Key Publications

Below are selected publications of the members of the research group. You can find a complete list on the corresponding homepage of a group member. 


Christian Bauer

To Intervene, or Not to Intervene: Monetary Policy and the Costs of Currency Crises, Journal of International Money and Finance 51, 2015, 432-456 (mit Alexander Erler und Bernhard Herz).

Defending Against Speculative Attacks – It is Risky, but it Can Pay Off, Journal of Banking and Finance 47, 2014, 309-330 (mit Alexander Erler und Bernhard Herz).

Structured Eurobonds: Limiting Liability and Distributing Profits, Journal of Common Market Studies 52 (2), 2014, 250-267 (mit Bernhard Herz und Alexandra Hild).

Products of Non-Additive Measures: A Fubini-like Theorem, Theory and Decision 73 (4), 2012, 621-647.

Exchange Rate Dynamics in a Target Zone - A Heterogeneous Expectations Approach, Journal of Economic Dynamics and Control 33(2), 2009, 329-344 (mit Paul de Grauwe und Stefan Reitz).


Matthias Neuenkirch

State-Dependent Transmission of Monetary Policy in the Euro AreaJournal of Money, Credit and Banking, im Erscheinen (mit Jan Pablo Burgard und Matthias Nöckel). 

The Risk-Taking Channel of Monetary Policy Transmission in the Euro AreaJournal of Banking and Finance 93, 2018, 71-91 (mit Matthias Nöckel).

Forecast Uncertainty and the Taylor RuleJournal of International Money and Finance 77, 2017, 99-116 (mit Christian Bauer).

Central Bank Communication in the Financial Crisis: Evidence from a Survey of Financial Market ParticipantsJournal of International Money and Finance 59, 2015, 166-181 (mit Bernd Hayo).

Daily Pricing of Emerging Market Sovereign CDS before and during the Global Financial Crisis, Journal of Banking and Finance 36 (10), 2012, 2786-2794 (mit Ingo Fender und Bernd Hayo).


Marc Oliver Rieger 

Characterization of Acceptance Sets for Co-Monotone Risk-Measures, Insurance: Mathematics and Economics, 74, 2017, 147-152.

Comment on Cenci et al. (2015): Half-Full or Half-Empty? A Model of Decision Making Under Risk, Journal of Mathematical Psychology, 81, 2017, 110-113.

Estimating Cumulative Prospect Theory Parameters from an International Survey, Theory and Decision 82 (4), 2017, 567-596 (mit Mei Wang und Thorsten Hens).

Can Utility Maximization Explain the Demand for Structured Investment Products? Quantitative Finance 14(4), 2014, 673-681 (mit Thorsten Hens).

Risk Classes for Structured Products: Mathematical Aspects and Their Implications on Behavioral Investors, Annals of Finance 9 (2), 2013, 167-183 (mit Ji Cao).


Frank Seifried 

Optimal Expected Utility Risk Measures, Statistics & Risk Modeling 35 (1-2), 2018, 73-87 (mit Sebastian Geissel and Jörn Saß). 

Interbank Interest Rates: Funding Liquidity Risk and XIBOR Basis Spreads, Journal of Banking and Finance 78, 2017, 142-152 (mit Janek Gallitschke und Stefanie Seifried).

Hedging with Small Uncertainty Aversion, Finance and Stochastics 21 (1), 2017, 1-64 (mit Sebastian Herrmann und Johannes Muhle-Karbe).

Optimal Consumption and Investment with Epstein-Zin Recursive Utility, Finance and Stochastics 21 (1), 2017, 187-226 (mit Holger Kraft und Thomas Seiferling).

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility, Journal of Economic Theory 151, 2014, 528-550 (mit Holger Kraft).