Research

Work in Progress and Working Papers

• Taming the Cycle: Evaluating the Effectiveness of Counter-Cyclical Capital Buffers.

• Interest rates, convenience yields, and inflation expectations: Drivers of US dollar exchange rates, DIW Discussion Paper No. 2100 (with Helmut Herwartz and Lasse Trienens).

• The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns, DIW Discussion Paper No. 2037 (May 2023) (with Helmut Herwartz and Lasse Trienens).

• Currency futures’ risk premia and risk factors, DIW Discussion Paper No. 1866 (April 2020) (with Casper G. de Vries and Jürgen von Hagen).

• Estimating a latent risk premium in exchange rate futures, DIW Discussion Paper No. 1733 (May 2018) (with Casper G. de Vries and Jürgen von Hagen).

• Households’ response to wealth changes: Do gains or losses make a difference?, DNB Working Paper No.90, February 2006 (with Robert-Paul Berben and Mauro Mastrogiacomo).

Publications in Refereed Journals

• Monetary policy and mispricing in stock markets, Journal of Money, Credit and Banking, 2024, Volume 56(7), pp.1887-1907 (with Benjamin Beckers).

• The term structure of currency futures’ risk premia, Journal of Money, Credit and Banking, 2022, Volume 54(1), pp. 5-38, http://dx.doi.org/10.1111/jmcb.12872  (with Casper G. de Vries and Jürgen von Hagen).

• Exchange Rates, Foreign Currency Exposure and Sovereign Risk, Journal of International Money and Finance, 2021, Volume 117, available online (with Helmut Herwartz).

• The cyclicality of automatic and discretionary fiscal policy: What can real time data tell us?, Macroeconomic Dynamics, 2015, Volume 19(1), pp. 221-243 (with Andrew Hughes Hallett and John Lewis).

• The macro-determinants of private equity investment, Applied Economics, 2014, Volume 46(11), pp. 1170-1183 (with Roberta Colavecchio).

• Sovereign risk premia in the European government bond market, Journal of International Money and Finance, 2012, Volume 31(5), pp. 975-995 (with Jürgen von Hagen and Ludger Schuknecht).

• Sovereign bond yield spreads: A time-varying coefficient approach, Journal of International Money and Finance, 2012, Volume 31(3), pp. 639-659 (with Burcu Erdogan).

• Forecasting the fragility of the banking and insurance sector, Journal of Banking and Finance, 2011, Volume 35(4), pp. 807-818 (with Andreas Pick).

• Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia, Scottish Journal of Political Economy, 2008, Volume 55, pp. 465-487 (with Guntram B. Wolff).

• Euribor futures market: Efficiency and the impact of ECB policy announcements, International Finance, 2004, Volume 7, pp. 1-24 (with Jürgen von Hagen).

Other Publications 

• Selective Bond Purchases - May the ECB Chose Winners and Losers? The Economists' Voice, 2023.

• Die EZB-Geldpolitik in der Zwickmühle, Wirtschaftsdienst, 2022, Volume 6, pp. 423-425 (with Marcel Fratzscher)

• Reageren consumenten anders op vermogensverliezen dan op winsten?, Tijdschrift voor Politieke Ekonomie, 2006, Volume 27, pp. 114-131 (with Robert-Paul Berben and Mauro Mastrogiacomo).

• Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise, Vierteljahreshefte zur Wirtschaftsforschung, 2010, 79 (4), pp. 103-118. 

• “Confidence, happiness and the financial situation of households”, DNB Quarterly Bulletin, September 2005, pp. 59-71.