Thomas Werner

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

15

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Top 25,776

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1,966

SSRN CITATIONS
Rank 13,874

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Top 13,874

in Total Papers Citations

19

CROSSREF CITATIONS

52

Scholarly Papers (15)

1.

Bank Interest Rate Pass-Through in the Euro Area: A Cross Country Comparison

ECB Working Paper No. 580
Number of pages: 65 Posted: 18 Jan 2006
Christoffer Kok and Thomas Werner
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 349 (91,806)

Abstract:

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Interest rate pass-through, euro area countries, panel cointegration

2.

The Term Structure of Euro Area Break-Even Inflation Rates: The Impact of Seasonality

ECB Working Paper No. 830
Number of pages: 43 Posted: 05 Dec 2007
Jacob Ejsing, Juan A. Garcia and Thomas Werner
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 314 (103,283)
Citation 1

Abstract:

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term structure, break-even inflation rates, inflation-linked bonds, inflation seasonality

3.

Do Central Banks React to the Stock Market? The Case of the Bundesbank

Journal of Banking and Finance, Forthcoming
Number of pages: 29 Posted: 08 Nov 2003
Martin T. Bohl, Pierre L. Siklos and Thomas Werner
University of Muenster, Wilfrid Laurier University - School of Business & Economics and European Central Bank (ECB)
Downloads 300 (108,540)
Citation 13

Abstract:

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Stock Prices, Monetary Policy, Reaction Function, Deutsche Bundesbank, Identification, Simultaneity

Tail Wags Dog? Time-Varying Information Shares in the Bund Market

Deutsche Bundesbank, Economic Research Centre Working Paper No. 24/02
Number of pages: 36 Posted: 28 Apr 2003
Christian Upper and Thomas Werner
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 194 (167,327)
Citation 8

Abstract:

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high-frequency data, market microstructure, future markets, information shares, kalman filter

Tail Wags Dog? Time-Varying Information Shares in the Bund Market

Bundesbank Series 1 Discussion Paper No. 2002,24
Number of pages: 36 Posted: 08 Jun 2016
Christian Upper and Thomas Werner
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 23 (555,194)

Abstract:

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high-frequency data, market microstructure, future markets, information shares, kalman filter

5.

Inflation Risks and Inflation Risk Premia

ECB Working Paper No. 1162
Number of pages: 52 Posted: 05 Apr 2010
Juan A. Garcia and Thomas Werner
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 213 (153,478)

Abstract:

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Affine term structure models, state-space modelling, inflation compensation, inflation risk premia, inflation risks

6.

Time Variation in the Tail Behaviour of Bunds Futures Returns

ECB Working Paper No. 199; Economic Research Centre of the Deutschen Bundesbank Discussion Paper No. 25/02
Number of pages: 36 Posted: 07 Apr 2003
Thomas Werner and Christian Upper
European Central Bank (ECB) and Bank for International Settlements (BIS)
Downloads 156 (202,681)

Abstract:

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Tail index, futures returns, extreme value theory, risk management

7.

The Term Structure of Equity Premia in an Affine Arbitrage-Free Model of Bond and Stock Market Dynamics

ECB Working Paper No. 1045
Number of pages: 47 Posted: 25 Apr 2009
Wolfgang Lemke and Thomas Werner
European Central Bank and European Central Bank (ECB)
Downloads 117 (253,985)
Citation 3

Abstract:

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equity premium, affine term structure models, asset pricing

8.

Do Term Premia Affect the Predictive Power of the German Yield Curve for Future Economic Activity?

Number of pages: 24 Posted: 23 Jul 2007
Manfred Kremer and Thomas Werner
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 107 (270,636)
Citation 1

Abstract:

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Yield curve, Term structure, Forecasting, Term premia, Financial markets and the macroeconomy

9.

The Tail Wags the Dog: Time-Varying Information Shares in the Bund Market

BIS Working Paper No. 224
Number of pages: 43 Posted: 25 Sep 2007
Christian Upper and Thomas Werner
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 86 (311,909)
Citation 9

Abstract:

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Information shares, bond futures, upstairs markets

10.

Dissecting Long-Term Bund Yields in the Run-Up to the ECB's Public Sector Purchase Programme

ECB Working Paper No. 2106; ISBN: 978-92-899-2828-1
Number of pages: 19 Posted: 06 Nov 2017
Wolfgang Lemke and Thomas Werner
European Central Bank and European Central Bank (ECB)
Downloads 46 (428,959)
Citation 2

Abstract:

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term structure of interest rates, large-scale asset purchases, term premia

11.

How Wacky is the DAX? The Changing Structure of German Stock Market Volatility

Bundesbank Series 1 Discussion Paper No. 2003,18
Number of pages: 48 Posted: 08 Jun 2016
Jelena Stapf and Thomas Werner
Deutsche Bundesbank and European Central Bank (ECB)
Downloads 28 (509,257)

Abstract:

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market and idiosyncratic volatility, test on break in volatility dynamics, institutional ownership

12.

Asset Prices in Taylor Rules: Specification, Estimation, and Policy Implications for the ECB

Bundesbank Series 1 Discussion Paper No. 2004,22
Number of pages: 48 Posted: 08 Jun 2016
Pierre L. Siklos, Thomas Werner and Martin T. Bohl
Wilfrid Laurier University - School of Business & Economics, European Central Bank (ECB) and University of Muenster
Downloads 18 (569,251)
Citation 1

Abstract:

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reaction function, asset prices

13.

Money in a New-Keynesian Model Estimated with German Data

Bundesbank Series 1 Discussion Paper No. 2003,15
Number of pages: 56 Posted: 08 Jun 2016
Jana Kremer, Giovanni Lombardo and Thomas Werner
Deutsche Bundesbank, Deutsche Bundesbank and European Central Bank (ECB)
Downloads 6 (649,398)

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Maximum-Likelihood, DSGE, MSV solution, New-Keynesian model, Germany

14.

Time Variation in the Tail Behaviour of Bund Futures Returns

Bundesbank Series 1 Discussion Paper No. 2002,25
Number of pages: 40 Posted: 08 Jun 2016
Thomas Werner and Christian Upper
European Central Bank (ECB) and Bank for International Settlements (BIS)
Downloads 6 (649,398)

Abstract:

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15.

Did the Bundesbank React to Stock Price Movements?

Bundesbank Series 1 Discussion Paper No. 2003,14
Number of pages: 49 Posted: 08 Jun 2016
Martin T. Bohl, Pierre L. Siklos and Thomas Werner
University of Muenster, Wilfrid Laurier University - School of Business & Economics and European Central Bank (ECB)
Downloads 3 (671,250)

Abstract:

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