WorldCat Identities

Pierdzioch, Christian

Overview
Works: 140 works in 481 publications in 2 languages and 1,768 library holdings
Roles: Author, Contributor, Other
Publication Timeline
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Most widely held works by Christian Pierdzioch
Noise trading, central bank interventions, and the informational content of foreign currency options by Christian Pierdzioch( Book )

8 editions published between 2001 and 2002 in English and German and held by 172 WorldCat member libraries worldwide

A flexible instrument to insure against adverse exchange rate movements is options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. The second part of the book studies how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period
Foreign capital and economic transformation : risks and benefits of free capital flows by Claudia M Buch( Book )

10 editions published in 1999 in English and German and held by 163 WorldCat member libraries worldwide

Globalisierung der Finanzmärkte: freier Kapitalverkehr oder Tobin-Steuer? by Claudia M Buch( Book )

5 editions published in 2001 in German and held by 55 WorldCat member libraries worldwide

Taxing short term capital flows : an option for transition economies? by Claudia M Buch( Book )

5 editions published in 1998 in English and held by 49 WorldCat member libraries worldwide

Real-time macroeconomic data and ex ante predictability of stock returns by Jörg Döpke( Book )

3 editions published in 2006 in English and held by 35 WorldCat member libraries worldwide

Real-time forecasting and political stock market anomalies : evidence for the U.S. by Martin T Bohl( Book )

3 editions published in 2006 in English and held by 34 WorldCat member libraries worldwide

Capital mobility, consumption substitutability, and the effectiveness of monetary policy in open economies by Christian Pierdzioch( Book )

10 editions published in 2002 in English and held by 29 WorldCat member libraries worldwide

This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods produced in different countries plays a central role for the impact of international capital mobility on the effectiveness of monetary policy. Paralleling the results of the traditional Mundell-Fleming model, a higher degree of international capital mobility increases the effectiveness of monetary policy only if the Marshall-Lerner condition, which is linked to the cross-country substitutability of goods, holds
Irreversibility, endogenous mean reversion, and the investment decision of a foreign firm by Christian Pierdzioch( Book )

8 editions published in 1998 in English and held by 28 WorldCat member libraries worldwide

Financial openness and business cycle volatility by Claudia M Buch( Book )

11 editions published between 2002 and 2005 in English and German and held by 27 WorldCat member libraries worldwide

This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility depends on the nature of the underlying shock. Empirical evidence supports this conclusion. Our results also show that the link between business cycle volatility and financial openness has not been stable over time
Stock market dispersion, sectoral shocks, and the German business cycle by Jörg Döpke( Book )

9 editions published in 2000 in English and held by 27 WorldCat member libraries worldwide

What can the ECB learn from Bundesbank interventions? : evidence on the link between exchange rate volatility and interventions by Jörg Döpke( Book )

9 editions published in 1999 in English and held by 27 WorldCat member libraries worldwide

Feedback trading and predictability of stock returns in Germany, 1880-1913 by Christian Pierdzioch( Book )

8 editions published in 2004 in English and held by 27 WorldCat member libraries worldwide

The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis by Christian Pierdzioch( Book )

9 editions published in 2000 in English and held by 26 WorldCat member libraries worldwide

The effectiveness of the foreign exchange market interventions conducted by the Deutsche Bundesbank during the Louvre period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims valuation framework allowing to highlight the implications of infrequent interventions for the valuation of options on foreign currency is constructed. The impact of interventions on FX option premia in a regime characterized by infrequent interventions and implicit intervention thresholds and in a pure managed float system is analyzed. A multifactor success criterion is developed to assess the effectiveness of the forex interventions of the Bundesbank empirically within the context of a qualitative dependent variable model
Noise traders' trigger rates, FX options, and smiles by Christian Pierdzioch( Book )

9 editions published in 2000 in English and held by 26 WorldCat member libraries worldwide

A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected aggregate net volume and direction of standing orders executed when the exchange rate reaches certain implicit price barriers triggering program traders to reallocate financial wealth. The valuation framework allows to endogenously reproduce the characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for implicit price barriers in foreign exchange markets is employed to examine whether empirical evidence supports the barriers hypothesis of the volatility strike structure proposed in the paper
Komplexe Aktien- und Wechselkursdynamik in einem makroökonomischen Modell mit heterogener Erwartungsbildung by Christian Pierdzioch( Book )

6 editions published in 1999 in German and held by 26 WorldCat member libraries worldwide

Productivity shocks and delayed exchange-rate overshooting by Christian Pierdzioch( Book )

11 editions published in 2004 in English and German and held by 26 WorldCat member libraries worldwide

Consumer preferences and the reliability of Euler equation tests of capital mobility : some simulation-based evidence by Claudia M Buch( Book )

9 editions published in 2002 in English and German and held by 25 WorldCat member libraries worldwide

Politics and the stock market : evidence from Germany by Jörg Döpke( Book )

10 editions published in 2004 in English and German and held by 25 WorldCat member libraries worldwide

Financial market integration and business cycle volatility in a monetary union by Christian Pierdzioch( Book )

11 editions published in 2002 in English and German and held by 25 WorldCat member libraries worldwide

This paper uses a dynamic general equilibrium two-country optimizing sticky-price model to analyze the consequences of international financial market integration for the propagation of asymmetric productivity shocks in a monetary union. The model implies that business cycle volatility is higher the more integrated the capital markets of the member countries of the monetary union are
Business cycle volatility in Germany by Claudia M Buch( Book )

10 editions published in 2002 in English and German and held by 25 WorldCat member libraries worldwide

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the case of the United States. In consequence, it is difficult to answer the question whether the decline in output volatility in Germany reflects good economic and monetary policy or merely "good luck"
 
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Audience level: 0.84 (from 0.72 for Noise trad ... to 0.91 for Globalisie ...)

Noise trading, central bank interventions, and the informational content of foreign currency options
Alternative Names
Christian Pierdzioch economist (Helmut Schmidt Universität Hamburg)

Christian Pierdzioch Wirtschaftswissenschaftler (Professur für Allgemeine Volkswirtschaftslehre; Helmut-Schmidt-Universität (HSU), 2011- ; tätig an der Saarland Univ., Dep. of Economics, Macroeconomics and Internat. Economics, Saarbrücken;tätig am Inst. für Weltwi...)

Pierdzioch, C.

Languages
English (143)

German (21)

Covers
Foreign capital and economic transformation : risks and benefits of free capital flows