CFS Working Paper Series

From Center for Financial Studies (CFS)
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2004/20: The comovement of credit default swap, bond and stock markets: An empirical analysis

Lars Norden and Martin Weber

2004/19: Real-time price discovery in stock, bond and foreign exchange markets

Torben Andersen, Tim Bollerslev, Francis Diebold and Clara Vega

2004/18: Multiple-bank lending: Diversification and free-riding in monitoring

Vittoria Cerasi and Sonja Daltung

2004/17: Legality and venture governance around the world

Douglas Cumming, Daniel Schmidt and Uwe Walz

2004/16: Realized beta: Persistence and predictability

Torben Andersen, Tim Bollerslev, Francis Diebold and Jin Wu

2004/15: Are stationary hyperinflation paths learnable?

Klaus Adam, George Evans and Seppo Honkapohja

2004/14: Exchange-rate policy and the zero bound on nominal interest

Volker Wieland and Günter Coenen

2004/13: Optimal monetary policy under commitment with a zero bound on nominal interest rates

Klaus Adam and Roberto Billi

2004/12: Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations

Daniel Schmidt

2004/11: The Nobel Memorial Prize for Robert F. Engle

Francis Diebold

2004/10: Weather forecasting for weather derivatives

Sean D. Campbell and Francis Diebold

2004/09: Forecasting the term structure of government bond yields

Francis Diebold and Canlin Li

2004/08: Financial asset returns, direction-of-change forecasting, and volatility dynamics

Peter Christoffersen and Francis Diebold

2004/07: A no-arbitrage approach to range-based estimation of return covariances and correlations

Michael W. Brandt and Francis Diebold

2004/06: The determinants of debt and (private-) equity financing in young innovative SMEs: Evidence from Germany

Dorothea Schäfer, Axel Werwatz and Volker Zimmermann

2004/05: Private equity returns and disclosure around the world

Uwe Walz and Douglas Cumming

2004/04: Ramsey monetary policy and international relative prices

Ester Faia and Tommaso Monacelli

2004/03: Innovation and market concentration with asymmetric firms

Marc Escrihuela-Villar

2004/02: Are IPOs of different VCs different?

Tereza Tykvová and Uwe Walz

2004/01: Betting on death and capital markets in retirement: A shortfall risk analysis of life annuities versus phased withdrawal plans

Ivica Dus, Raimond H. Maurer and Olivia Mitchell

2003/48: Screening and advising by a venture capitalist with a time constraint

Martin Dietz

2003/47: IPOs cycle and investment in high-tech industries

Romain Bouis

2003/46: Equal size, equal role? Interest rate interdependence between the Euro area and the United States

Michael Ehrmann and Marcel Fratzscher

2003/45: Nominal exchange rate regimes and relative price dispersion: On the importance of nominal exchange rate volatility for the width of the border

Guenter Beck

2003/44: Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system

Timothy Cogley, Sergei Morozov and Thomas Sargent

2003/42: The role of expectations in economic fluctuations and the efficacy of monetary policy

Mordecai Kurz, Hehui Jin and Maurizio Motolese

2003/41: Permanent and transitory policy shocks in an empirical macro model with asymmetric information

Sharon Kozicki and Peter Tinsley

2003/40: Imperfect knowledge, inflation expectations, and monetary policy

Athanasios Orphanides and John Williams

2003/39: Performance of inflation targeting based on constant interest rate projections

Seppo Honkapohja and Kaushik Mitra

2003/38: Escapist policy rules

James Bullard and Inkoo Cho

2003/37: Monetary policy, indeterminacy and learning

George Evans and Bruce McGough

2003/36: Corporate Governance in Germany: An Economic Perspective

Reinhard Schmidt

2003/35: Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Torben Andersen, Tim Bollerslev and Francis Diebold

2003/34: Courts and sovereign eurobonds: Credibility of the judicial enforcement of repayment

Issam Hallak

2003/33: Bank loans non-linear structure of pricing: Empirical evidence from sovereign debts

Issam Hallak

2003/32: Evaluating VaR Forecasts under Stress – The German Experience

Stefan Jaschke, Gerhard Stahl and Richard Stehle

2003/31: The Macroeconomy and the Yield Curve: A Nonstructural Analysis

Francis Diebold, Glenn Rudebusch and S. Boragan Aruoba

2003/30: Inflation convergence after the introduction of the Euro

Markus Mentz and Steffen Sebastian

2003/29: Privacy or Publicity - Who Drives the Wheel?

Christina Bannier

2003/28: Mergers and acquisitions in Germany: Social-setting and regulatory framework

Frank A. Schmid and Mark Wahrenburg

2003/27: German banks – a declining industry?

Andreas Hackethal

2003/26: Initial public offerings and venture capital in Germany

Stefanie A. Franzke, Stefanie Grohs and Christian Laux

2003/25: The role of the value added by the venture capitalists in timing and extent of IPOs

Tereza Tykvová

2003/24: Is the Behavior of German Venture Capitalists Different? Evidence from the Neuer Mark

Tereza Tykvová

2003/23: A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II

Roman Kraeussl

2003/22: Do Changes in Sovereign Credit Ratings Contribute to Financial Contagion in Emerging Market Crises?

Roman Kraeussl

2003/21: Accounting for Financial Instruments in the Banking Industry: Conclusions from a Simulation Model

Günther Gebhardt, Rolf Reichardt and Carsten Wittenbrink

2003/20: Universal Banks and Relationships with Firms

Ralf Elsas and Jan Krahnen

2003/19: Regulation and Competition in German Banking: An Assessment

Karl-Hermann Fischer and Christian Pfeil

2003/18: Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises?

Roman Kraeussl