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Browsing by Author "Strohsal, Till"
Now showing items 1-12 of 12
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2014-10-20BuchAre 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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2012-02-29BuchAssessing the Anchoring of Inflation Expectations Strohsal, Till; Winkelmann, LarsThis paper proposes an ESTAR modeling framework to analyze the anchoring of inflation expectations. Anchoring criteria are empirical estimates of a market implied inflation target as well as the strength of the anchor that ...
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2015-04-14BuchCharacterizing the Financial Cycle Evidence from a Frequency Domain AnalysisStrohsal, Till; Proaño, Christian R.; Wolters, JürgenA growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This ...
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2016-10-12BuchDisinflation and the Phillips Curve: Israel 1986-2015 Melnick, Rafi; Strohsal, TillA Phillips Curve (PC) framework is utilized to study the challenging post-1985 disinflation process in Israel. The estimated PC is stable and has forecasting power. Based on endogenous structural break tests we find that ...
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2015-02-12BuchFrom Galloping Inflation toPrice Stability inSteps Israel 1985–2013Melnick, Rafi; Strohsal, TillAfter the introduction of a stabilization program Israeli inflation decreased from 400% in 1985 to 2% in 2013. This paper analyzes how the remarkable transition process of Israel’s disinflation took place. We reinforce the ...
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2015-04-24BuchHow Do Financial Cycles Interact? Evidence from the US and the UKStrohsal, Till; Proaño, Christian R.; Wolters, JürgenAre financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides new evidence for the US and the UK. Considering the properties of the data in both the time and the ...
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2011-02-07BuchMean-Variance Cointegration and the Expectations Hypothesis Strohsal, Till; Weber, EnzoThe present paper sheds further light on a well-known (alleged) violation of the expec- tations hypothesis of the term structure (EHT) - the frequent finding of unit roots in interest rate spreads. We show that the EHT ...
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2013-09-25BuchTesting the Preferred-Habitat Theory Role of Time-Varying Risk AversionStrohsal, TillTesting the Preferred-Habitat Theory: The Role ofTime-Varying Risk Aversion Abstract: This paper examines the preferred-habitat theory under time-varying risk aversion. The predicted positive relation between the term ...
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2015-09-04BuchThe (De-)Anchoring of Inflation Expectations New Evidence from the Euro AreaPagenhardt, 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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2016-03-18BuchThe 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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2012-06-26BuchThe Sign of Volaility Strohsal, Till; Weber, EnzoThe present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We ...
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2015-05-27BuchThe Time-Varying Degree of Inflation Expectations Anchoring Strohsal, Till; Melnick, Rafi; Nautz, DieterAbstract: Well-anchored inflation expectations have become a key indicator for the credibility of a central bank’s inflation target. Since the outbreak of the recent financial crisis, the existence and the degree of ...
