Christoph Meinerding

Deutsche Bundesbank

Research Centre

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

15

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Top 22,045

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2,709

SSRN CITATIONS

8

CROSSREF CITATIONS

4

Scholarly Papers (15)

1.

GMM Weighting Matrices in Cross-Sectional Asset Pricing Tests

Number of pages: 58 Posted: 21 Nov 2017 Last Revised: 27 Jan 2021
Nora Laurinaityte, Christoph Meinerding, Christian Schlag and Julian Thimme
Bank of Lithuania, Deutsche Bundesbank, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 664 (47,484)
Citation 1

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Asset pricing, cross-section of expected returns, GMM, factor zoo

2.

The Dynamics of Crises and the Equity Premium

SAFE Working Paper No. 11
Number of pages: 48 Posted: 02 Jul 2010 Last Revised: 20 May 2015
Nicole Branger, Holger Kraft and Christoph Meinerding
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 510 (66,302)
Citation 5

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General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models

3.

Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization

SAFE Working Paper No. 28
Number of pages: 42 Posted: 02 Jul 2010 Last Revised: 27 Aug 2013
Nicole Branger, Holger Kraft and Christoph Meinerding
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 339 (107,137)
Citation 2

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Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes

Investment-Specific Shocks, Business Cycles, and Asset Prices

Number of pages: 59 Posted: 11 Jun 2015 Last Revised: 20 Dec 2017
University of Siena - Department of Economics and Statistics, University of Brescia, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER) and Deutsche Bundesbank
Downloads 235 (156,242)

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General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks

Investment-Specific Shocks, Business Cycles, and Asset Prices

SAFE Working Paper No. 129
Number of pages: 36 Posted: 14 Mar 2016
University of Siena - Department of Economics and Statistics, University of Brescia, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER) and Deutsche Bundesbank
Downloads 85 (352,795)

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General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks, Nominal Rigidities

5.

Asset Pricing Under Uncertainty About Shock Propagation

SAFE Working Paper No. 34
Number of pages: 67 Posted: 28 Nov 2013 Last Revised: 25 Mar 2014
University of Muenster - Finance Center Muenster, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER), Goethe University Frankfurt, Deutsche Bundesbank and Goethe University Frankfurt
Downloads 283 (130,120)

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General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility

6.

Extreme Inflation and Time-Varying Expected Consumption Growth

Number of pages: 65 Posted: 02 Sep 2016 Last Revised: 03 Mar 2021
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Australian National University (ANU), Deutsche Bundesbank and Goethe University Frankfurt
Downloads 225 (163,477)
Citation 1

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Long-run risk, inflation, recursive utility, filtering, disaster risk

7.
Downloads 137 (251,844)
Citation 2

Identifying Indicators of Systemic Risk

Number of pages: 42 Posted: 17 Aug 2019 Last Revised: 03 Mar 2021
Benny Hartwig, Christoph Meinerding and Yves Stephan Schüler
Goethe University Frankfurt, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 79 (368,857)
Citation 2

Abstract:

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Systemic risk, macroprudential regulation, forecasting, growth-at-risk, financial cycles

Identifying Indicators of Systemic Risk

Deutsche Bundesbank Discussion Paper No. 33/2020
Number of pages: 59 Posted: 30 Jun 2020
Benny Hartwig, Christoph Meinerding and Yves S. Schüler
Goethe University Frankfurt, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 58 (436,372)

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systemic risk, macroprudential regulation, forecasting, growth-at-risk, financial cycles

8.

Shocks to Transition Risk

Number of pages: 32 Posted: 19 Aug 2020
Christoph Meinerding, Yves Stephan Schüler and Philipp Zhang
Deutsche Bundesbank, Deutsche Bundesbank and University of Zurich - Department of Economics
Downloads 133 (257,656)

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transition risk, climate change, financial stability, portfolio sort, textual analysis

9.

Equilibrium Asset Pricing in Directed Networks

Deutsche Bundesbank Discussion Paper No. 37/2018
Number of pages: 47 Posted: 26 Sep 2018 Last Revised: 21 Feb 2019
University of Muenster - Finance Center Muenster, Deutsche Bundesbank, BI Norwegian Business School and Goethe University Frankfurt
Downloads 54 (444,494)

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directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

10.

GMM Weighting Matrices In Cross-Sectional Asset Pricing Tests

Deutsche Bundesbank Discussion Paper No. 62/2020
Number of pages: 41 Posted: 16 Dec 2020
Nora Laurinaityte, Christoph Meinerding, Christian Schlag and Julian Thimme
Bank of Lithuania, Deutsche Bundesbank, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 26 (576,310)

Abstract:

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Asset pricing, cross-section of expected returns, GMM, factor zoo

11.

Extreme Inflation and Time-Varying Consumption Growth

Deutsche Bundesbank Discussion Paper No. 16/2019
Number of pages: 57 Posted: 16 Apr 2019
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Australian National University (ANU), Deutsche Bundesbank and Goethe University Frankfurt
Downloads 18 (629,416)

Abstract:

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long-run risk, inflation, recursive utility, filtering, disaster risk

12.

Equilibrium Asset Pricing in Directed Networks

Review of Finance, Forthcoming, Finance Down Under 2016 Building on the Best from the Cellars of Finance, SAFE Working Paper No. 74
Posted: 11 Nov 2014 Last Revised: 18 Jan 2021
University of Muenster - Finance Center Muenster, BI Norwegian Business School, Deutsche Bundesbank and Goethe University Frankfurt

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Directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

13.

Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations

Review of Financial Economics, Vol. 22, Issue 1, January 2013, 36-46
Posted: 25 Nov 2011 Last Revised: 15 Apr 2013
Patrick Konermann, Christoph Meinerding and Olga Sedova
BI Norwegian Business School, Deutsche Bundesbank and University of Muenster - Finance Center Muenster

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Asset Allocation, Portfolio Choice, Contagion, Systemic Risk, Regime Switching

14.

Asset Allocation and Asset Pricing in the Face of Systemic Risk: A Literature Overview and Assessment

International Journal of Theoretical and Applied Finance, Forthcoming
Posted: 23 Feb 2011 Last Revised: 06 Sep 2011
Christoph Meinerding
Deutsche Bundesbank

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Asset Pricing, Asset Allocation, Systemic Risk

15.

What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?

Insurance: Mathematics and Economics, Vol. 45, No. 1, 2009
Posted: 17 Mar 2008 Last Revised: 06 Sep 2011
Nicole Branger, Holger Kraft and Christoph Meinerding
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Deutsche Bundesbank

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Asset Allocation, Jumps, Contagion, Model Risk