SFB 649 Discussion Papers

From Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
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2015-042: Copula-based factor model for credit risk analysis

Meng-Jou Lu, Cathy Yi-Hsuan Chen and Wolfgang Härdle

2015-041: Forecasting the oil price using house prices

Rainer Schulz and Martin Wersing

2015-040: The role of shadow banking in the monetary transmission mechanism and the business cycle

Falk Mazelisy

2015-039: Dynamics of real per capita GDP

Daniel Neuhoff

2015-038: Conditional systemic risk with penalized copula

Ostap Okhrin, Alexander Ristig, Jeffrey R. Sheen and Stefan Trück

2015-037: "Buy-It-Now" or "Sell-It-Now" auctions: Effects of changing bargaining power in sequential trading mechanisms

Tim Grebe, Radosveta Ivanova-Stenzel and Sabine Kröger

2015-036: Crowdfunding, demand uncertainty, and moral hazard: A mechanism design approach

Roland Strausz

2015-035: Price discovery in the markets for credit risk: A Markov switching approach

Thomas Ernst Herbert Dimpfl and Franziska Julia Peter

2015-034: Factorisable sparse tail event curves

Shih-Kang Chao, Wolfgang Härdle and Ming Yuan

2015-033: Not working at work: Loafing, unemployment and labor productivity

Michael Burda, Katie Genadek and Daniel Hamermesh

2015-032: Government bond liquidity and sovereign-bank interlinkages

Sören Radde, Cristina Checherita-Westphal and Wei Cui

2015-031: Simultaneous likelihood-based bootstrap confidence sets for a large number of models

Mayya Zhilova

2015-030: Testing for identification in SVAR-GARCH models

Helmut Luetkepohl and George Milunovich

2015-029: Change point and trend analyses of annual expectile curves of tropical storms

Petra Burdejová, Wolfgang Härdle, Piotr Kokoszka and Q. Xiong

2015-028: The time-varying degree of inflation expectations anchoring

Till Strohsal, Rafi Melnick and Dieter Nautz

2015-027: The information content of monetary statistics for the Great Recession: Evidence from Germany

Wenjuan Chen and Dieter Nautz

2015-026: Forecasting volatility of wind power production

Zhiwei Shen and Matthias Ritter

2015-025: Employment polarization and immigrant employment opportunities

Hanna Wielandt

2015-024: How do financial cycles interact? Evidence from the US and the UK

Till Strohsal, Christian Proaño and Juergen Wolters

2015-023: An adaptive approach to forecasting three key macroeconomic variables for transitional China

Linlin Niu, Xiu Xu and Ying Chen

2015-022: Risk related brain regions detected with 3D image FPCA

Ying Chen, Wolfgang Härdle, He Qiang and Piotr Majer

2015-021: Characterizing the financial cycle: Evidence from a frequency domain analysis

Till Strohsal, Christian Proaño and Juergen Wolters

2015-020: Is there an asymmetric impact of housing on output?

Tsung-Hsien Michael Lee and Wenjuan Chen

2015-019: Measuring connectedness of Euro area sovereign risk

Rebekka Gätjen and Melanie Schienle

2015-018: Manager characteristics and credit derivative use by U.S. corporate bond funds

Dominika Paula Gałkiewicz

2015-017: Loss potential and disclosures related to credit derivatives: A cross-country comparison of corporate bond funds under U.S. and German regulation

Dominika Paula Gałkiewicz

2015-016: Testing missing at random using instrumental variables

Christoph Breunig

2015-015: Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models

Helmut Lütkepohl and Aleksei Netšunajev

2015-014: Generalized exogenous processes in DSGE: A Bayesian approach

Alexander Meyer-Gohde and Daniel Neuhoff

2015-013: Pitfalls and perils of financial innovation: The use of CDS by corporate bond funds

Tim Adam and André Güttler

2015-012: The impact of credit default swap trading on loan syndication

Daniel Streitz

2015-011: Competitors in merger control: Shall they be merely heard or also listened to?

Thomas Giebe and Miyu Lee

2015-010: Estimation of NAIRU with inflation expectation data

Wei Cui, Wolfgang Härdle and Weining Wang

2015-009: From galloping inflation to price stability in steps: Israel 1985-2013

Rafi Melnick and Till Strohsal

2015-008: Nonparametric change-point analysis of volatility

Markus Bibinger, Moritz Jirak and Mathias Vetter

2015-007: Stochastic population analysis: A functional data approach

Lei Fang and Wolfgang Härdle

2015-006: Cognitive bubbles

Ciril Bosch-Rosa, Thomas Meissner and Antoni Bosch-Domènech

2015-005: Distillation of news flow into analysis of stock reactions

Junni L. Zhang, Wolfgang Härdle, Cathy Y. Chen and Elisabeth Bommes

2015-004: Efficiency of wind power production and its determinants

Simone Pieralli, Matthias Ritter and Martin Odening

2015-003: Identifying Berlin's land value map using adaptive weights smoothing

Jens Kolbe, Rainer Schulz, Martin Wersing and Axel Werwatz

2015-002: Estimating the value of Urban Green Space: A hedonic pricing analysis of the housing market in Cologne, Germany

Jens Kolbe and Henry Wüstemann

2015-001: Pricing kernel modeling

Denis Belomestny, Shujie Ma and Wolfgang Härdle

2014-070: The politics of related lending

Michael Halling, Pegaret Pichler and Alex Stomper

2014-069: When the Taylor principle is insufficient: A benchmark for the fiscal theory of the price level in a monetary union

Maren Brede

2014-068: Estimation and determinants of Chinese banks' total factor efficiency: A new vsion based on unbalanced development of Chinese banks and their overall risk

Shiyi Chen, Wolfgang Härdle and Li Wang

2014-067: Bootstrap confidence sets under model misspecification

Vladimir Spokoiny and Mayya Zhilova

2014-066: TENET: Tail-Event driven NETwork risk

Wolfgang Härdle, Natalia Sirotko-Sibirskaya and Weining Wang

2014-065: A theory of price adjustment under loss aversion

Steffen Ahrens, Inske Pirschel and Dennis J. Snower

2014-064: Whom are you talking with? An experiment on credibility and communication structure

Gilles Grandjean, Marco Mantovani, Ana Mauleon and Vincent Vannetelbosch

2014-063: The influence of oil price shocks on China's macro-economy: A perspective of international trade

Shiyi Chen, Dengke Chen and Wolfgang Härdle