25 Years IWH

Professor Dr Dominik Maltritz

Current Position

since 2/12

Research Professor

Halle Institute for Economic Research (IWH) – Member of the Leibniz Association

since 2/10

Professor of International Economics

University of Erfurt

Research Interests

  • financial crises

Professor Dominik Maltritz is Professor of International Economics at the University of Erfurt. His cooperation with the IWH deals with the interconnectedness of different types of financial crises and the implications for forecasting and preventing future crises.

On this website, publications resulting from cooperation with the IWH are listed. A complete list of publications is available on the author's website.

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Professor Dr Dominik Maltritz
Mitglied - Department Macroeconomics
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Publications

Modelling Country Default Risk as a Latent Variable: A Multiple Indicators Multiple Causes Approach

A. Bühn Stefan Eichler Dominik Maltritz

in: Applied Economics , No. 36, 2012

Abstract

We study the determinants of country default risk by applying a Multiple Indicators Multiple Causes (MIMIC) model. This accounts for the fact that country default risk is an unobservable variable. Whereas existing (regression-based) approaches typically use only one of several possible country default risk indicators as the dependent variable, the MIMIC model enables us to consider several indicators at once. The simultaneous consideration of sovereign yield spreads and Standard and Poor (S&P) ratings may help to improve the identification of the latent country default risk. Our results confirm most of the literature's main findings regarding important determinants of country default risk, refute others and provide new evidence to controversial questions.

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An Options-based Approach to Forecast Competing Bids: Evidence for Canadian Takeover Battles

Stefan Eichler Dominik Maltritz

in: Applied Economics , No. 34, 2013

Abstract

During takeover battles, a tender offer provides a call option right to the target’s shareholders: it guarantees the offered price but maintains the chance of a higher offer. We present an options-based approach to estimate the probability and expected value of higher competing takeover bids using target stock price data. Analysing Canadian takeover battles in the period 1997 to 2007 we find that during the 5 trading days prior to the occurrence of an increased takeover bid, the estimated probability of a higher bid exceeds 80% on average and the expected value of a potential competing bid almost matches the realized value.

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Currency Crises and the Stock Market: Empirical Evidence for Another Type of Twin Crisis

Stefan Eichler Dominik Maltritz

in: Applied Economics , No. 29, 2011

Abstract

We explore the dependency between currency crises and the stock market in emerging economies. Our focus is two-fold. First, the risk of a currency crisis rises as the foreign stake in the domestic stock market increases. Successful economies with high capital flows into their booming stock markets especially are prone to stock market-induced currency crises. Second, we apply the dividend growth model to show that stock markets crash in the run-up to a currency crisis. This new type of twin crisis is empirically tested by employing a logit framework using quarterly data for 33 emerging economies for 1994Q1–2007Q4.

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Working Papers

Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach: The Case of Kazakhstan

Stefan Eichler Alexander Karmann Dominik Maltritz

in: Discussion paper, Series 2: Banking and financial studies, No. 01/2010 , No. 1, 2010

Abstract

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum likelihood approach, we find for Kazakhstan that the overall crisis probability was mainly driven by short-term risk, which increased from 25% in March 2007 to 80% in December 2008. Concurrently, the long-term default risk increased from 20% to only 25% during the same period.

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