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Hans Dewachter

Catholic University of Leuven (KUL) - Department of Economics

Professor

Center for Economic Studies

Naamsestraat 69

Leuven, B-3000

Belgium

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738

3000 DR Rotterdam

Netherlands

  • Catholic University of Leuven (KUL) - Department of Economics

    • Email
    • Tel: +0032 16 326859
    • Fax: +0032 16 326796
SCHOLARLY PAPERS

28

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CITATIONS
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124

Scholarly Papers (28)

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1.

Macro Factors and the Term Structure of Interest Rates

ERIM Report Series Reference No. ERS-2003-037-F&A; EFA 2003 Annual Conference Paper No. 101
Number of pages: 24 Posted: 24 Mar 2003
Hans Dewachter and Marco Lyrio
Catholic University of Leuven (KUL) - Department of Economics and Insper Institute of Education and Research
Downloads 1,307 (10,767)
Citation 63

Abstract:

Essentially affine term structure model, macroeconomic factors, long-run market expectations, monetary policy rule

2.

The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation

ERIM Report Series Reference No. ERS-2003-052-F&A
Number of pages: 19 Posted: 24 May 2006
Hans Dewachter and Marco Lyrio
Catholic University of Leuven (KUL) - Department of Economics and Insper Institute of Education and Research
Downloads 1,119 (13,601)

Abstract:

technical trading rule, exchange rate

3.

An Affine Model for International Bond Markets

EFA 2001 Barcelona Meetings; CES Discussion Paper No. 01.06
Number of pages: 45 Posted: 04 Apr 2001
Hans Dewachter and Stan Maes
Catholic University of Leuven (KUL) - Department of Economics and European Commission - DG Internal market and financial services
Downloads 570 (37,301)
Citation 4

Abstract:

4.

A Multi-Factor Model for the Valuation and Risk Management of Demand Deposits

Number of pages: 24 Posted: 01 Sep 2005
Hans Dewachter, Marco Lyrio and Stan Maes
Catholic University of Leuven (KUL) - Department of Economics, Insper Institute of Education and Research and European Commission - DG Internal market and financial services
Downloads 558 (36,613)
Citation 2

Abstract:

Demand deposits, affine term structure model, interest rate risk, risk management

5.

Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy

Journal of Applied Econometrics, Vol. 21, No. 4, pp. 439-462, 2006
Number of pages: 60 Posted: 01 Sep 2001
Hans Dewachter, Marco Lyrio and Stan Maes
Catholic University of Leuven (KUL) - Department of Economics, Insper Institute of Education and Research and European Commission - DG Internal market and financial services
Downloads 391 (60,600)
Citation 20

Abstract:

Essentially affine term structure model, feedback interest rate rule, forecasting

6.

The Economic Value of Technical Trading Rules: A Nonparametric Utility-Based Approach

KULeuven, Center for Economic Studies, Working Paper No. DPS 02.03
Number of pages: 32 Posted: 19 Apr 2002
Hans Dewachter and Marco Lyrio
Catholic University of Leuven (KUL) - Department of Economics and Insper Institute of Education and Research
Downloads 321 (76,914)
Citation 2

Abstract:

Technical trading rules, exchange rates, nonparametric methods

7.

An Extended Macro-Finance Model with Financial Factors

Downloads 280 ( 91,239)
Citation 1

An Extended Macro-Finance Model with Financial Factors

CESifo Working Paper Series No. 2950
Number of pages: 52 Posted: 21 Feb 2010
Hans Dewachter and Leonardo Iania
Catholic University of Leuven (KUL) - Department of Economics and Louvain School of Management (UCL)
Downloads 203 (126,297)
Citation 1

Abstract:

yield curve, affine models, macroeconomics and financial factors, Bayesian estimation

An Extended Macro-Finance Model with Financial Factors

Number of pages: 58 Posted: 02 Oct 2009 Last Revised: 02 Sep 2012
Hans Dewachter and Leonardo Iania
Catholic University of Leuven (KUL) - Department of Economics and Louvain School of Management (UCL)
Downloads 77 (269,631)
Citation 1

Abstract:

Yield Curve, Affine Models, Macroeconomics and Financial Factors, Bayesian Estimaion

8.

