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Econometric Analysis of Financial Markets
This collection of papers represents the state of the art in the applicationof recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-runcomponents of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure ofinterest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.
Inflation and Wage Behaviour in Europe
The purpose of this collection is to shed light on the processes that lead to convergence or divergence in national inflation rates. It examines inflation and wage behavior in the European Monetary System (EMS), their determinants, and their implications for the credibility and sustainability of the system's exchange rate mechanism (ERM). The contributors examine issues of monetary control, stability of national and ERM-wide money-demand functions, and the influence of the monetary policy of Germany - the pivotal country in the EMS. They identify several causes of inflation and persistent inflation differentials in the EMS. As well as explaining how the EMS worked, the book also offers reasons for its breakdown in 1992-3 under the blow of exogenous shocks and growing policy conflict between member countries.
Monetary Theory and Monetary Policy
These new essays cover aspects of monetary theory as well as monetary policy, the prime objective being the development of intellectual tools in order to find new ways of thinking to existing and new monetary problems in an increasingly unstable world economy marked by rapid and often unexpected changes, partly caused by the disappearance of boundaries for financial transactions. By challenging the orthodox paradigms in monetary economics and generating controversy, the volume will be an essential reference point for economists, central and commercial bankers, businessmen and politicians.
Modern Econometric Analysis
In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Studies in Applied Econometrics
This book reports new developments in applied econometrics. All papers originated in two international workshops that were organized in the University of Munich on July 6-7, 1989, and on January 11 - 12, 1990. Financial support for these conferences by the University of Munich and the Thyssen Foundation is gratefully acknowledged. Since then all papers were substantially revised and updated. We wish to thank all authors for their patience with the revisions and Thomas Bauer, Lucie Merkle and Gisela Loos for editorial help. The ftrst section of the book collects contributions that address new "Methodological Developments". Two of them deal with problems in microeconometrics, the other two con...
Social and Structural Change
First published in 1998, this wide-ranging and in-depth volume from specialists in economics and statistics examines leading indicators, the timing of cyclical turning points, firm behaviour, financial indicators, economic policy recommendations, transition economies and the service sector in relation to Finland’s bid for European Monetary Union membership.
Introduction to Modern Time Series Analysis
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.
Deutsches Bücherverzeichnis
Bde. 16, 18, 21, and 28 each contain section "Verlagsveränderüngen im deutschen Buchhandel."
Inflation Dynamics
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