Forschung an der Professur für Ökonometrie

 

Forschungsprojekte / Research Projects

Aktuelle Veröffentlichungen / Recent Publications

Diskussionsarbeiten / Discussion Paper

 


 

Forschungsprojekte / Research projects:

 

Aktuelle Veröffentlichungen / Recent Publications:

      • Strohsal, T., Melnick, R., Nautz, D. (2016): The Time-Varying Degree of Inflation Expectations Anchoring, Journal of Macroeconomics, Volume 48, 62 - 71. PDF

      • Chen, W., Netsunajev, A.: On the Long-run Neutrality of Demand Shocks, Economics Letters, Volume 139, February 2016, Pages 57–60. link

      • Winkelmann, L. (2016): Forward guidance and the predictability of monetary policy - a wavelet based jump detection approach, forthcoming Journal of the Royal Statistical Society: Series C. PDF

      • Strohsal, T., Weber, E. (2015): Time-Varying International Stock Market Interaction and the Identification of Volatility Signals, Journal of Banking & Finance, 56, 28-36. link

      • Velinov, A., Chen, W.: Do Stock Prices Reflect Their Fundamentals? New Evidence in the Aftermath of the Financial Crisis, Journal of Economics and Business, Volume 80, July-August 2015, Pages 1-20. link

      • Winkelmann, L., Bibinger, T., Linzert, T. (2016): ECB monetary policy surprises: identification through cojumps in interest rates, forthcoming Journal of Applied EconometricsECB Working Paper 1674. PDF

      • Nautz, D., Strohsal, T.: Are US Inflation Expectations Re-Anchored?, Economics Letters, February 2015, 127(0): 6-9. link

      • Bibinger, M., Winkelmann, L. (2015): Econometrics of cojumps in high-frequency data with noise, Journal of Econometrics, 184(2), pages 361-378. PDF

      • Strohsal, T., Winkelmann, L. (2015): Assessing the Anchoring of Inflation Expectations, Journal of International Money and Finance, 50, pages 33-48. PDF

      • Detmers, G.-A., Nautz, D.: Stale Forward Guidance. Economics Letters, Vol. 124, No. 3, September 2014, 358-361. link

      • Strohsal, T., Weber, E.: Mean-Variance Cointegration and the Expectations Hypothesis, Quantitative Finance, Volume 14, Issue 11, 2014. link 

      • Kremer, S., Nautz, D.: Short-term Herding of Institutional Traders: New Evidence from the German Stock Market, European Financial Management, Volume 19, Number 4, September 2013, Pages 730-746. link

      • Bettendorf. T., Chen, W.: Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests, Economics Letters, Volume 120, Issue 2, August 2013, Pages 350–353. link

      • Kremer, S., Nautz, D.: Causes and Consequences of Short-Term Institutional Herding, Journal of Banking and Finance 37 (2013), pp. 1676-1686. link

      • Kremer, S., Nautz, D., Bick, A.: Inflation and Growth: New Evidence From a Panel Threshold Analysis, Empirical Economics (2013) 44:861–878. link (Matlab Code and Data)

      • Detmers, G.-A., Nautz, D.: The information content of central bank interest rate projections: Evidence from New Zealand, The Economic Record, Vol. 88, No. 282, September 2012, 323-329. link

      • Meller, B., Nautz, D.: Inflation persistence in the Euro area before and after the European Monetary Union, Economic Modelling, 29, March 2012, 1170-1176. link

      • Schmidt, S., Nautz, D.: Central Bank Communication and the Perception of Monetary Policy by Financial Market Experts, Journal of Money, Credit, and Banking, 2012, 44(2-3), 323-340. link

      • Becker, S., Nautz, D.: Inflation, Price Dispersion and Market Integration through the Lens of a Monetary Search Model. European Economic Review, 56(2012), 624-634. link

Frühere Veröffentlichungen / Earlier Publications

  

Diskussionsarbeiten / Recent Discussion Papers:

      • Pagenhardt, L., Nautz, D., Strohsal, T. (2015): The (De-)Anchoring of Inflation Expectations: New Evidence from the Euro Area, SFB 649 Discussion Paper 2015-044. PDF

      • Chen, W., Nautz, A.: The Information Content of Monetary Statistics for the Great Recession: Evidence from Germany. SFB 649 Discussion Paper 2015-027. PDF

      • Strohsal, T., Proaño, C.R., Wolters, J. (2015): Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis. SFB 649 Discussion Paper 2015-021. PDF

      • Melnick, R., Strohsal, T. (2015): From Galloping Inflation to Price Stability in Steps: Israel 1985-2013, SFB Discussion Paper 2015-009. PDF

      • Boortz, C., Jurkatis, S., Kremer, S., Nautz, D.: Information Risk, Market Stress and Institutional Herding in Financial Markets: New Evidence Through the Lens of a Simulated Model. PDF

      • Nautz, D., Netsunajew, A., Strohsal, T.: The Anchoring of Inflation Expectationss in the Short and in the Long Run, SFB 649, Discussion Paper 2016-015. PDF

      • Boortz, C.: Irrational Exuberance and Herding in Financial Markets, SFB 649, Discussion Paper 2016-016. PDF

 

Forschungsprojekte / Research projects:

Herd behavior in financial markets 


Herd behavior among investors is a significant threat for the functioning of financial markets. The distorting effects range from informational inefficiency to increased stock price volatility, or even bubbles and crashes. The economic literature typically explores herd behavior under the assumption of perfect rationality implying that traders behave like robots: no matter how complicated the calculations required, they easily apply Bayesian updating and correctly interpret the information revealed by the trading decisions of others. In particular, cognitive constraints as well as psychological and emotional factors play no central role in mainstream economic theory. As a result, rational herd models can hardly explain frequent, price-destabilizing herd behavior. This project aims to analyze herding in financial markets under more realistic behavioral assumptions. In particular, we explore to what extent deviations from perfect rationality can aggravate herd behavior and the negative consequences thereof.


Erwartungsmanagement von Zentralbanken (2009 - 2012, 2013 - 2016), Teilprojekt C14 des Sonderforschungsbereichs 649 "Ökonomisches Risiko"

Expectations management of central banks (2009 - 2012), project C14 in the collaborative research centre 649

 

Uncertainty about future monetary policy is an important source of economic risk. Most central banks, including the European Central Bank and the U.S. Federal Reserve, take very different views on how to manage expectations about future monetary policy. In monetary policy practice, there are more or less explicit targets for interest rates and inflation, more or less transparent signals on the future interest rate path and other specific features of monetary policy implementation whose empirical implications for financial markets and the real economy are not very well researched. In this project, we will further develop and apply recent methods of time series and panel econometrics in order to shed more light on the role of the implementation and communication of monetary policy for the dynamics and volatility of interest rates, inflation and growth and, thereby, on the empirical implications of the expectations management of a central bank.

 

Frühere Forschungsprojekte / Earlier Research Projects