Kerstin Bernoth

German Institute for Economic Research (DIW Berlin)

Economist

Mohrenstraße 58

Berlin, 10117

Germany

SCHOLARLY PAPERS

15

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Top 17,944

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3,621

SSRN CITATIONS
Rank 10,682

SSRN RANKINGS

Top 10,682

in Total Papers Citations

42

CROSSREF CITATIONS

74

Scholarly Papers (15)

1.

Sovereign Risk Premia in the European Government Bond Market

Number of pages: 39 Posted: 02 Dec 2004
Kerstin Bernoth, Jürgen von Hagen and Ludger Schuknecht
German Institute for Economic Research (DIW Berlin), University of Bonn - Institute of Economic Policy and European Central Bank (ECB)
Downloads 1,960 (10,387)
Citation 6

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asset pricing, determination of interest rates, fiscal policy, government debt

Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia

Number of pages: 40 Posted: 13 Jun 2006
Kerstin Bernoth and Guntram B. Wolff
German Institute for Economic Research (DIW Berlin) and Deutsche Bundesbank
Downloads 515 (69,410)
Citation 5

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risk premia, government bond yields, creative accounting, stock-flow adjustments, gimmickry, transparency

Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia

Number of pages: 56 Posted: 08 Jun 2016
Kerstin Bernoth and Guntram B. Wolff
German Institute for Economic Research (DIW Berlin) and Deutsche Bundesbank
Downloads 41 (536,997)

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Risk premia, government bond yields, creative accounting, stock-flow adjustments, gimmickry, transparency

Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia

Scottish Journal of Political Economy, Vol. 55, No. 4, pp. 465-487, September 2008
Number of pages: 23 Posted: 04 Aug 2008
Kerstin Bernoth and Guntram B. Wolff
German Institute for Economic Research (DIW Berlin) and Deutsche Bundesbank
Downloads 3 (815,011)
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3.

Drivers of Private Equity Investment in CEE and Western European Countries

DIW Berlin Discussion Paper No. 1002
Number of pages: 29 Posted: 13 Jul 2010
Kerstin Bernoth, Roberta Colavecchio and Magdolna Sass
German Institute for Economic Research (DIW Berlin), Banque centrale du Luxembourg and Hungarian Academy of Sciences (HAS) - Research Centre for Economic and Regional Studies (HAS)
Downloads 250 (157,017)
Citation 2

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Private Equity, Extreme Bounds Analysis, Central and Eastern European Countries

4.

Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach

DIW Berlin Discussion Paper No. 1078
Number of pages: 32 Posted: 28 Nov 2010
Kerstin Bernoth and Burcu Erdogan
German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 205 (189,530)
Citation 21

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sovereign bond spreads, fiscal policy, euro area, financial crisis, semiparametric time-varying coefficient model, nonparametric estimation

5.

The Forward Premium Puzzle Only Emerges Gradually

Number of pages: 19 Posted: 02 Mar 2007
Kerstin Bernoth, Jürgen von Hagen and Casper G. de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn - Institute of Economic Policy and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 140 (262,509)

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exchange rates, market efficiency, forward premium puzzle, uncovered interest parity, futures rates

6.

Forecasting the Fragility of the Banking and Insurance Sector

DIW Berlin Discussion Paper No. 882
Number of pages: 29 Posted: 12 Jul 2009
Kerstin Bernoth and Andreas Pick
German Institute for Economic Research (DIW Berlin) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 121 (293,059)
Citation 1

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Financial stability, financial linkages, banking, insurances, unobserved common factors, forecasting

7.

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

DIW Berlin Discussion Paper No. 1792 (2019)
Number of pages: 39 Posted: 27 Feb 2019
Kerstin Bernoth and Helmut Herwartz
German Institute for Economic Research (DIW Berlin) and University of Kiel - Institute of Statistics and Econometrics
Downloads 119 (296,583)
Citation 4

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Exchange rates, sovereign risk, foreign currency exposure, structural VAR

8.

