Chair of Monetary Economics and International Finance

Working Papers

Reiner Franke, "Reviving Kalecki’s Business Cycle Model in a Growth Context", Second Draft, Dezember 2016

Reiner Franke, "What Output-Capital Ratio to Adopt For Macroeconomic Modelling?", February 2016

Reiner Franke, Data on "What Output-Capital Ratio to Adopt For Macroeconomic Modelling?",  February 2016

Reiner Franke, "A Simple Approach to Overcome the Problems From the Keynesian Stability Condition: Extended Version", December 2015

Reiner Franke, "Can Monetary Policy Tame Harrodian Instability?", June 2015.

Reiner Franke and Jaba Ghonghadze, "Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics", May 2014

Reiner Franke, "How Non-Normal is US Output?", January 2013

Reiner Franke: US quarterly macro data and covariances for 3-eqs model (GDP and firm sector data; zipped text files)

Reiner Franke, "Competitive Moment Matching of a New-Keynesian and an Old-Keynesian Model", May 2012 (zipped pdf file).

Reiner Franke and Frank Westerhoff, "Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation", December 2011.

Reiner Franke, "How Much Backward-Looking is the New-Keynesian Three-Equations Model? Evidence From Moment Matching Estimations", October 2012.

Reiner Franke, Tae-Seok Jang and Stephen Sacht, "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in the New-Keynesian Three-Equations Model", August 2012.

Reiner Franke: Quarterly data for US output, inflation and interest rate (HP-detrended; zipped text files)

Reiner Franke and Frank Westerhoff, "Structural Stochastic Volatility in Asset Pricing Dynamics: Estimation and Model Contest", February 2011

Reiner Franke, "Microfounded Animal Spirits in the New Macroeconomic Consensus", Sept. 2010.

Reiner Franke and Stephen Sacht, "Some observations in the high-frequency versions of a standard New-Keynesian model", February 2010.

Reiner Franke and Frank Westerhoff, Estimation of a Structural Stochastic Volatility Model of Asset Pricing; November 2009.

Reiner Franke and Frank Westerhoff, Validation of a Structural Stochastic Volatility Model of Asset Pricing; September 2009.

Reiner Franke and Frank Westerhoff, Converse Trading Strategies, Intrinsic Noise and the Stylized Facts of Financial Markets; April 2009

Reiner Franke, Applying the Method-of-Simulated Moments to Estimate a Small Agent-Based Asset Pricing Model: Extended Version; November 2008

Reiner Franke: "Artificial Long Memory Effects in Two Agent-Based Asset Pricing Models", 2008.

Reiner Franke, "On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization", 2008.

Reiner Franke and Peter Flaschel, "A Proof of Determinacy in the New-Keynesian Sticky Wages and Prices Model", May 2009.

Thomas Lux: Stochastic Behavioral Asset Pricing Models and the Stylized Facts, 2008.

Reiner Franke and Toichiro Asada, "Incorporating Positions into Asset Pricing Models With Order-Based Strategies", 2008.

Reiner Franke: "A Prototype Model of Speculative Dynamics With Position-Based Trading: Extended Version" (22 MB!)

Reiner Franke: "Models of Asset Price Dynamics From Beja-Goldman to Brock-Hommes: A Synopsis of Specification Details"

Markus Demary, "A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes", Kiel Working Paper, November 2007.

Thomas Lux: Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effectsin a Business Climate Survey, 2008.

Simone Alfarano und Reiner Franke: A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets

Reiner Franke: Microfounded Animal Spirits and Goodwinian Income Distribution Dynamics

Reiner Franke: Estimation of a Microfounded Herding Model On German Survey Expectations

Reiner Franke: Phase Diagram for c.p. Bold-Cautious Dynamics

Reiner Franke: Three-States Animal Spirits in the Goodwin Model

Timur Yusupov and Thomas Lux: The Efficient Market Hypothesis through the Eyes of an Artificial Technical Analyst: An Application of a New Chartist Methodology to High-Frequency Stock Market Data, 2007

Simone Alfarano and Mishael Milaković: Does Classical Competition Explain the Statistical Features of Firm Growth? 2007

Simone Alfarano and Mishael Milaković: Should Network Structure Matter in Agent-Based Finance? 2007

Markus Demary, " Transaction Taxes, Traders' Behavior and Exchange Rate Risks", Kiel Working Paper November 2006.

Thomas Lux, S. Alfarano, F. Wagner: Empirical Validation of Stochastic Models of Interacting Agents: A 'Maximally Skewed' Noise Trader Model

Thomas Lux, S. Alfarano: A Noise Trader Model as a Generator of Apparant Power Laws and Long Memory.

Thomas Lux and Taisei Kaizoji: Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching, 2006

Thomas Lux: Financial Power Laws: Empirical Evidence, Models, and Mechanism, 2006

Thomas Lux: Applications of Statistical Physics in Finance and Economics, 2006

S. Alfarano, T. Lux, F. Wagner: Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach, 2005

Thomas Lux: The Markov-Switching Multi-Fractal Model of Asset Returns: Estimation via GMM and Linear Forecasting of Volatility, 2006

Simone Alfarano and Thomas Lux: Extreme Value Thoery as a Theoretical Background for Power Law Bahavior.

T. Lux, E. samanidou, E. Zschischang und D. Stauffer: "Microscopic Models of Financial Markets", 2006

Thomas Lux: The Multi-Fractal Model of Asset Returns. Its Estimation via GMM and Its Use for Volatility Forecasting, University of Kiel, February 2003.

Thomas Lux: The Multi-Fractal Model of Asset Returns. Its Estimation via GMM and Its Use for Volatility Forecasting, University of Kiel, February 2003. Appendix

Thomas Lux and Sascha Schornstein: Genetic learning as an Explanation of Stylized Facts of Foreign Exchange Markets, University of Kiel, London School of Economics, 2002, revision: February 2003

Thomas Lux: Multi-Scaling Properties of Asset Returns: An Assessment of the Power of the Scaling Estimator, University of Kiel, March 2003

Simone Alfarano and Thomas Lux: A Minimal Noise Trader Model with Realistic Time Series Properties, University of Kiel, December 2002

Simone Alfarano, F. Wagner and Thomas Lux: 'Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model', University of Kiel, July 2004, submitted to Computational Economics