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

30

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CITATIONS
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125

Scholarly Papers (30)

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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 1,396 (11,887)
Citation 63

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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 1,231 (14,490)

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technical trading rule, exchange rate

3.

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 608 (39,773)
Citation 2

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

4.

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 588 (41,582)
Citation 5

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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 402 (66,958)
Citation 20

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

6.

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

Number of pages: 69 Posted: 04 May 2016 Last Revised: 06 Mar 2018
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 ECB -Financial Research Division
Downloads 358 (76,701)

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

7.

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 327 (85,046)
Citation 2

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Technical trading rules, exchange rates, nonparametric methods

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 321 (86,834)
Citation 2

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

9.

An Extended Macro-Finance Model with Financial Factors

Downloads 287 ( 98,225)
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 UCLouvain (University)
Downloads 207 (136,487)
Citation 1

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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 UCLouvain (University)
Downloads 80 (287,687)
Citation 1

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

10.

The Effect of Monetary Unification on German Bond Markets

Downloads 220 (129,072)
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 195 (144,525)
Citation 9

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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 (475,500)
Citation 9
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11.

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 176 (158,802)

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

12.

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 167 (166,282)
Citation 1

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

13.

Identification of Macroeconomic Factors in Large Panels

Downloads 116 (222,963)
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 75 (299,051)
Citation 3

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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 (401,274)
Citation 3

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Monetary policy, Business Cycles, Factor Models, EM Algorithm

14.

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 101 (245,937)

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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, UCLouvain (University) and Insper Institute of Education and Research
Downloads 97 (252,718)

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

16.

Information in the Yield Curve: A Macro-Finance Approach

Downloads 89 (267,033)
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, UCLouvain (University) and Insper Institute of Education and Research
Downloads 58 (343,780)
Citation 1

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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, UCLouvain (University) and Insper Institute of Education and Research
Downloads 31 (443,768)
Citation 1

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Macro-finance model, Yield curve, Expectations hypothesis

17.

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

Downloads 84 (276,785)

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 84 (279,210)
Citation 1

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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

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

18.

Real and Financial Cycles in EU Countries: Stylised Facts and Modelling Implications

ECB Occasional Paper No. 205, ISBN: 978-92-899-3364-3
Number of pages: 68 Posted: 11 Jan 2018
Gerhard Rünstler, Hiona Balfoussia, Lorenzo Burlon, Ginters Buss, Mariarosaria Comunale, Bruno De Backer, Hans Dewachter, Paolo Guarda, Markus Haavio, Irma Hindrayanto, Nikolay I. Iskrev, Ivan Jaccard, Dmitry Kulikov, Davor Kunovac, Črt Lenarčič, Matthieu Lequien, Matija Lozej, Martin Mandler, Dimitris Papageorgiou, Jesper Pedersen, Gabriel Perez-Quiros, Ansgar Rannenberg, Eyno Rots, Michael Scharnagl and Peter Welz
European Central Bank, Bank of Greece, European Central Bank (ECB), Bank of Latvia, Bank of Lithuania - Economics Department, National Bank of Belgium, Catholic University of Leuven (KUL) - Department of Economics, Banque Centrale du Luxembourg, Bank of Finland - Research, De Nederlandsche Bank, Bank of Portugal - Economic Research Department, European Central Bank (ECB) - Directorate General Research, Bank of Estonia, Croatian National Bank, Bank of Slovenia, National Institute of Statistics and Economic Studies (INSEE), University of Primorska, Deutsche Bundesbank - Economics Department, Bank of Greece, National Bank of Denmark, Banco de España, Hans-Boeckler-Stiftung - Macroeconomic Policy Institute (IMK), Magyar Nemzeti Bank, Deutsche Bundesbank and European Central Bank
Downloads 73 (300,615)

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financial cycles, synchronicity, real-time estimates, DSGE models

19.

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, UCLouvain (University), Insper Institute of Education and Research and National Bank of Belgium - Research Department
Downloads 66 (317,543)

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

20.

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, UCLouvain (University) and Insper Institute of Education and Research
Downloads 62 (328,027)

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

21.

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 61 (330,703)

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

22.

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 (341,777)
Citation 10

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23.

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 53 (353,913)

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Macroeconomics, Spatial Models, VAR

24.

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 37 (408,471)
Citation 3

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

25.

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 37 (408,471)
Citation 1

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

26.

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 32 (428,653)
Citation 1

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Fiscal activism, Markov switching and yield curve

27.

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 Wijnandts
Catholic University of Leuven (KUL) - Department of Economics, UCLouvain (University) and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Louvain Finance
Downloads 28 (446,723)

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

28.

A Macro-Financial Analysis of the Corporate Bond Market

Number of pages: 27 Posted: 19 Jun 2018
Hans Dewachter, Leonardo Iania, Wolfgang Lemke and Marco Lyrio
Catholic University of Leuven (KUL) - Department of Economics, UCLouvain (University), European Central Bank and Insper Institute of Education and Research
Downloads 26 (456,737)

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Corporate Bonds, Term Structure of Interest Rates, Macro Finance

29.

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

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EMU, linear feedback rules, monetary stability

30.

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

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