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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; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding helps explain the time-varying correlation between stock and bond returns, and the relatively small equity market news effect when averaged across expansions and recessions. Lastly, relying on the pronounced heteroskedasticity in the high-frequency data, we document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects. JEL Klassifikation: F3, F4, G1, C5
What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, the demands of real-world risk management in financial institutions - in particular, real-time risk tracking in very high-dimensional situations - impose strict limits on model complexity. Hence we stress parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market risk management technologies that draw on the best of both worlds.
Recent empirical research found that the strong short-term relationship between monetary aggregates and US real output and inflation, as outlined in the classical study by M. Friedman and Schwartz, mostly disappeared since the early 1980s. In the light of the B. Friedman and Kuttner (1992) information value approach, we reevaluate the vanishing relationship between US monetary aggregates and these macroeconomic fundamentals by taking into account the international currency feature of the US dollar. In practice, by using official US data for foreign flows constructed by Porter and Judson (1996) we find that domestic money (currency component of M1 corrected for the foreign holdings of dollars) contains valuable information about future movements of US real output and inflation. Statistical evidence here provided thus suggests that the Friedman and Schwartz's stylized facts can be reestablished once the focus of analysis is back on the domestic monetary aggregates. This Version: August, 2001. Klassifikation: E3, E4, E5
Die USA - Terra incognita für die meisten Europäer im frühen und mittleren 19. Jahrhundert - spielten als Modell staatswissenschaftlichen, verfassungsrechtlichen und politischen Denkens bei den Vertretern und Verteidigern der monarchischen Herrschaft und ihres Machtgefüges genauso wie bei den Anführern und Anhängern gemäßigter und radikaler Reform-, Oppositions- und Widerstandsbewegungen, aber auch an deutschen Universitäten und Akademien, in literarischen und philosophischen Zirkeln, in Unternehmer- und Verlegerkreisen, Künstlerbünden und der medialen Öffentlichkeit eine zentrale Rolle. Zugleich stellte die Neue Welt ein Sehnsuchtsziel für Freiheitsliebende, politische Flüchtlinge, Auswanderungswillige und Wirtschaftsmigranten, aber auch bisweilen die gefürchtete Endstation für verbannte Gefangene dar: Das Spektrum der Funktionen, Aufgaben, Bilder und Vorstellungen ist breit, das die Vereinigten Staaten von Amerika in der Wahrnehmung der Zeitgenossen im Vor- und Nachmärz einnahmen und das ihnen zugeschrieben wurde - nicht zuletzt auch in der (Emigrations-)Literatur.