Auflistung Sonderforschungsbereich 649: Ökonomisches Risiko nach Titel
Anzeige der Publikationen 776-795 von 832
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2017-07-17Diskussionspapier(Un)expected Monetary Policy Shocks and Term Premia We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term ...
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2007-03-20DiskussionspapierUncertain Paternity, Mating Market Failure, and the Institution of Marriage This paper provides a first microeconomic foundation for the institution of marriage. Based on a model of reproduction, mating, and parental investment in children, we argue that marriage serves the purpose of attenuating ...
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2016-01-13DiskussionspapierUncertainty andEmployment Dynamics in theEuro Area and the US In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to unemployment in two largest economic regions in the world - the United States (US) and the Euro area (EA). ...
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2005-06-22DiskussionspapierUncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered ...
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2008-12-02DiskussionspapierUnderstanding West German Economic Growth in the 1950s We evaluate explanations for why Germany grew so quickly in the 1950s. The recent literature has emphasized convergence, structural change and institutional shake-up while minimizing the importance of the postwar shock. ...
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2014-02-19DiskussionspapierUnemploymentbenefits extensions atthe zero lower boundon nominal interestrate In this paper we investigate the impact of the recent US unemployment benefits extension on the labor market dynamic when the nominal interest rate is held at the zero lower bound (ZLB). Using a New Keynesian model, our ...
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2010-01-07DiskussionspapierUniform confidence bands for pricing kernels Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the ...
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2007-02-19DiskussionspapierUnion Wage Compression in a Right-to-Manage Model Trade unions are consistently found to compress the wage distribution. Moreover, unemployment affects in particular low-skilled workers. The present paper argues that an extended Right-to-Manage model can account for both ...
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2009-05-13DiskussionspapierUnionisation Structures, Productivity, and Firm Performance his paper studies how different unionisation structures affect firm productivity, firm performance, and consumer welfare in a monopolistic competition model with heterogeneous firms and free entry. While centralised ...
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2008-06-16DiskussionspapierUnionization, Stochastic Dominance, and Compression of the Wage Distribution This paper establishes theoretical and empirical linkages between union wage setting and the structure of the wage distribution. Theoretically, we identify conditions under which a right-to-manage model implies compression ...
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2016-11-07DiskussionspapierUnraveling of Cooperation in Dynamic Collaboration We examine collaboration in a one-arm bandit problem in which the players' actions affect the distribution over future payoffs. The players need to exert costly effort both to enhance the value of a risky technology and ...
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2011-02-17DiskussionspapierUnwillingness to Pay for Privacy We measure willingness to pay for privacy in a field experiment. Participants were given the choice to buy a maximum of one DVD from one of two online stores. One store consistently required more sensitive personal data ...
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2008-04-18DiskussionspapierUsing R, LaTeX and Wiki for an Arabic e-learningplatform E-learning plays an important role in education as it supports online education via computer networks and provides educational services by utilising information technologies. We present a case study describing the development ...
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2012-08-23DiskussionspapierUsing transfer entropy to measure information flows between financial markets We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler ...
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2007-05-25DiskussionspapierUsing Wiki to Build an E-learning System in Statistics in Arabic Language E-learning plays an important role in education as it supports online education via computer networks and provides educational services by utilising information technologies. We present a case study describing the development ...
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2005-05-27DiskussionspapierUtility Duality under Additional Information The utility maximisation problem is considered for investors with anticipative additional information. We distinguish between models with conditional measures and models with enlarged filtrations. The dual functions of the ...
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2008-01-07DiskussionspapierValue-at-Risk and Expected Shortfall when there is long range dependence Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range ...
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2005-02-10DiskussionspapierValue-at-Risk Calculations with Time Varying Copulae Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant ...
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2006-02-03DiskussionspapierVAR Modeling for Dynamic Semiparametric Factors of Volatility Strings The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that ...
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2012-10-12DiskussionspapierVariable selection in Cox regression models with varying coefficients We deal with two kinds of Cox regression models with varying coefficients. The coefficients vary with time in one model. In the other model, there is an important random variable called an index variable and the coefficients ...