A Multi-Factor Model for the Valuation and Risk Managment of Demand Deposits

National Bank of Belgium Working Paper No. 83
Number of pages: 46 Posted: 09 Oct 2010
Hans Dewachter, Marco Lyrio and Stan Maes
Catholic University of Leuven (KUL) - Department of Economics, Insper Institute of Education and Research and European Commission - DG Internal market and financial services
Downloads 226 (87,445)
Citation 2

Abstract:

Demand Deposits, ALM, Risk Management, Arbitrage Free Pricing, Flexible-Affine Term

9.

The Effect of Monetary Unification on German Bond Markets

Downloads 218 (118,171)
Citation 9

The Effect of Monetary Unification on German Bond Markets

Number of pages: 37 Posted: 24 Nov 2001
Hans Dewachter, Marco Lyrio and Stan Maes
Catholic University of Leuven (KUL) - Department of Economics, Insper Institute of Education and Research and European Commission - DG Internal market and financial services
Downloads 193 (132,510)
Citation 9

Abstract:

EMU, ECB, Bundesbank, central bank monetary policy rule, essentially affine term structure model

The Effect of Monetary Unification on German Bond Markets

European Financial Management, Vol. 10, No. 3, pp. 487-509, September 2004
Number of pages: 24 Posted: 06 Sep 2004
Hans Dewachter, Marco Lyrio and Stan Maes
Catholic University of Leuven (KUL) - Department of Economics, Insper Institute of Education and Research and European Commission - DG Internal market and financial services
Downloads 25 (438,974)
Citation 9
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Abstract:

10.

Monetary Unification and the Price of Risk: An Unconditional Analysis

Review of World Economics, Vol. 139, No. 2, pp. 276-305, 2003.
Number of pages: 32 Posted: 11 Dec 2001
Hans Dewachter, Stan Maes and Kristien Smedts
Catholic University of Leuven (KUL) - Department of Economics, European Commission - DG Internal market and financial services and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 174 (145,157)

Abstract:

EMU, multi-country asset pricing model, exchange risk, price of risk conversion

11.

Do Exchange Rates Convert Prices of Risk Across Countries?

Number of pages: 27 Posted: 04 Nov 2001
Hans Dewachter, Stan Maes and Kristien Smedts
Catholic University of Leuven (KUL) - Department of Economics, European Commission - DG Internal market and financial services and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 162 (152,133)
Citation 1

Abstract:

multi-country asset pricing model, exchange risk, price of risk conversion

12.

Identification of Macroeconomic Factors in Large Panels

Downloads 110 (211,548)
Citation 3

Identification of Macroeconomic Factors in Large Panels

CREATES Research Paper No. 2009-43
Number of pages: 45 Posted: 01 Oct 2009
Lasse Bork, Hans Dewachter and Romain Houssa
Aalborg University - Department of Business and Management, Catholic University of Leuven (KUL) - Department of Economics and CRED & CEREFIM, University of Namur
Downloads 69 (287,366)
Citation 3

Abstract:

Monetary policy, Business Cycles, Factor Models, EM Algorithm

Identification of Macroeconomic Factors in Large Panels

Number of pages: 43 Posted: 23 Nov 2009
Lasse Bork, Hans Dewachter and Romain Houssa
Aalborg University - Department of Business and Management, Catholic University of Leuven (KUL) - Department of Economics and CRED & CEREFIM, University of Namur
Downloads 41 (368,777)
Citation 3

Abstract:

Monetary policy, Business Cycles, Factor Models, EM Algorithm

13.

