Project funded under the Socio-economic Sciences and Humanities

This project has received funding from the European Union’s Seventh Framework Programme for research, technological development and demonstration under grant agreement no. 612955

Please see below a list of FinMaP working papers. Should you require any further information, please contact us.

FinMaP Working Papers

1. Finger, K., Lux, T. (2014). Friendship Between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations, FinMaP Working Paper, 1 Kiel University, Kiel, 42 pp.

2. Nasr, B., A., Lux, T., Ajmi, A., N., Gupta, R. (2014). Forecasting the Volatility of the Dow Jones Islamic Stock Market: Long Memory vs. Regime Switching, FinMaP Working Paper, 2 Kiel University, Kiel, 29 pp.

3. Lux, T. (2014). Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market, FinMaP Working Paper, 3 Kiel University, Kiel, 27 pp.

4. Franke, R., Ghonghadze, J. (2014). Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics, FinMaP Working Paper, 4 Kiel University, Kiel, 33 pp.

5. Zhenxi, C. (2014). Estimating Heterogeneous Agents Behavior with Different Investment Horizons in Stock Markets, FinMaP Working Paper, 5 Kiel University, Kiel, 17 pp.

6. Rabitsch, K., Stepanchuk, S. (2014). A Two-Period Model with Portfolio Choice: Understanding Results from Different Solution Methods, FinMaP Working Paper, 6 Kiel University, Kiel, 14 pp.

7. Leppin, J., S., Reitz, S. (2014). The Role of a Changing Market Environment for Credit Default Swap, FinMaP Working Paper, 7 Kiel University, Kiel, 29 pp.

8. Montagna, M., Lux, T. (2014). Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information, FinMaP Working Paper, 8 Kiel University, Kiel, 39 pp.

9. Alfarano, S., Camacho, E., Petrovic, M., Provenzano, G. (2014). The Interplay between Public and Private Information in Asset Markets: Theoretical and Experimental Approaches, FinMaP Working Paper, 9 Kiel University, Kiel, 24 pp.

10. Mendicino, C., Punzi, M., T. (2014). House Prices, Capital Inflows and Macroprudential, FinMaP Working Paper, 10 Kiel University, Kiel, 46 pp.

11. Chen, Z.; Klos, A.; Reitz, S.(2015). Professional Forecasters' Reactions to Streaks in Surprises, FinMaP Working Paper 11, Kiel University, Kiel, 23pp.

12. Livan, G.; Alfarano, S.; Milakovic, M.; Scalas, E. (2014). A spectral perspective on excess volatility; FinMaP Working Paper12, Kiel University, Kiel, 13pp.

13. Barunik, J.; Kocenda, E.; Vacha, L. (2014). Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?, FinMaP Working Paper 13, Kiel University, Kiel, 28pp.

14. Barunik, J.; Kocenda, E.; Vacha, L. (2014). Gold, Oil, and Stocks, FinMaP Working Paper 14, Kiel University, Kiel, 29pp.

15. Barunik, J.; Kukacka, J. (2014). Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility, FinMaP Working Paper 15, Kiel University, Kiel, 31pp.

16. Barunik, J.; Vacha, L. (2014). Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, FinMaP Working Paper 16, Kiel University, Kiel, 34pp.

17. Kristoufek, L. (2014), Leverage effect in energy futures, FinMaP Working Paper 17, Kiel University, Kiel, 23pp.

18. Kristoufek, L. (2014), Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy, FinMaP Working Paper 18, Kiel University, Kiel, 17pp.

19. Lux, T. (2014), A Model of the Topology of the Bank-Firm Credit Network and its Role as Channel of Contagion, FinMaP Working Paper 19, Kiel University, Kiel, 34pp.

20. Zikes, F.;Barunik, J. (2014). Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility, FinMaP Working Paper 20, Kiel University, Kiel, 43pp.

21. Fischer, T.; Riedler, J. (2014). Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market, FinMaP Working Paper 21, Kiel University, Kiel, 39pp.

22. Horvath, R.; Marsal, A. (2014). The Term Structure of Interest Rates in a Small Open Economy DSGE Model with Markov Switching, FinMaP Working Paper 22, Kiel University, Kiel, 33pp.

23. Kristoufek, L. (2014). What are the main drivers of the Bitcoin price? Evidence from the wavelet coherence analysis, FinMaP Working Paper 23, Kiel University, Kiel, 19pp.

24. Punzi, M.T; Rabitsch, K. (2014). Investor Borrowing Heterogeneity in a Kiyotaki-Moore Style Macro Model, FinMaP Working Paper 24, Kiel University, Kiel, 8pp.

