CFS Working Paper Series

from Center for Financial Studies
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2008/22: How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States

Zeno Enders, Gernot J. Müller and Almut Scholl

2008/14: Value-at-Risk and Expected Shortfall for Rare Events

Stefan Mittnik and Tina Yener

2008/13: Increasing Public Expenditures: Wagner’s Law in OECD Countries

Serena Lamartina and Andrea Zaghini

2008/08: Multivariate Regime–Switching GARCH with an Application to International Stock Markets

Markus Haas and Stefan Mittnik

2008/07: Asymmetric Multivariate Normal Mixture GARCH

Markus Haas, Stefan Mittnik and Mark S. Paolella

2007/25: Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model

Nikolaus Hautsch

2007/24: The CFS International Capital Flow Database: A User’s Guide

Christian Offermanns and Marcus Pramor

2007/23: International Investment Positions and Exchange Rate Dynamics: A Dynamic Panel Analysis

Michael Binder and Christian Offermanns

2007/18: Money in Monetary Policy Design under Uncertainty: A Formal Characterization of ECB-Style Cross-Checking

Guenter W. Beck and Volker Wieland

2007/17: Money in Monetary Policy Design under Uncertainty: The Two-Pillar Phillips Curve versus ECB-Style Cross-Checking

Guenter W. Beck and Volker Wieland

2007/16: Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission

Silvio Colarossi and Andrea Zaghini

2007/14: Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data

Jean Boivin, Marc P. Giannoni and Ilian Mihov

2007/13: Menu Costs, Multi-Product Firms, and Aggregate Fluctuations

Virgiliu Midrigan

2007/12: Robustly Optimal Monetary Policy with Near-Rational Expectations

Michael Woodford

2007/11: Bayesian and Adaptive Optimal Policy under Model Uncertainty

Lars E.O. Svensson and Noah Williams

2007/10: Mortgage Markets, Collateral Constraints, and Monetary Policy: Do Institutional Factors Matter?

Alessandro Calza, Tommaso Monacelli and Livio Stracca

2007/09: Unemployment Fluctuation with Staggered Nash Wage Bargaining

Mark Gertler and Antonella Trigari

2007/08: A New Keynesian Model with Unemployment

Olivier Blanchard and Jordi Gali

2007/07: Identifying the Role of Labor Markets for Monetary Policy in an Estimated DSGE Model

Kai Christoffel, Keith Kuester and Tobias Linzert

2007/06: The Mistake of 1937: A General Equilibrium Analysis

Gauti B. Eggertsson and Benjamin Pugsley

2007/05: Three Great American Disinflations

Michael Bordo, Christopher John Erceg, Andrew Theo Levin and Ryan Michaels

2006/34: Consumption Smoothing and Liquidity Income Redistribution

Giuseppe Bertola and Winfried Koeniger

2006/33: Credit Cycles and Macro Fundamentals

Siem Jan Koopman, Roman Kräussl, Andre Lucas and Andre Antonio Monteiro (Roman Kraeussl)

2006/32: Does Patience Pay? Empirical Testing of the Option to Delay Accepting a Tender Offer in the U.S. Banking Sector

Rachel A. Campbell and Roman Kräussl (Roman Kraeussl)

2006/31: Revisiting the Home Bias Puzzle. Downside Equity Risk

Rachel A. Campbell and Roman Kräussl (Roman Kraeussl)

2006/30: Global Monetary Policy Shocks in the G5: A SVAR Approach

João Sousa and Andrea Zaghini

2006/29: Public Policy and Venture Capital Financed Innovation: A Contract Design Approach

Julia Hirsch

2006/28: Optimal Choice and Beliefs with Ex Ante Savoring and Ex Post Disappointment

Christian Gollier and Alexander Muermann

2006/27: Tying Lending and Underwriting: Scope Economies, Incentives, and Reputation

Christian Laux and Uwe Walz

2006/26: Mutual versus Stock Insurers: Fair Premium, Capital, and Solvency

Christian Laux and Alexander Muermann

2006/25: Stock Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets

Bea Canto and Roman Kräussl (Roman Kraeussl)

2006/24: Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed

Toker Doganoglu, Christoph Hartz and Stefan Mittnik

2006/23: Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model

Christoph Hartz, Stefan Mittnik and Marc S. Paolella

2006/22: Taxing Capital? Not a Bad Idea After All!

Dirk Krueger, Hanno Lustig and Fabrizio Perri

2006/21: Taxing Capital? Not a Bad Idea After All!

Juan Carlos Conesa, Sagiri Kitao and Dirk Krueger

2006/20: Baby Boomer Retirement Security: The Roles of Planning, Financial Literacy,and Housing Wealth

Annamaria Lusardi and Olivia Mitchell

2006/19: Credit Cards: Facts and Theories

Carol C. Bertaut and Michael Haliassos

2006/18: On the Consequences of Demographic Change for Rates of Returns to Capital, and the Distribution of Wealth and Welfare

Dirk Krueger and Alexander Ludwig

2006/17: Mark-to-Market Accounting and Liquidity Pricing

Franklin Allen and Elena Carletti

2006/16: Precautionary Savings and the Importance of Business Owners

Erik Hurst, Arthur Kennickell, Annamaria Lusardi and Francisco Torralba

2006/15: Disentangling the Importance of the Precautionary Saving Motive

Arthur Kennickell and Annamaria Lusardi

2006/13: The Boom-Bust Cycle in Finland and Sweden 1984-1995 in an International Perspective

Lars Jonung, Ludger Schuknecht and Mika Tujula

2006/12: Why Do Contracts Differ between VC Types? Market Segmentation versus Corporate Governance Varieties

Julia Hirsch and Uwe Walz

2006/11: The Dynamics of Venture Capital Contracts

Carsten Bienz and Julia Hirsch

2006/10: Retirement Expectations, Pension Reforms, and Their Impact on Private Wealth Accumulation

Renata Bottazzi, Tullio Jappelli and Mario Padula

2006/09: Multivariate Normal Mixture GARCH

Markus Haas, Stefan Mittnik and Marc S. Paolella

2006/08: Mean Variance Optimization of Non-Linear Systems and Worst-case Analysis

Elena Carletti, Philipp Hartmann and Giancarlo Spagnolo

2006/04: Risk Transfer with CDOs and Systemic Risk in Banking

Jan Pieter Krahnen and Christian Wilde

2006/03: Mean Variance Optimization of Non-Linear Systems and Worst-case Analysis

Panos Parpas, Berc Rustem, Volker Wieland and Stan Zakovic

2005/33: The Volatility of Realized Volatility

Fulvio Corsi, Uta Kretschmer, Stefan Mittnik and Christian Pigorsch