Information in the Yield Curve: A Macro-Finance Approach

Downloads 87 (247,783)
Citation 1

Information in the Yield Curve: A Macro-Finance Approach

Number of pages: 61 Posted: 24 Mar 2013
Hans Dewachter, Leonardo Iania and Marco Lyrio
Catholic University of Leuven (KUL) - Department of Economics, Louvain School of Management (UCL) and Insper Institute of Education and Research
Downloads 57 (317,994)
Citation 1

Abstract:

Macro-fi…nance model, Term structure, Forecasting

Information in the Yield Curve: A Macro-Finance Approach

National Bank of Belgium Working Paper No. 254
Number of pages: 34 Posted: 02 Apr 2014
Hans Dewachter, Leonardo Iania and Marco Lyrio
Catholic University of Leuven (KUL) - Department of Economics, Louvain School of Management (UCL) and Insper Institute of Education and Research
Downloads 30 (413,443)
Citation 1

Abstract:

Macro-finance model, Yield curve, Expectations hypothesis

14.

Multiple Equilibria and the Credibility of the Brazilian 'Crawling Peg', 1995-1998

Downloads 82 (257,147)
Citation 1

Multiple Equilibria and the Credibility of the Brazilian 'Crawling Peg', 1995-1998

Number of pages: 28 Posted: 20 May 2003
Marco Lyrio and Hans Dewachter
Insper Institute of Education and Research and Catholic University of Leuven (KUL) - Department of Economics
Downloads 82 (259,399)
Citation 1

Abstract:

Currency crisis, self-fulfilling speculation, multiple equilibria, Brazilian exchange rate system

Multiple Equilibria and the Credibility of the Brazilian 'Crawling Peg', 1995-1998

International Finance, Vol. 3, No. 1, April 2000
Posted: 20 May 2003
Marco Lyrio and Hans Dewachter
Insper Institute of Education and Research and Catholic University of Leuven (KUL) - Department of Economics

Abstract:

Currency crisis, self-fulfilling speculation, multiple equilibria, Brazilian exchange rate system

15.

A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation

Number of pages: 40 Posted: 02 Nov 2011
Hans Dewachter, Leonardo Iania and Marco Lyrio
Catholic University of Leuven (KUL) - Department of Economics, Louvain School of Management (UCL) and Insper Institute of Education and Research
Downloads 69 (255,245)

Abstract:

New-Keynesian model, Affine yield curve model, Learning, Bayesian estimation

16.

Endogenous Risk in a DSGE Model with Capital-Constrained Financial Intermediaries

National Bank of Belgium Working Paper No. 235
Number of pages: 63 Posted: 14 Oct 2012
Hans Dewachter and Rafael Wouters
Catholic University of Leuven (KUL) - Department of Economics and National Bank of Belgium
Downloads 67 (240,875)

Abstract:

17.

Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates

NBER Working Paper No. C0010
Number of pages: 49 Posted: 14 Jul 2006
Hans Dewachter and Marco Lyrio
Catholic University of Leuven (KUL) - Department of Economics and Insper Institute of Education and Research
Downloads 57 (313,552)
Citation 10

Abstract:

18.

The Intra-Day Impact of Communication on Euro-Dollar Volatility and Jumps

KU Leuven - Center for Economic Studies Discussion Paper No. DPS13.04
Number of pages: 37 Posted: 11 Mar 2013
Hans Dewachter, Deniz Erdemlioglu, Jean-Yves Gnabo and Christelle Lecourt
Catholic University of Leuven (KUL) - Department of Economics, IESEG School of Management and CNRS - France, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 47 (313,552)

Abstract:

Central bank communication, Exchange rate communication, Official statements, High-frequency data, Jump process, Volatility

19.

The Predictive Content of the Yield Curve for In‡flation

Number of pages: 28 Posted: 24 Mar 2013
Hans Dewachter, Leonardo Iania and Marco Lyrio
Catholic University of Leuven (KUL) - Department of Economics, Louvain School of Management (UCL) and Insper Institute of Education and Research
Downloads 45 (305,686)

Abstract:

Macro-…finance model, Term structure, In‡flation forecasting

20.

