancialMarkets Boortz, Christopher; Kremer, Stephanie; Jurkatis, Simon; Nautz, DieterThis paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these ...
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2009-12-09DiskussionspapierInterest Rate Dynamics and Monetary Policy Implementation in Switzerland Abbassi, Puriya; Nautz, Dieter; Offermanns, Christian J.The maturity of the operational target of monetary policy is a distinguishing feature of the SNB's operational framework of monetary policy. While most central banks use targets for the overnight rate to signal the ...
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2009-11-09DiskussionspapierMonetary Policy Implementation and Overnight RatePersistence Nautz, Dieter; Scheithauer, JanOvernight money market rates are the predominant operational target of monetary policy. As a consequence, central banks have redesigned the implementation of monetary policy to keep the deviations of the overnight rate ...
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2010-03-19DiskussionspapierMonetary Transmission Right from the Start Abbassi, Puriya; Nautz, DieterThe relation between the ECB’s main refinancing (MRO) rates and the money market is key for the monetary transmission process in the euro area. This paper investigates how money market rates respond to the new information ...
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1997-02-01BuchMoney Growth Volatility and the Demand for Money in Germany Brüggemann, Imke; Nautz, DieterRecently, 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 ...
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2011-03-10DiskussionspapierShort-Term Herding of Institutional Traders Kremer, Stephanie; Nautz, DieterThis paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show ...
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2014-05-13DiskussionspapierStale ForwardGuidance Detmers, Gunda-Alexandra; Nautz, DieterAn increasing number of central banks manage market expectations via interest rate projections. Typically, those projections are updated only quarterly and thus, may become stale when new information enters the market. We ...
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2015-09-04DiskussionspapierThe (De-)Anchoring of Inflation Expectations Pagenhardt, Laura; Nautz, Dieter; Strohsal, TillWell-anchored inflation expectations are a key factor for achieving economic stability. This paper provides new empirical results on the anchoring of long-term inflation expectations in the euro area. In line with earlier ...
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2010-04-15DiskussionspapierThe (In)stability of Money Demand in the Euro Area Nautz, Dieter; Rondorf, UlrikeThe instability of standard money demand functions has undermined the role of monetary aggregates for monetary policy analysis in the euro area. This paper uses country-specific monetary aggregates to shed more light on ...
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2016-03-18DiskussionspapierThe Anchoring of Inflation Expectations in the Short and in the Long Run Nautz, Dieter; Netsunajev, Aleksei; Strohsal, TillThis paper introduces structural VAR analysis as a tool for investigating the anchoring of inflation expectations. We show that U.S. consumers’ inflation expectations are anchored in the long run because macro-news shocks ...
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2009-07-07DiskussionspapierThe Impact of the European Monetary Union on Inflation Persistence in the Euro Area Meller, Barbara; Nautz, DieterThis paper uses the European Monetary Union (EMU) as a natural experiment to investigate whether more effective monetary policy reduces the persistence of ination. Taking into account the fractional integration of ination, ...
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2011-06-07DiskussionspapierThe information content of central bank interest rate projections Detmers, Gunda-Alexandra; Nautz, DieterThe Reserve Bank of New Zealand (RBNZ) has been the first central bank that began to publish interest rate projections in order to improve its guidance of monetary policy. This paper provides new evidence on the role of ...