25. Recchioni, C.; Tedeschi, G.; Berardi, S. (2014). Banks' strategies during the finanical crisis, FinMaP Working Paper 25, Kiel University, Kiel, 22p.

26. Recchioni, C.; Tedeschi, G.; Gallegati, M. (2014). A calibration procedure for analyzing stock price dynamics in an Agent-based framework, FinMaP Working Paper 26, Kiel University, Kiel, 41pp.

27. Giri, F. (2014). Does interbank market matter for business cycle fluctuation? An estimated DSGE model with financial frictions for the Euro area, FinMaP Working Paper 27, Kiel University, Kiel, 31pp.

28. De Grauwe, P., Yuemei, J. (2015). Market Sentiments and the Sovereign Debt Crisis in the Eurozone, FinMaP Working Paper 28, Kiel University, Kiel, 21pp.

29. Pierdzioch, C.; Reitz, S.; Ruelke, J.-C. (2015).Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market, FinMaP Working Paper 29, Kiel University, Kiel, 23pp.

30. Alfarano, S.; Camacho, E.; Morone, A. (2015). Do investors rely too much on public information to be justified by its accuracy? An experimental study, FinMaP Working Paper 30, Kiel University, Kiel, 37pp.

31. Lux, T.; Segnon, M.; Gupta, R. (2015). Modeling and Forecasting Crude Oil Price Volatility. Evidence from Historical and Recent Data, FinMaP Working Paper 31, Kiel University, Kiel, 42pp.

32. Avdulaj, K.; Barunik, J. (2015). Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data, FinMaP Working Paper 32, Kiel University, Kiel, 35pp.

33. Kraicova, L.; Barunik, J. (2015). Estimation of Long Memory in Volatility Using Wavelets, FinMaP Working Paper 33, Kiel University, Kiel, 42pp.

34. Pavlicek, J.; Kristoufek, L. (2015). Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries, FinMaP Working Paper 34, Kiel University, Kiel, 15pp.

35. Vakrman, T.; Kristoufek, L. (2015). Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches, FinMaP Working Paper 35, Kiel University, Kiel, 21pp.

36. Zikes; F.; Barunik, J.; Shenai, N. (2015). Modeling and Forecasting Persistent Financial Durations, FinMaP Working Paper 36, Kiel University, Kiel, 43pp.

37. Chen, Z.; Lux, T. (2015). Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach, FinMaP Working Paper 37, Kiel University, Kiel, 32pp.

38. Ghonghadze, Jaba; Lux, T. (2015). Bringing an Elementary Agent-Based Model to the Data: Estimation via GMM and an Application to Forecasting of Asset Price Volatility, FinMaP Working Paper 38, Kiel University, Kiel 31pp.

39. Catullo, E.; Gallegati, M.; Palestrini, A. (2015). Systemic Risk and Macro-prudential policies: a credit network-based approach, FinMaP Working Paper 39, Kiel University, Kiel, 25pp.

40. Deaves, R.; Lei, Jin; Schroeder, M. (2015). Forecaster Overconfidence and Market Survey Performance, FinMaP Working Paper 40, Kiel University, Kiel, 36pp.

41. Kauko, K.; Punzi, M. T. (2015). Testing the Global Banking Glut Hypothesis, FinMap Working Paper 41, Kiel University, Kiel, 50pp.

42. Hanus, L.; Vacha, L. (2015). Business cycle synchronization of the Visegrad Four and the European Union, FinMaP Working Paper 42, Kiel University, Kiel, 20pp.

43. Barunik, J.; Barunikova, M. (2015). Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression, FinMap Working Paper 43, Kiel University, Kiel, 32pp.

44. Smolik, F.; Vacha, L. (2015). Time-Scale analysis of sovereign bonds market co-movement in the EU, FinMaP Working Paper 44, Kiel University, Kiel, 25pp.

45. De Grauwe, P.; Gerba, E. (2015). Stock Market Cycles and Supply Side Dynamics, FinMaP Working Paper 45, Kiel University, Kiel, 61pp.

46. Segnon, M.; Lux, T.; Gupta, R. (2015). Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models, FinMaP Working Paper 46, Kiel University, Kiel, 25pp.

47. Berardi, S.; Tedeschi, G. (2015). From banks' strategies to financial (in)stability, FinMaP Working Paper 47, Kiel University, Kiel, 23pp.

