Helmut Herwartz

University of Goettingen (Göttingen)

Platz der Gottinger Sieben 3

Gottingen, D-37073

Germany

SCHOLARLY PAPERS

19

DOWNLOADS

680

SSRN CITATIONS

8

CROSSREF CITATIONS

4

Scholarly Papers (19)

1.

Proxy SVAR Identification of Monetary Policy Shocks – Monte Carlo Evidence and Insights for the US

Number of pages: 57 Posted: 15 Dec 2020
Helmut Herwartz, Hannes Rohloff and Shu Wang
University of Goettingen (Göttingen), University of Goettingen (Göttingen) and Chair of Econometrics, University of Goettingen (Gottingen)
Downloads 121 (322,953)

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Structural Vector Autoregression, External Instruments, Proxy SVAR, Heteroskedasticity, Monetary Policy Shocks

2.

Statistical Identification in Svars - Monte Carlo Experiments and a Comparative Assessment of the Role of Economic Uncertainties for the US Business Cycle

CEGE Discussion Paper 375- July 2019
Number of pages: 42 Posted: 12 Jul 2019
Helmut Herwartz, Alexander Lange and Simone Maxand
University of Goettingen (Göttingen), University of Goettingen (Göttingen) and Humboldt University of Berlin
Downloads 74 (440,590)
Citation 1

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independent components, heteroskedasticity, model selection, non-Gaussianity, structural shocks

3.

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

DIW Berlin Discussion Paper No. 1282
Number of pages: 39 Posted: 28 Mar 2013
Benjamin Beckers, Helmut Herwartz and Moritz Seidel
German Institute for Economic Research (DIW Berlin), University of Goettingen (Göttingen) and Deutsche Bundesbank
Downloads 62 (482,956)

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copula distributions, expected shortfall, GARCH, model selection, non-Gaussian innovations, risk forecasting, value-at-risk

4.

Monetary Policy Shocks, Set-identifying Restrictions, and Asset Prices: A Benchmarking Approach for Analyzing Set-identified Models

CEGE Discussion Papers, Number 295 - November 2016
Number of pages: 48 Posted: 23 Nov 2016
Gábor Uhrin and Helmut Herwartz
University of Goettingen (Göttingen) and University of Goettingen (Göttingen)
Downloads 59 (498,602)

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monetary policy shocks, asset prices, sign restrictions, zero restrictions, set identi cation, structural VAR models

5.

Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles

DIW Berlin Discussion Paper No. 1405
Number of pages: 14 Posted: 27 Aug 2014
Helmut Herwartz and Konstantin A. Kholodilin
University of Goettingen (Göttingen) and German Institute for Economic Research (DIW Berlin)
Downloads 59 (494,663)

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stock market bubbles, out-of-sample forecasting, consensus forecasts, macroeconomic uncertainty, OECD countries

6.

Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes

Number of pages: 32 Posted: 09 Jun 2022 Last Revised: 15 Jun 2022
Markus J. Fülle and Helmut Herwartz
University of Goettingen (Göttingen) and University of Goettingen (Göttingen)
Downloads 49 (537,236)

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Copula, MGARCH, Markov Switching, Forecasting, VaR, ES

7.

Structural Analysis with Independent Innovations

Center for European Governance and Development Research (cege) Discussion Paper Number 208
Number of pages: 32 Posted: 22 May 2014
Helmut Herwartz
University of Goettingen (Göttingen)
Downloads 43 (566,128)
Citation 1

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structural innovations, identifying assumptions, SVAR, Cholesky decomposition, news shocks, monetary independence

8.

Heteroskedasticity-Robust Unit Root Testing for Trending Panels

Number of pages: 38 Posted: 27 Jun 2017
Helmut Herwartz, Simone Maxand and Yabibal Mulualem Walle
University of Goettingen (Göttingen), University of Goettingen (Göttingen) and University of Goettingen (Göttingen)
Downloads 42 (571,303)
Citation 3

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Panel unit root tests, nonstationary volatility, cross-sectional dependence, near epoch dependence, energy use per capita

9.

Less Bang for the Buck? Assessing the Role of Inflation Uncertainty for U.S. Monetary Policy Transmission in a Data Rich Environment

CEGE - Discussion Papers, Number 358 - December 2018
Number of pages: 49 Posted: 20 Dec 2018
Helmut Herwartz and Hannes Rohloff
University of Goettingen (Göttingen) and University of Goettingen (Göttingen)
Downloads 39 (586,959)

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inflation uncertainty, SVAR, monetary policy, sign restrictions, asset prices, smoothtransition

10.

