FinMaP-Working Papers

From Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents
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68: Herding, minority game, market clearing and efficient markets in a simple spin model framework

Ladislav Krištoufek and Miloslav Vošvrda

67: Borrower heterogeneity within a risky mortgage-lending market

Maria Teresa Punzi and Katrin Rabitsch

66: Regimes dependent speculative trading: Evidence from the United States housing market

Zhenxi Chen

65: Monetary policy and large crises in a financial accelerator agent-based model

Federico Giri, Luca Riccetti, Alberto Russo and Mauro Gallegati

64: Buffer stock savings in a New-Keynesian business cycle model

Katrin Rabitsch and Christian Schoder

63: Estimation of financial agent-based models with simulated maximum likelihood

Jiri Kukacka and Jozef Baruník

62: Network effects and systemic risk in the banking sector

Thomas Lux

61: Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises

Maria Teresa Punzi

60: A pro-cyclical stock market under a countercyclical monetary policy in a model of endogenous business cycles

Boyan Yanovski

59: The core of the global corporate network

Ricardo Giglio and Thomas Lux

58: International housing markets, unconventional monetary policy and the zero lower bound

Florian Huber and Maria Teresa Punzi

57: Dynamics of the European sovereign bonds and the identification of crisis periods

Zhenxi Chen and Stefan Reitz

56: Fiscal policy and the term structure of interest rates in a DSGE model

Aleš Maršál, Lorant Kaszab and Roman Horvath

55: Modeling and forecasting exchange rate volatility in time-frequency domain

Jozef Baruník, Tomas Krehlik and Lukas Vacha

54: Measuring the frequency dynamics of financial and macroeconomic connectedness

Jozef Baruník and Tomas Krehlik

53: An incomplete markets explanation of the UIP puzzle

Katrin Rabitsch

52: Monetary transmission under competing corporate finance regimes

Paul De Grauwe and Eddie Gerba

51: The tale of two great crises

Michele Fratianni and Federico Giri

50: Multi-country decentralized agent based model: Macroeconomic dynamics and vulnerability in a simplified currency union

Ermanno Catullo and Mauro Gallegati

49: On the long-run equilibrium value of Tobin's average Q

Rainer Franke and Boyan Yanovski

48: Estimating heterogeneous agents behavior in a two-market financial system

Zhenxi Chen, Weihong Huang and Huanhuan Zheng

47: From banks' strategies to financial (in)stability

Simone Berardi and Gabriele Tedeschi

46: Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models

Mawuli Segnon, Thomas Lux and Rangan Gupta

45: Stock market cycles and supply side dynamics

Paul De Grauwe and Eddie Gerba

44: Time-scale analysis of sovereign bonds market co-movement in the EU

Filip Smolik and Lukas Vacha

43: Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression

Jozef Baruník and Michaela Barunikova

42: Business cycle synchronization of the Visegrad Four and the European Union

Luboš Hanus and Lukas Vacha

41: Testing the global banking glut hypothesis

Karlo Kauko and Maria Teresa Punzi

40: Forecaster overconfidence and market survey performance

Richard Deaves, Jin Lei and Michael Schroeder

39: Systemic risk and macro-prudential policies: A credit network-based approach

Ermanno Catullo, Mauro Gallegati and Antonio Palestrini

38: Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility

Jaba Ghonghadze and Thomas Lux

37: Estimation of sentiment effects in financial markets: A simulated method of moments approach

Zhenxi Chen and Thomas Lux

36: Modeling and forecasting persistent financial durations

Filip Zikes, Jozef Baruník and Nikhil Shenai

35: Underpricing, underperformance and overreaction in initial pubic offerings: Evidence from investor attention using online searches

Tomas Vakrman and Ladislav Krištoufek

34: Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries

Jaroslav Pavlicek and Ladislav Krištoufek

33: Estimation of long memory in volatility using wavelets

Lucie Kraicova and Jozef Baruník

32: Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data

Krenar Avdulaj and Jozef Baruník

31: Modeling and forecasting crude oil price volatility: Evidence from historical and recent data

Thomas Lux, Mawuli Segnon and Rangan Gupta

30: Do investors rely too much on public information to be justified by its accuracy? An experimental study

Simone Alfarano, Eva Camacho Cuena and Andrea Morone

29: Heteroeneous forecasters and nonlinear expectation formation in US stock market

Christian Pierdzioch, Stefan Reitz and Jan-Christoph Ruelke

28: Market sentiments and the sovereign debt crisis in the Eurozone

Paul De Grauwe and Yuemei Ji

27: Does interbank market matter for business cycle fluctuation? An estimated DSGE model with financial frictions for the Euro area

Federico Giri

26: A calibration procedure for analyzing stock price dynamics in an agent-based framework

Maria Recchioni, Gabriele Tedeschi and Mauro Gallegati

25: Bank's strategies during the financial crisis

Maria Recchioni, Gabriele Tedeschi and Simone Berardi

24: Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Maria Teresa Punzi and Katrin Rabitsch

23: What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis

Ladislav Krištoufek

22: The term structure of interest rates in a small open economy DSGE model with Markov switching

Roman Horvath and Aleš Maršál

21: Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market

Thomas Fischer and Jesper Riedler

20: Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility

Filip Žikeš and Jozef Baruník

19: A Model of the Topology of the Bank-Firm Credit Network and Its Role as Channel of Contagion

Thomas Lux

18: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy

Ladislav Krištoufek and Miloslav Vošvrda

17: Leverage effect in energy futures

Ladislav Krištoufek

16: Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Jozef Baruník and Lukas Vacha

15: Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

Jozef Baruník and Jiri Kukacka

14: Gold, Oil, and Stocks

Jozef Baruník, Evžen Kočenda and Lukas Vacha

13: Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?

Jozef Baruník, Evžen Kočenda and Lukas Vacha

12: A spectral perspective on excess volatility

Giacomo Livan, Simone Alfarano, Mishael Milaković and Enrico Scalas

11: Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market

Christian Pierdzioch, Stefan Reitz and Jan-Christoph Ruelke

10: House Prices, Capital Inflows and Macroprudential Policy

Caterina Mendicino and Maria Teresa Punzi

9: The Interplay between Public and Private Information in Asset Markets: Theoretical and Experimental Approaches

Simone Alfarano, Eva Camacho Cuena, Marko Petrovic and Giulia Provenzano

8: Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information

Mattia Montagna and Thomas Lux

7: The Role of a Changing Market Environment for Credit Default Swap Pricing

Julian Leppin and Stefan Reitz

6: A Two-Period Model with Portfolio Choice: Understanding Results from Different Solution Methods

Katrin Rabitsch and Serhiy Stepanchuk

5: Estimating heterogeneous agents behavior with different investment horizons in stock markets

Zhenxi Chen

4: Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics

Reiner Franke and Jaba Ghonghadze

3: Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market

Thomas Lux

2: Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching

Adnen Ben Nasr, Thomas Lux, Ahdi Noomen Ajmi and Rangan Gupta

1: Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations

Karl Finger and Thomas Lux