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09
JAN 2024
14:15 - 15:45

IWH Research Seminar

The Origins of Commodity Price Fluctuations

Who
Evgenia Passari (Université Paris Dauphine)
Where
via Zoom

We build indexes of commodity-price developments by simulating news reading. Our proposed computer-based, narrative approach is flexible and spans all commodity markets, including energy, metals, agricultural and livestock.

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04
DEC 2023
05
DEC 2023

Workshops and conferences

24th IWH-CIREQ-GW-BOKERI Macroeconometric Workshop: Commodity Prices and Macroeconomic Developments

Who
Keynote Speakers: Christiane Baumeister (University of Notre Dame); Gert Peersman (Ghent University)
Where
IWH, conference room

The workshop provides a platform to discuss new developments in the field of empirical and applied macroeconomic modelling and aims at bringing together academic researchers and practitioners. We invite applied and theoretical papers dealing with time series and broad macroeconomic topics.

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03
APR 2017
14:15 - 15:45

IWH Research Seminar

On the Robustness of the Unlevered Capital Asset Pricing Model

Who
Lammertjan Dam (University of Groningen)
Where
conference room, Leipziger Straße 100

Firms’ financial leverage can largely explain the value effect, however, we document that the expected return-beta relationship of equity in unconditional tests of the CAPM is more generally distorted by leverage.

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30
JAN 2017
13:15 - 14:45

IWH Research Seminar

A Corporate Governance Asset Pricing Model: Theory and some Evidence

Who
Ernst-Ludwig von Thadden (Universität Mannheim)
Where
IWH conference room

This paper extends the classic risk-return tradeoff of asset pricing to a risk-effort tradeoff, by assuming that managerial effort is necessary to generate cash flows. Corporate governance standards influence the manager's return to effort, her exposure to corporate risk, and the dilution of shareholder value.

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05
AUG 2016
10:00 - 12:00

IWH Research Seminar

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Who
Lutz Kilian, PhD (University of Michigan)
Where
IWH conference room

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.

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04
JUL 2016
14:15 - 15:45

IWH Research Seminar

Financial Constraints and Nominal Price Rigidities

Who
Almut Balleer (Rheinisch-Westfälische Technische Hochschule Aachen (RWTH))
Where
IWH conference room

This paper investigates how financial market imperfections and nominal rigidities interact.

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