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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 Downloads
Ladislav Krištoufek and Miloslav Vošvrda
67: Borrower heterogeneity within a risky mortgage-lending market Downloads
Maria Teresa Punzi and Katrin Rabitsch
66: Regimes dependent speculative trading: Evidence from the United States housing market Downloads
Zhenxi Chen
65: Monetary policy and large crises in a financial accelerator agent-based model Downloads
Federico Giri, Luca Riccetti, Alberto Russo and Mauro Gallegati
64: Buffer stock savings in a New-Keynesian business cycle model Downloads
Katrin Rabitsch and Christian Schoder
63: Estimation of financial agent-based models with simulated maximum likelihood Downloads
Jiri Kukacka and Jozef Baruník
62: Network effects and systemic risk in the banking sector Downloads
Thomas Lux
61: Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises Downloads
Maria Teresa Punzi
60: A pro-cyclical stock market under a countercyclical monetary policy in a model of endogenous business cycles Downloads
Boyan Yanovski
59: The core of the global corporate network Downloads
Ricardo Giglio and Thomas Lux
58: International housing markets, unconventional monetary policy and the zero lower bound Downloads
Florian Huber and Maria Teresa Punzi
57: Dynamics of the European sovereign bonds and the identification of crisis periods Downloads
Zhenxi Chen and Stefan Reitz
56: Fiscal policy and the term structure of interest rates in a DSGE model Downloads
Aleš Maršál, Lorant Kaszab and Roman Horvath
55: Modeling and forecasting exchange rate volatility in time-frequency domain Downloads
Jozef Baruník, Tomas Krehlik and Lukas Vacha
54: Measuring the frequency dynamics of financial and macroeconomic connectedness Downloads
Jozef Baruník and Tomas Krehlik
53: An incomplete markets explanation of the UIP puzzle Downloads
Katrin Rabitsch
52: Monetary transmission under competing corporate finance regimes Downloads
Paul De Grauwe and Eddie Gerba
51: The tale of two great crises Downloads
Michele Fratianni and Federico Giri
50: Multi-country decentralized agent based model: Macroeconomic dynamics and vulnerability in a simplified currency union Downloads
Ermanno Catullo and Mauro Gallegati
49: On the long-run equilibrium value of Tobin's average Q Downloads
Rainer Franke and Boyan Yanovski
48: Estimating heterogeneous agents behavior in a two-market financial system Downloads
Zhenxi Chen, Weihong Huang and Huanhuan Zheng
47: From banks' strategies to financial (in)stability Downloads
Simone Berardi and Gabriele Tedeschi
46: Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models Downloads
Mawuli Segnon, Thomas Lux and Rangan Gupta
45: Stock market cycles and supply side dynamics Downloads
Paul De Grauwe and Eddie Gerba
44: Time-scale analysis of sovereign bonds market co-movement in the EU Downloads
Filip Smolik and Lukas Vacha
43: Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression Downloads
Jozef Baruník and Michaela Barunikova
42: Business cycle synchronization of the Visegrad Four and the European Union Downloads
Lubos Hanus and Lukas Vacha
41: Testing the global banking glut hypothesis Downloads
Karlo Kauko and Maria Teresa Punzi
40: Forecaster overconfidence and market survey performance Downloads
Richard Deaves, Jin Lei and Michael Schroeder
39: Systemic risk and macro-prudential policies: A credit network-based approach Downloads
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 Downloads
Jaba Ghonghadze and Thomas Lux
37: Estimation of sentiment effects in financial markets: A simulated method of moments approach Downloads
Zhenxi Chen and Thomas Lux
36: Modeling and forecasting persistent financial durations Downloads
Filip Zikes, Jozef Baruník and Nikhil Shenai
35: Underpricing, underperformance and overreaction in initial pubic offerings: Evidence from investor attention using online searches Downloads
Tomas Vakrman and Ladislav Krištoufek
34: Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries Downloads
Jaroslav Pavlicek and Ladislav Krištoufek
33: Estimation of long memory in volatility using wavelets Downloads
Lucie Kraicova and Jozef Baruník
32: Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data Downloads
Krenar Avdulaj and Jozef Baruník
31: Modeling and forecasting crude oil price volatility: Evidence from historical and recent data Downloads
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 Downloads
Simone Alfarano, Eva Camacho Cuena and Andrea Morone
29: Heteroeneous forecasters and nonlinear expectation formation in US stock market Downloads
Christian Pierdzioch, Stefan Reitz and Jan-Christoph Ruelke
28: Market sentiments and the sovereign debt crisis in the Eurozone Downloads
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 Downloads
Federico Giri
26: A calibration procedure for analyzing stock price dynamics in an agent-based framework Downloads
Maria Recchioni, Gabriele Tedeschi and Mauro Gallegati
25: Bank's strategies during the financial crisis Downloads
Maria Recchioni, Gabriele Tedeschi and Simone Berardi
24: Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model Downloads
Maria Teresa Punzi and Katrin Rabitsch
23: What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis Downloads
Ladislav Krištoufek
22: The term structure of interest rates in a small open economy DSGE model with Markov switching Downloads
Roman Horvath and Aleš Maršál
21: Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market Downloads
Thomas Fischer and Jesper Riedler
20: Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility Downloads
Filip Žikeš and Jozef Baruník
19: A Model of the Topology of the Bank-Firm Credit Network and Its Role as Channel of Contagion Downloads
Thomas Lux
18: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy Downloads
Ladislav Krištoufek and Miloslav Vošvrda
17: Leverage effect in energy futures Downloads
Ladislav Krištoufek
16: Realized wavelet-based estimation of integrated variance and jumps in the presence of noise Downloads
Jozef Baruník and Lukas Vacha
15: Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility Downloads
Jozef Baruník and Jiri Kukacka
14: Gold, Oil, and Stocks Downloads
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? Downloads
Jozef Baruník, Evžen Kočenda and Lukas Vacha
12: A spectral perspective on excess volatility Downloads
Giacomo Livan, Simone Alfarano, Mishael Milaković and Enrico Scalas
11: Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market Downloads
Christian Pierdzioch, Stefan Reitz and Jan-Christoph Ruelke
10: House Prices, Capital Inflows and Macroprudential Policy Downloads
Caterina Mendicino and Maria Teresa Punzi
9: The Interplay between Public and Private Information in Asset Markets: Theoretical and Experimental Approaches Downloads
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 Downloads
Mattia Montagna and Thomas Lux
7: The Role of a Changing Market Environment for Credit Default Swap Pricing Downloads
Julian Leppin and Stefan Reitz
6: A Two-Period Model with Portfolio Choice: Understanding Results from Different Solution Methods Downloads
Katrin Rabitsch and Serhiy Stepanchuk
5: Estimating heterogeneous agents behavior with different investment horizons in stock markets Downloads
Zhenxi Chen
4: Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics Downloads
Reiner Franke and Jaba Ghonghadze
3: Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market Downloads
Thomas Lux
2: Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching Downloads
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 Downloads
Karl Finger and Thomas Lux
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