Berger, Tino

[["dc.bibliographiccitation.firstpage","463"],["dc.bibliographiccitation.issue","2"],["dc.bibliographiccitation.journal","Journal of Banking & Finance"],["dc.bibliographiccitation.lastpage","473"],["dc.bibliographiccitation.volume","37"],["dc.contributor.author","Berger, Tino"],["dc.contributor.author","Pozzi, Lorenzo"],["dc.date.accessioned","2018-10-30T13:59:34Z"],["dc.date.available","2018-10-30T13:59:34Z"],["dc.date.issued","2013"],["dc.description.abstract","We measure the time-varying degree of world stock market integration of five developed countries (Germany, France, UK, US, and Japan) over the period 1970:1–2011:10. Time-varying financial market integration of each country is measured through the conditional variances of the country-specific and common international risk premiums in equity excess returns. The country-specific and common risk premiums and their conditional variances are estimated from a latent factor decomposition through the use of state space methods that allow for GARCH errors. Our empirical results suggest that stock market integration has increased over the period 1970:1–2011:10 in all countries but Japan. And while there is a structural increase in stock market integration in four out of five countries, all countries also exhibit several shorter periods of disintegration (reversals), i.e. periods in which country-specific shocks play a more dominant role. Hence, stock market integration is measured as a dynamic process that is fluctuating in the short run while gradually increasing in the long run."],["dc.identifier.doi","10.1016/j.jbankfin.2012.09.015"],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/16138"],["dc.language.iso","en"],["dc.notes.status","final"],["dc.title","Measuring time-varying financial market integration"],["dc.title.subtitle","An unobserved components approach"],["dc.type","journal_article"],["dc.type.internalPublication","unknown"],["dspace.entity.type","Publication"]]

[["dc.bibliographiccitation.artnumber","S0165188921000695"],["dc.bibliographiccitation.firstpage","104134"],["dc.bibliographiccitation.journal","Journal of Economic Dynamics and Control"],["dc.bibliographiccitation.volume","128"],["dc.contributor.author","Berger, Tino"],["dc.contributor.author","Everaert, Gerdie"],["dc.contributor.author","Pozzi, Lorenzo"],["dc.date.accessioned","2021-12-01T09:23:37Z"],["dc.date.available","2021-12-01T09:23:37Z"],["dc.date.issued","2021"],["dc.identifier.doi","10.1016/j.jedc.2021.104134"],["dc.identifier.pii","S0165188921000695"],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/94707"],["dc.language.iso","en"],["dc.notes.intern","DOI-Import GROB-478"],["dc.relation.issn","0165-1889"],["dc.title","Testing for international business cycles: A multilevel factor model with stochastic factor selection"],["dc.type","journal_article"],["dc.type.internalPublication","yes"],["dspace.entity.type","Publication"]]

[["dc.bibliographiccitation.firstpage","1"],["dc.bibliographiccitation.lastpage","41"],["dc.bibliographiccitation.seriesnr","16-088/VI"],["dc.contributor.author","Berger, Tino"],["dc.contributor.author","Pozzi, Lorenzo"],["dc.date.accessioned","2018-11-08T16:54:38Z"],["dc.date.available","2018-11-08T16:54:38Z"],["dc.date.issued","2016"],["dc.description.abstract","We investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with predetermined factors. The literature has so far ignored model uncertainty in these models as common factors (i.e., global, regional or otherwise) are typically imposed but not tested for. We focus in particular on the existence of a global business cycle as the literature has, in our opinion unjustifiably, taken for granted its existence. In contrast to the literature, we find no evidence to support its presence."],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/56783"],["dc.language.iso","en"],["dc.notes.status","final"],["dc.relation.crisseries","Discussion Paper (Tinbergen Institute)"],["dc.relation.ispartofseries","Tinbergen Institute Discussion Paper; 16-088/VI"],["dc.title","Is there really a global business cycle?"],["dc.title.subtitle","A dynamic factor model with stochastic factor selection"],["dc.type","working_paper"],["dc.type.internalPublication","unknown"],["dspace.entity.type","Publication"]]