48. Chen, Z.; Huang, W.; Zheng, H. (2015). Estimating heterogeneous agents behavior in a two-market financial system, FinMaP Working Paper 48, Kiel University, Kiel, 24pp.

49. Franke, R.; Yanovski, B. (2015). On the Long-Run Equilibrium Value of Tobin's Average Q, FinMaP Working Paper 49, Kiel University, Kiel, 15pp.

50. Catullo, E.; Gallegati, M. (2015). Multi-Country Decentralized Agent Based Model: Macroeconomic Dynamics and Vulnerability in a Simplified Currency Union, FinMap Working Paper 50, Kiel University, Kiel, 24pp.

51. Fratianni, M.; Giri, F. (2015). The tale of two great crises, FinMap Working Paper 51, Kiel University, Kiel, 54pp.

52. De Grauwe, P.; Gerba, E. (2016). Monetary Transmission Under Competing Corporate Finance Regimes, FinMaP Working Paper 52, Kiel University, Kiel, 49pp.

53. Rabitsch, K. (2016). An Incomplete Markets Explanation of the UIP Puzzle, FinMaP Working Paper 53, Kiel University, Kiel, 31pp.

54. Barunik, J.;Krehlik, T. (2016). Measuring the frequency dynamics of financial and macroeconomic connectedness, FinMaP Working Paper 54, Kiel University, Kiel, 39pp.

55. Barunik, J.: Krehlik, T.; Vacha, L. (2016). Modeling and forecasting exchange rate volatility in time-frequency domain, FinMaP Working Paper 55, Kiel University, Kiel, 36pp.

56. Marsal,A.; Kaszab, L.; Horvath; R. (2016). Fiscal Policy and the Term Structure of Interest Rates in a DSGE Model, FinMaP Working Paper 56, Kiel University, Kiel, 66pp.

57. Chen, Z.; Reitz, S. (2016). Dynamics of the European sovereign bonds and the identification of crisis periods, FinMaP Working Paper 57, Kiel University, Kiel, 24pp.

58. Huber, F.; Punzi, M.T. (2016).International housing markets, unconventional monetary policy and the zero lower bound, FinMap Working Paper 58, Kiel University, Kiel, 36pp.

59. Giglio, R.; Lux, T. (2016). The Core of the Global Corporate Network, FinMaP Working Paper 59, Kiel University, Kiel, 23pp.

60. Yanovski, B. (2016). A Pro-Cyclical Stock Market under a Counter-cyclical Monetary Policy in a Model of Endogenous Business Cycles, FinMaP Working Paper 60, Kiel University, Kiel, 36pp.

61. Punzi, M.T. (2016). Financial cycles and comovements between the real economy, finance and asset price dynamics in large-scale crises, FinMaP Working Paper 61, Kiel University, Kiel, 34pp.

62. Lux, T. (2016). Network Effects and Systemic Risk in the Banking Sector. FinMaP Working Paper 62, Kiel University, Kiel, 22pp.

63. Kukacka, J.; Barunik, J. (2016). Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood, FinMaP Working Paper 63, Kiel University, Kiel, 48pp.

64. Rabitsch, K.; Schoder, C.(2016). Buffer stock savings in a New-Keynesian business cycle model, FinMaP Working Paper 64, Kiel University, Kiel, 34pp.

65. Giri, F.; Riccetti, L.; Russo, A.; Gallegati, M. (2016). Monetary Policy and Large Crises in a Financial Accelerator Agent-Based Model, FinMaP Working Paper 65, Kiel University, Kiel, 46pp.

66. Chen, Z.(2016). Regimes dependent speculative trading: evidence from the United States housind market, FinMap Working Paper 66, Kiel University, Kiel, 27pp.

67. Punzi, M.T.; Rabitsch, K. (2016). Borrower heterogeneity within a risky mortgage-lending market, FinMaP Working Paper 67, Kiel University, Kiel, 37pp.

68. Kristoufek, L.; Vosvrda, M. (2016). Herding, minority game, market clearing and efficient markets in a simple spinmodel framework, FinMap Working Paper 68, Kiel University, Kiel, 20pp.

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This website is maintained by the Chair of Monetary Economics and International Finance at CAU Kiel.

Grant Agreement No. 612955
FP7 theme: SSH-2013.1.3-2
Project Start: 1 January 2014
Coordinator: Prof. T. Lux

Press Release, 16 January 2014

Financial crisis:
causes, policy responses, future challenges
Outcomes of EU-funded research


Agent-Based Economic Modelling:

First Ancona-Milano Summer School on AB Economics

Ancona, 1-5 September 2015