Three empirical essays on the informational content of financial prices / (2004)
Zugl.: Bonn, Univ., Diss., 2004.
Households' Response to Wealth Changes: Do Gains or Losses make a Difference?
Robert Paul Berben, Kerstin Bernoth, Mauro Mastrogiacomo
We estimate the excess impact of financial asset capital losses relative to gains on household active savings and durable goods consumption in the Netherlands. The sample period covers both the stock...
Sovereign Risk Premiums in the European Government Bond Market
Kerstin Bernoth, Jürgen Von Hagen, Ludger Schuknecht
This paper provides a study of bond yield differentials among EU government bonds issued between 1993 and 2005 on the basis of a unique dataset of issue spreads in the US and DM (Euro) bond market....
Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia
Bernoth, Kerstin, Wolff, Guntram B.
We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in...
Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia
Kerstin Bernoth, Guntram B. Wolff
We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in...
Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia
Kerstin Bernoth, Guntram Wolff
We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in...
The Forward Premium Puzzle only emerges gradually
Kerstin Bernoth, Jürgen Von Hagen
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at...
The Euribor Futures Market: Efficiency and the Impact of ECB Policy Announcements
Kerstin Bernoth, Jürgen Von Hagen
For an effective and smooth monetary policy, it is important that interest rate expectations are in line with central bank policy intentions. The predictability of money market interest rates is,...
Sovereign risk premia in the European government bond market
Kerstin Bernoth, Jürgen Von Hagen, Ludger Schuknecht
This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain...
Did fiscal policy makers know what they were doing? Reassessing fiscal policy with real-time data
Kerstin Bernoth, Andrew Hughes Hallet, John Lewis
Empirical fiscal policy reaction functions based on ex post data cannot be said to describe fiscal policymakers intentions, since they utilise data which did not exist when their decisions were made....
Did Fiscal Policy Makers Know What They Were Doing? Reassessing Fiscal Policy with Real Time Data.
Bernoth, Kerstin, Hughes Hallett, Andrew, Lewis, John
Empirical fiscal policy reaction functions based on ex-post data cannot be said to describe fiscal policymakers intentions because they utilise data which did not exist when their decisions were...
Sovereign Risk Premia in the European Bond Market
Bernoth, Kerstin, Schuknecht, Ludger, Von Hagen, Jürgen
This Paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain...
Households' Response to Wealth Changes: Do Gains or Losses make a Difference?
Robert Paul Berben, Kerstin Bernoth, Mauro Mastrogiacomo
We estimate the excess impact of financial asset capital losses relative to gains on household active savings and durable goods consumption in the Netherlands. The sample period covers both the...
Forecasting the fragility of the banking and insurance sector
This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of performance indicators, namely distance-to-default, taking unobserved common...
Nach dem Sturm: schwache und langsame Erholung Frühjahrsgrundlinien 2009
Christian Dreger, Ansgar Belke, Kerstin Bernoth, Karl Brenke, Stefan Kooths, Vladimir Kuzin, ...
Das DIW Berlin rechnet zum Jahresende mit einer Stabilisierung der wirtschaftlichen Entwicklung. Voraussetzung für eine konjunkturelle Stabilisierung ist jedoch eine Rückkehr des Vertrauens in die...
Forecasting the Fragility of the Banking and Insurance Sector
This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of performance indicators, namely distance-to- default, taking unobserved common...
Tendenzen der Wirtschaftsentwicklung 2009/2010
Christian Dreger, Patricia Alvarez-Plata, Kerstin Bernoth, Karl Brenke, Stefan Kooths, Vladimir Kuzin, ...
Wenngleich sich die Nebel etwas gelichtet haben, ist doch die Sicht auf die weitere wirtschaftliche Entwicklung alles andere als klar. So schlummern im Finanzsektor aufgrund fauler "Wert"papiere noch...
Herbstgrundlinien 2009: leichte Erholung im nächsten Jahr
Christian Dreger, Kerstin Bernoth, Franziska Bremus, Karl Brenke, Roberta Colavecchio, Burcu Erdogan, ...
Weltwirtschaft: Erholung auf wackeligem Fundament / Deutschland: Nur langsam aus der Talsohle / Geldpolitik und Finanzmärkte: Kreditklemme vorbeugen / Finanzpolitik: Einnahmen steigern und Ausgaben...
DIW's 2009 Fall Forecast: Key Economic Trends
Christian Dreger, Kerstin Bernoth, Franziska Bremus, Karl Brenke, Roberta Colavecchio, Burcu Erdogan, ...
Following an unprecedented contraction in GDP, the German economy returns to expansion. Growth will be modest in 2010, however, as the forces of the recovery are not yet stable. This is the key...