Global Credit Supplies and Financial Stress

Number of pages: 69 Posted: 01 Jun 2022 Last Revised: 20 Jul 2022
Helmut Herwartz, Christian Ochsner and Hannes Rohloff
University of Goettingen (Göttingen), German Council of Economic Experts and University of Goettingen (Göttingen)
Downloads 34 (615,259)

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global credit supply, credit composition, financial cycle, dynamic factor model

11.

Global Credit Shocks and Real Economies

Number of pages: 42 Posted: 24 May 2021 Last Revised: 19 Jul 2022
Helmut Herwartz, Christian Ochsner and Hannes Rohloff
University of Goettingen (Göttingen), German Council of Economic Experts and University of Goettingen (Göttingen)
Downloads 33 (621,265)

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Credit shocks, credit composition, real economy, structural VAR, FAVAR

12.

State Dependence in the Finance-growth Nexus: A Functional Coefficient Approach

Number of pages: 32 Posted: 03 Jul 2013
Helmut Herwartz and Yabibal Mulualem Walle
University of Goettingen (Göttingen) and University of Goettingen (Göttingen)
Downloads 23 (690,538)
Citation 1

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Finance-growth nexus, financial development, economic growth, functional coeffient model

13.

Is Gold Always a Safe-Haven? Evidence from a Novel Markov-Switching Multivariate GARCH Model with Copula-Distributed Innovations

Number of pages: 59 Posted: 18 Nov 2021 Last Revised: 29 Aug 2022
Markus J. Fülle and Helmut Herwartz
University of Goettingen (Göttingen) and University of Goettingen (Göttingen)
Downloads 22 (698,496)

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Copula, multivariate GARCH models, Markov switching, safe-haven, gold, stock market

14.

Lean Against the Wind or Float With the Storm?: Revisiting the Monetary Policy Asset Price Nexus by Means of a Novel Statistical Identification Approach

CEGE Discussion Papers, Number 354, August 2018
Number of pages: 28 Posted: 31 Aug 2018
Helmut Herwartz, Simone Maxand and Hannes Rohloff
University of Goettingen (Göttingen), Humboldt University of Berlin and University of Goettingen (Göttingen)
Downloads 14 (766,294)

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15.

Simulation Evidence on Theory‐Based and Statistical Identification Under Volatility Breaks

Oxford Bulletin of Economics and Statistics, Vol. 78, Issue 1, pp. 94-112, 2016
Number of pages: 19 Posted: 20 Jan 2016
Helmut Herwartz and Martin Plödt
University of Goettingen (Göttingen) and Kiel Institute for the World Economy
Downloads 3 (883,543)
Citation 1

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16.

Heteroskedasticity‐Robust Unit Root Testing for Trending Panels

Journal of Time Series Analysis, Vol. 40, Issue 5, pp. 649-664, 2019
Number of pages: 16 Posted: 29 May 2020
Helmut Herwartz, Simone Maxand and Yabibal M. Walle
University of Goettingen (Göttingen), University of Goettingen (Göttingen) and affiliation not provided to SSRN
Downloads 2 (897,174)

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Panel unit root tests, non‐stationary volatility, cross‐sectional dependence, near epoch dependence, energy use per capita

17.

Hodges–Lehmann Detection of Structural Shocks – An Analysis of Macroeconomic Dynamics in the Euro Area

Oxford Bulletin of Economics and Statistics, Vol. 80, Issue 4, pp. 736-754, 2018
Number of pages: 19 Posted: 03 Jul 2018
Helmut Herwartz
University of Goettingen (Göttingen)
Downloads 1 (911,751)
Citation 3

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18.

Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom

The Scandinavian Journal of Economics, Vol. 122, Issue 1, pp. 164-190, 2020
Number of pages: 27 Posted: 06 Jun 2020
Helmut Herwartz and Fang Xu
University of Goettingen (Göttingen) and Brunel University London
Downloads 0 (927,392)

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Dynamic Gordon growth model, house price‐to‐rent ratio, particle filter, state‐space model

19.

Does the EU Financing System Contribute to Shadow Economic Activity?

Economics & Politics, Vol. 25, Issue 2, pp. 135-161, 2013
Number of pages: 27 Posted: 07 Jun 2013
Helmut Herwartz and Bernd Theilen
University of Goettingen (Göttingen) and Universitat Rovira i Virgili - Department of Economics
Downloads 0 (927,392)

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