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Details about Hans Dewachter

Workplace:Centrum voor Economische Studiën (Center for Economic Studies), Faculteit Economie en Bedrijfswetenschappen (Faculty of Business and Economics), KU Leuven (University of Leuven), (more information at EDIRC)
CESifo, (more information at EDIRC)
Nationale Bank van België/Banque national de Belqique (BNB) (National Bank of Belgium), (more information at EDIRC)

Access statistics for papers by Hans Dewachter.

Last updated 2016-08-03. Update your information in the RePEc Author Service.

Short-id: pde388


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Working Papers

2014

  1. A macro-financial analysis of the euro area sovereign bond market
    Working Paper Research, National Bank of Belgium Downloads View citations (3)
    See also Journal Article in Journal of Banking & Finance (2015)
  2. Information in the yield curve: A Macro-Finance approach
    Working Paper Research, National Bank of Belgium Downloads View citations (9)
    Also in Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa (2011) Downloads View citations (14)

    See also Journal Article in Journal of Applied Econometrics (2014)

2012

  1. Endogenous risk in a DSGE model with capital-constrained financial intermediaries
    Working Paper Research, National Bank of Belgium Downloads View citations (13)
    See also Journal Article in Journal of Economic Dynamics and Control (2014)

2011

  1. A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (1)
  2. Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads
    See also Journal Article in Review of Business and Economic Literature (2011)

2010

  1. An Extended Macro-Finance Model with Financial Factors
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics (2009) Downloads
    MPRA Paper, University Library of Munich, Germany (2009) Downloads View citations (15)
    MPRA Paper, University Library of Munich, Germany (2009) Downloads

    See also Journal Article in Journal of Financial and Quantitative Analysis (2012)
  2. Fiscal activism and the cost of debt financing
    Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics Downloads
    See also Journal Article in International Journal of Finance & Economics (2012)
  3. Leviathan as a Minority Shareholder: A Study of Equity Purchases by the Brazilian National Development Bank (BNDES), 1995-2003
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads View citations (3)
  4. Spatial propagation of macroeconomic shocks in Europe
    Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics Downloads View citations (1)
    See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2012)

2009

  1. Identification of Macroeconomic Factors in Large Panels
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    Also in Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics (2009) Downloads View citations (6)
    Working Papers, University of Namur, Department of Economics (2008) Downloads

2008

  1. Imperfect information, macroeconomic dynamics and the yield curve: an encompassing macro-finance model
    Working Paper Research, National Bank of Belgium Downloads

2007

  1. Ageing and the Relative Price of Nontradeables
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)

2006

  1. A Structural Macro Model of the Yield Curve
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)
  2. A multi-factor model for the valuation and risk managment of demand deposits
    Working Paper Research, National Bank of Belgium Downloads View citations (3)

2004

  1. Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve
    Computing in Economics and Finance 2004, Society for Computational Economics Downloads View citations (1)
  2. Limits to International Arbitrage: an Empirical Evaluation
    Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics Downloads
    See also Journal Article in International Journal of Finance & Economics (2007)
  3. Macro factors and the term structure of interest rates
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads View citations (21)
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2002) Downloads View citations (18)
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2003) Downloads View citations (11)
    Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics (2003) Downloads
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2003) Downloads View citations (41)

    See also Journal Article in Journal of Money, Credit and Banking (2006)

2003

  1. The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam Downloads
    See also Journal Article in Journal of International Money and Finance (2006)

2002

  1. The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Downloads
    See also Journal Article in International Journal of Finance & Economics (2005)
  2. The Effect of Monetary Unification on German Bond Markets
    Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics Downloads View citations (3)
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2001) Downloads
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2001) Downloads View citations (8)

    See also Journal Article in European Financial Management (2004)

2001

  1. A Joint Model for the Term Structure of Interest Rates and the Macroeconomy
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Downloads View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2006)
  2. An Admissible Affine Model for Joint Term Structure Dynamics of Interest Rates
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Downloads View citations (13)
  3. An Affine Model for International Bond Markets
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Downloads View citations (2)
    Also in Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics (2001) Downloads
  4. Do Exchange Rates Convert Prices of Risk Across Countries?
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Downloads
  5. Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Downloads View citations (11)
  6. Fitting Correlations Within and Between Bond Markets
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Downloads View citations (1)
  7. Monetary Unification and the Price of Risk: An Unconditional Analysis
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Downloads
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2001) Downloads

    See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2003)

1999

  1. Measuring Convergence Speed of Asset Prices Toward a Pre-Announced Target
    Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics Downloads
    See also Journal Article in Applied Financial Economics (2001)
  2. Multiple Equilibria and the Credibility of the Brazilian "Crawling Peg", 1995-1998
    Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics Downloads
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (1999) Downloads

    See also Journal Article in International Finance (2000)
  3. The European Central Bank: Decision Rules and Macroeconomic Performance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics (1998) Downloads View citations (1)

1998

  1. Sticky Prices and the Nominal Effects of Real Shocks
    Working Papers Department of Economics, KU Leuven, Faculty of Economics and Business, Department of Economics Downloads
  2. Stochastic Process Switching and Stage III of EMU
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)

1994

  1. The Information Content of Options on the IBEX-35
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (2)

1993

  1. Dependent or Independent Nonlinearity in Speculative Returns
    Working Papers, Centro de Estudios Monetarios Y Financieros-
  2. Testing for Forecasting Poential in the Bispectrum
    Working Papers, Centro de Estudios Monetarios Y Financieros-

