Earlier Publications and Discussion Papers

  • Nautz, D., Pagenhardt, L., D., Strohsal, T. (2017): The (De-)Anchoring of Inflation Expectations: New Evidence from the Euro Area, North American Journal of Economics and Finance, 40, 103-115. PDF
  • Strohsal, T., Melnick, R., Nautz, D. (2016): The Time-Varying Degree of Inflation Expectations Anchoring, Journal of Macroeconomics, Volume 48, 62 - 71. PDF

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

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

  • 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

  • Abbassi, P.,Nautz, D.: Monetary transmission right from the start: On the information content of the Eurosystem’s main refinancing operations, North American Journal of Economics and Finance, 23(2012), 54-69. link

  • Nautz, D., Scheithauer, J.: Monetary Policy Implementation and Overnight Rate Persistence, Journal of  International Money  and Finance, 30(2011), 1375-1386. link

  • Nautz, D., Scharff, J.: Inflation and Relative Price Variability in the Euro Area: Evidence from a Panel Threshold Model, Applied Economics , 2012, 44:4, 449-460. link

  • Nautz, D.,  Rondorf, U.: The (In)stability of Money Demand in the Euro Area: Lessons from a Cross-Country Analysis, Empirica, 38(2011), 539-553. link

  • Busch, U. , Nautz, D.: Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area, German Economic Review, August 2010, 11(3): 367-380.

  • Abbassi, P., Nautz, D., Offermanns, C.J.: Interest Rate Dynamics and Monetary Policy Implementation in Switzerland, Swiss Journal of Economics and Statistics, 2010, 1(13), 313-340.

  • Becker, S.S., Nautz, D.: Inflation and Relative Price Variability: New Evidence for the United States, Southern Economic Journal, July 2009, 76(1): 146-164.

  • Nautz, D. , Schmidt, S.: Monetary Policy Implementation and the Federal Funds Rate, Journal of Banking and Finance, July 2009, 33(7): 1274-1284.

  • Hassler, U., Nautz, D.: On the Persistence of the Eonia Spread, Economics Letters, December 2008, 101(3): 184-187.

  • Bick, A., Nautz, D.: Inflation Thresholds and Relative Price Variability: Evidence from U.S. Cities, International Journal of Central Banking, September 2008, 4(3): 61-76. (Gauss Code and Data)

  • Nautz, D., Ruth, K.: Monetary Disequilibria and the Euro/Dollar Exchange Rate, European Journal of Finance, 2008, 14(8): 701-716.

  • Nautz, D., Offermanns, C.J.: Volatility Transmission in the European Money Market, North American Journal of Economics and Finance, March 2008, 19(1): 23-39.

  • Nautz, D., Offermanns, C.J.: The Dynamic Relationship between the Euro Overnight Rate, the ECB's Policy Rate and the Term Spread, International Journal of Finance and Economics, July 2007, 12(3): 287-300.

  • Linzert, T., Nautz, D., Bindseil, U.: Bidding Behavior in the Longer Term Refinancing Operations of the European Central Bank: Evidence from a Panel Sample Selection Model, Journal of Banking and Finance, May 2007, 31(5): 1521-1543.

  • Linzert, T, Nautz, D., Breitung, J.: Bidder Behavior in Central Bank Repo Auctions: Evidence from the Bundesbank, Journal of International Financial Markets, Institutions and Money, July 2006, 16(3): 215-230.

  • Nautz, D., Offermanns, C.J.: Does the Euro follow the German Mark? Evidence from the Monetary Model of the Exchange Rate, European Economic Review, June 2006, 50(5): 1279-1295.

  • Nautz, D., Oechssler, J.: Overbidding in Fixed Rate Tenders – An Empirical Assessment of Alternative Explanations, European Economic Review, April 2006 50/3 631-646.

  • Nautz, D., Scheithauer, J.: An eclectic view on the euro/dollar exchange rate, April 2005. Applied Economics Quarterly, 51(2), 133-142.