Monetary Policy and Mispricing in Stock Markets

DIW Berlin Discussion Paper No. 1605
Number of pages: 51 Posted: 07 Sep 2016
Benjamin Beckers and Kerstin Bernoth
German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 93 (350,047)
Citation 2

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Asset pricing, bubbles, financial stability, leaning against the wind, mispricing, monetary policy, time-varying coefficient VAR, zero and sign restrictions

The Forward Premium Puzzle and Latent Factors Day by Day

DIW Berlin Discussion Paper No. 989
Number of pages: 40 Posted: 04 Jul 2010
Kerstin Bernoth, Jürgen von Hagen and Casper G. de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 32 (587,025)

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forward premium puzzle, futures rates, latent factor

The Forward Premium Puzzle and Latent Factors Day by Day

De Nederlandsche Bank Working Paper No. 246
Number of pages: 41 Posted: 22 Oct 2011
Kerstin Bernoth, Jürgen von Hagen and Casper G. de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 26 (626,611)

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forward premium puzzle, futures rates, latent factor

The Forward Premium Puzzle and Latent Factors Day by Day

Number of pages: 40 Posted: 12 Apr 2010
Kerstin Bernoth, Casper G. de Vries and Jürgen von Hagen
German Institute for Economic Research (DIW Berlin), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Bonn - Institute of Economic Policy
Downloads 5 (797,649)
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forward premium puzzle, futures rates, latent factor

10.

Estimating a Latent Risk Premium in Exchange Rate Futures

DIW Berlin Discussion Paper No. 1733
Number of pages: 46 Posted: 25 May 2018
Kerstin Bernoth, Jürgen von Hagen and Casper G. de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 42 (521,394)

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Forward premium puzzle, CCE estimation, futures rates, latent risk

11.

Currency Futures' Risk Premia and Risk Factors

DIW Berlin Discussion Paper No. 1866
Number of pages: 43 Posted: 04 May 2020
Kerstin Bernoth, Jürgen von Hagen and Casper de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR)
Downloads 38 (540,901)

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Forward premium puzzle, uncovered interest parity, futures rates, risk premium, currency excess returns, capital asset pricing model

12.

Sovereign Risk Premia in the European Bond Market

Number of pages: 33 Posted: 05 Aug 2004
Kerstin Bernoth, Ludger Schuknecht and Jürgen von Hagen
German Institute for Economic Research (DIW Berlin), European Central Bank (ECB) and University of Bonn - Institute of Economic Policy
Downloads 29 (590,117)
Citation 1
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Asset pricing, determination of interest rates, fiscal policy, government debt

13.

Did Fiscal Policy Makers Know What They Were Doing? Reassessing Fiscal Policy with Real Time Data

Number of pages: 35 Posted: 10 Jun 2008
Kerstin Bernoth, Andrew J. Hughes and John Lewis
German Institute for Economic Research (DIW Berlin), Cardiff Business School and De Nederlandsche Bank - Econometric Research and Special Studies
Downloads 2 (790,682)
Citation 2
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Discretion, Fiscal Policy, Real Time Data

14.

The Term Structure of Currency Futures' Risk Premia

Bernoth, Kerstin, de Vries, G. Casper and von Hagen, Jürgen (2021): "The term structure of currency futures’ risk premia", Journal of Money, Credit and Banking, 2021, available online DOI: 10.1111/jmcb.12872
Number of pages: 40
Kerstin Bernoth, Jürgen von Hagen and Casper de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR)
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forward premium puzzle, uncovered interest parity, futures rates, price of risk, currency excess returns, capital asset pricing model

15.

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

Journal of International Money and Finance, Vol. 117, 2021
Number of pages: 43
Kerstin Bernoth and Helmut Herwartz
German Institute for Economic Research (DIW Berlin) and University of Kiel - Institute of Statistics and Econometrics
Downloads 0

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Exchange rates Sovereign risk, Foreign currency exposure, Structural VAR, Emerging Market, Data-based identification