1990

  1. A Chaotic Monetary Model of the Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (17)

Journal Articles

2015

  1. A macro-financial analysis of the euro area sovereign bond market
    Journal of Banking & Finance, 2015, 50, (C), 308-325 Downloads View citations (8)
    See also Working Paper (2014)

2014

  1. Endogenous risk in a DSGE model with capital-constrained financial intermediaries
    Journal of Economic Dynamics and Control, 2014, 43, (C), 241-268 Downloads View citations (12)
    See also Working Paper (2012)
  2. INFORMATION IN THE YIELD CURVE: A MACRO‐FINANCE APPROACH
    Journal of Applied Econometrics, 2014, 29, (1), 42-64 Downloads View citations (1)
    See also Working Paper (2014)
  3. The intra-day impact of communication on euro-dollar volatility and jumps
    Journal of International Money and Finance, 2014, 43, (C), 131-154 Downloads View citations (9)

2012

  1. An Extended Macro-Finance Model with Financial Factors
    Journal of Financial and Quantitative Analysis, 2012, 46, (06), 1893-1916 Downloads View citations (7)
    See also Working Paper (2010)
  2. Fiscal activism and the cost of debt financing
    International Journal of Finance & Economics, 2012, 17, (1), 14-22 View citations (1)
    See also Working Paper (2010)
  3. Spatial propagation of macroeconomic shocks in Europe
    Review of World Economics (Weltwirtschaftliches Archiv), 2012, 148, (2), 377-402 Downloads
    See also Working Paper (2010)

2011

  1. Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics
    Review of Business and Economic Literature, 2011, 56, (4), 454-472
    See also Working Paper (2011)
  2. Introduction
    Review of Business and Economic Literature, 2011, 56, (4), 378-382 View citations (24)

2007

  1. Limits to international arbitrage: an empirical evaluation
    International Journal of Finance & Economics, 2007, 12, (3), 273-285 Downloads View citations (1)
    See also Working Paper (2004)

2006

  1. A joint model for the term structure of interest rates and the macroeconomy
    Journal of Applied Econometrics, 2006, 21, (4), 439-462 Downloads View citations (28)
    See also Working Paper (2001)
  2. Macro Factors and the Term Structure of Interest Rates
    Journal of Money, Credit and Banking, 2006, 38, (1), 119-140 Downloads View citations (104)
    See also Working Paper (2004)
  3. The cost of technical trading rules in the Forex market: A utility-based evaluation
    Journal of International Money and Finance, 2006, 25, (7), 1072-1089 Downloads View citations (2)
    See also Working Paper (2003)

2005

  1. Managing Uncertainty: Financial, Actuarial and Statistical Modeling
    Review of Business and Economic Literature, 2005, L, (1), 23-48 Downloads
  2. The economic value of technical trading rules: a nonparametric utility-based approach
    International Journal of Finance & Economics, 2005, 10, (1), 41-62 Downloads View citations (8)
    See also Working Paper (2002)

2004

  1. The Effect of Monetary Unification on German Bond Markets
    European Financial Management, 2004, 10, (3), 487-509 Downloads View citations (6)
    See also Working Paper (2002)

2003

  1. Monetary unification and the price of risk: An unconditional analysis
    Review of World Economics (Weltwirtschaftliches Archiv), 2003, 139, (2), 276-305 Downloads
    See also Working Paper (2001)

2002

  1. Do asymmetries matter for European monetary policy?
    European Economic Review, 2002, 46, (3), 443-469 Downloads View citations (71)

2001

  1. Can Markov switching models replicate chartist profits in the foreign exchange market?
    Journal of International Money and Finance, 2001, 20, (1), 25-41 Downloads View citations (38)
  2. Measuring convergence speed of asset prices toward a pre-announced target
    Applied Financial Economics, 2001, 11, (6), 591-601 Downloads View citations (1)
    See also Working Paper (1999)

2000

  1. Multiple Equilibria and the Credibility of the Brazilian 'Crawling Peg,' 1995-1998
    International Finance, 2000, 3, (1), 1-23 Downloads View citations (1)
    See also Working Paper (1999)

1999

  1. Effectiveness of Monetary Policy in Euroland
    Empirica, 1999, 26, (4), 299-318 Downloads View citations (3)
  2. Explaining Recent European Exchange-Rate Stability
    International Finance, 1999, 2, (1), 1-31 Downloads View citations (9)
  3. Price dynamics under stochastic process switching: some extensions and an application to EMU1
    Journal of International Money and Finance, 1999, 18, (2), 195-224 Downloads View citations (17)
  4. Setting futures margins: the extremes approach
    Applied Financial Economics, 1999, 9, (2), 173-181 Downloads View citations (12)

1998

  1. Expectation revisions and jumps in asset prices
    Economics Letters, 1998, 59, (3), 367-372 Downloads

1997

  1. Sign predictions of exchange rate changes: Charts as proxies for Bayesian inferences
    Review of World Economics (Weltwirtschaftliches Archiv), 1997, 133, (1), 39-55 Downloads View citations (15)

1996

  1. Charts as signals in Markov switching world
    Applied Economics Letters, 1996, 3, (6), 405-407 Downloads
  2. Modelling interest rate volatility: Regime switches and level links
    Review of World Economics (Weltwirtschaftliches Archiv), 1996, 132, (2), 236-258 Downloads View citations (5)

1993

  1. A chaotic model of the exchange rate: The role of fundamentalists and chartists
    Open Economies Review, 1993, 4, (4), 351-379 Downloads View citations (38)

Chapters

2008

  1. Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates
    A chapter in Asset Prices and Monetary Policy, 2008, pp 191-245 Downloads View citations (17)
 
Page updated 2017-10-20