Browsing by Author "Winkelmann, Lars"

Now showing items 1-8 of 8

2012-02-29Buch

Assessing the Anchoring of Inflation Expectations

Strohsal, Till; Winkelmann, Lars

This 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 ...
2014-07-16Buch

Common price andvolatility jumps in noisyhigh-frequency data

Bibinger, Markus; Winkelmann, Lars

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. ...
2013-08-29Buch

EBC monetary policy surprises

Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias

This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest ...
2013-05-02Buch

Econometrics of co-jumps in high-frequency data with noise

Bibinger, Markus; Winkelmann, Lars

We establish estimation methods to determine co-jumps in multivariate high-frequency data with nonsynchronous observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is ...
2014-03-18Buch

Inflation ExpectationsSpillovers between theUnited States and EuroArea

Netšunajev, Aleksei; Winkelmann, Lars

We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a ...
2016-05-03Buch

International dynamics of inflation expectations

Netšunajev, Aleksei; Winkelmann, Lars

To what extent are US and Euro Area (EA) inflation expectations determined by foreign shocks? How do transmissions change during the great recession and European sovereign debt crisis? We address these questions with a ...
2013-04-16Buch

Quantitative forward guidance and the predictability of monetary policy

Winkelmann, Lars

The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the ...
2010-12-21Buch

The Norges Bank’s key rate projections and the news element of monetary policy

Winkelmann, Lars

This paper investigates the information content of the Norges Bank’s key rate projections. Wavelet spectrum estimates provide the basis for estimating jump probabilities of short- and long-term interest rates on monetary ...