Spatial Propagation of Macroeconomic Shocks in Europe

Number of pages: 32 Posted: 20 May 2010
Hans Dewachter, Romain Houssa and Priscilla Toffano
Catholic University of Leuven (KUL) - Department of Economics, CRED & CEREFIM, University of Namur and KU Leuven
Downloads 39 (339,472)

Abstract:

Macroeconomics, Spatial Models, VAR

21.

A Macro-Financial Analysis of the Euro Area Sovereign Bond Market

National Bank of Belgium Working Paper No. 259
Number of pages: 42 Posted: 20 Jun 2014
Hans Dewachter, Leonardo Iania, Marco Lyrio and Maite de Sola
Catholic University of Leuven (KUL) - Department of Economics, Louvain School of Management (UCL), Insper Institute of Education and Research and National Bank of Belgium - Research Department
Downloads 34 (313,552)

Abstract:

euro area sovereign bonds, yield spread decomposition, unspanned macro factors, fair spreads

22.

Ageing and the Relative Price of Nontradeables

TI Discussion Paper No. 07-064/2
Number of pages: 33 Posted: 29 Aug 2007
Leon J.H. Bettendorf and Hans Dewachter
Erasmus University Rotterdam (EUR) and Catholic University of Leuven (KUL) - Department of Economics
Downloads 30 (379,435)
Citation 1

Abstract:

relative price of nontradeables, age-specific effects, productivity differentials

23.

Imperfect Information, Macroeconomic Dynamics and the Yield Curve: An Encompassing Macro-Finance Model

National Bank of Belgium Working Paper No. 144
Number of pages: 71 Posted: 01 Oct 2010
Hans Dewachter
Catholic University of Leuven (KUL) - Department of Economics
Downloads 27 (383,171)
Citation 3

Abstract:

Imperfect information, New-Keynesian macroeconomic dynamics, equilibrium real rate, affine yield curve models

24.

Fiscal Activism and the Cost of Debt Financing

Number of pages: 19 Posted: 20 May 2010
Hans Dewachter and Priscilla Toffano
Catholic University of Leuven (KUL) - Department of Economics and KU Leuven
Downloads 26 (403,130)
Citation 1

Abstract:

Fiscal activism, Markov switching and yield curve

25.

The Response of Euro Area Sovereign Spreads to the ECB Unconventional Monetary Policies

National Bank of Belgium Working Paper No. 309 - October 2016
Number of pages: 56 Posted: 20 Sep 2017
Hans Dewachter, Leonardo Iania and Jean C. Wijnandts
Catholic University of Leuven (KUL) - Department of Economics, Louvain School of Management (UCL) and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Louvain Finance
Downloads 0 (518,682)

Abstract:

Term Structure of Interest Rates, Lower Bound, Nonlinear State-Space Model, Monetary Policy Expectations, Unconventional Monetary Policy

26.

Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation

Number of pages: 55 Posted: 04 May 2016 Last Revised: 16 Sep 2016
Olivier De Jonghe, Hans Dewachter, Klaas Mulier, Steven Ongena and Glenn Schepens
Tilburg University - Department of Finance, Catholic University of Leuven (KUL) - Department of Economics, Ghent University-Universiteit Gent - Faculty of Economics and Business Administration, University of Zurich - Department of Banking and Finance and European Central Bank
Downloads 0 (106,941)

Abstract:

Credit reallocation, bank funding shock, domestic credit, sector specialization, firm risk

27.

Do Asymmetries Matter for European Monetary Policy?

European Economic Review, 46, pp. 443-469.
Posted: 10 Dec 2001
Yunus Aksoy, Paul De Grauwe and Hans Dewachter
Birkbeck, University of London, London School of Economics & Political Science (LSE) and Catholic University of Leuven (KUL) - Department of Economics

Abstract:

EMU, linear feedback rules, monetary stability

28.

The European Central Bank: Decision Rules and Macroeconomic Performance

CEPR Discussion Paper Series Number 2067
Posted: 18 Jun 1999
Paul De Grauwe, Hans Dewachter and Yunus Aksoy
London School of Economics & Political Science (LSE), Catholic University of Leuven (KUL) - Department of Economics and Birkbeck, University of London

Abstract:

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