  • Nautz, D., Scharff, J.: Inflation and Relative Price Variability in a Low Inflation Country: Empirical Evidence for Germany, German Economic Review, November 2005, 6(4): 507-523.

  • Nautz, D., Oechssler, J.: The Repo Auctions of the European Central Bank and the Vanishing Quota Puzzle. Scandinavian Journal of Economics, June 2003, 105(2): 207-220.

  • Mitusch, K., Nautz, D.: Interest Rate and Liquidity Risk Management and the European Money Supply Process. Journal of Banking and Finance, November 2001, 25(11): 2089-2101.

  • Breitung J., Nautz, D.: The Empirical Performance of the ECB's Repoauctions: Evidence from aggregated and individual bidding data. Journal of International Money and Finance, November 2001, 20(6): 839-856.

  • Moersch, M., Nautz, D.: A Note on Testing the Monetary Model of the Exchange Rate, Applied Financial Economics, 2001, 11: 261-268.   

  • Nautz, D.: Die empirische Relevanz des Monetären Modells für die Erklärung des DM/Dollar Wechselkurses. Kredit und Kapital, 2000, 33(4).

  • Nautz, D.: Die Geldmarktsteuerung der Europäischen Zentralbank und das Geldangebot der Banken. Habilitationsschrift, Physica Verlag, Wirtschaftswissenschaftliche Beiträge 175, 2000.

  • Nautz, D., Wolters, J.: The Response of Long--Term Interest Rates to News about Monetary Policy Actions. Empirical Evidence for the U.S. and Germany. Weltwirtschaftliches Archiv, 1999, 135 (3): 397-412. 

  • Nautz, D.: Wie brauchbar sind Multiplikatorprognosen für die Geldmengensteuerung der Bundesbank? Kredit und Kapital, 1998, 31(2): 171-89.

  • Nautz, D.: Banks' Demand for Reserves When Future Monetary Policy is Uncertain. Journal of Monetary Economics, 1998, 42(1): 161-83.  

  • Hassler, U., Nautz, D.: A Note on Spurious Seasonality When Time Series have Linear Trends. ifo Studien, 1998, 44(1):15-23.

  • Hassler, U., Nautz, D.: The Link between German Short- and Long-Term Interest Rates: Some Evidence against a Term Structure Oriented Monetary Policy. Jahrbücher für Nationalökonomie und Statistik, 1998, 217(2): 214-26.

  • Nautz, D., Wolfstetter, E.: Bid Shading and Risk Aversion in Multi--Unit Auctions with Many Bidders, Economics Letters, 1997, 56(2): 195-200.

  • Brüggemann, I., Nautz, D. : Money Growth Volatility and the Demand for Money in Germany: Friedman's Volatility Hypothesis Revisited. Weltwirtschaftliches Archiv, 133(3): 523-37, 1997. 

  • Nautz, D.: How Auctions Reveal Information: A Case Study on German REPO Rates. Journal of Money, Credit, and Banking, 1997, 29(1): 17-25.  

  • Nautz, D., Wolters, J.: Die Entwicklung langfristiger Kreditzinssätze: Eine empirische Analyse. Kredit und Kapital, 1996, 29(4): 481-510.

  • Mitusch, K., Nautz, D.  Expectations and Interest Rates on Mortgage Loans.  Empirical Economics, 1995, 20(4): 667-80.

  • Nautz, D.: Zur Feinsteuerung des Geldmarktes durch die Wertpapierpensionsgeschäfte der Bundesbank. Zeitschrift für Wirtschafts-- und Sozialwissenschaften, 1995, 115(4): 622-44.

  • Nautz, D.: Optimal Bidding in Multi--Unit Auctions with Many Bidders. Economics Letters, 1995, 48(3): 301-06.

  • Nautz, D.: Der Zinstender bei den Wertpapierpensionsgeschäften der Deutschen Bundesbank. (Dissertation) Haag und Herchen Verlag, 1994.

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

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

  • 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

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

Forschungsschwerpunkt Statistik und Ökonometrie
BDPEMS
Graduate Center of DIW Berlin
fu:stat