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  • ddc:330  (152,496)
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  • 1
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    Kiel: Kiel University, Department of Economics
    Publication Date: 2017-10-05
    Description: Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering) of financial markets have a possible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often limits the analytical approach to the dynamics of these models. In this paper we show that even a very simple model of a financial market with heterogeneous interacting agents is capable of reproducing realistic statistical properties of returns, in close quantitative accordance with the empirical analysis. The simplicity of the system also permits some analytical insights using concepts from statistical mechanics and physics. In our model, the traders are divided into two groups : fundamentalists and chartists, and their interactions are based on a variant of the herding mechanism introduced by Kirman [22]. The statistical analysis of our simulated data shows long-term dependence in the auto-correlations of squared and absolute returns and hyperbolic decay in the tail of the distribution of the raw returns, both with estimated decay parameters in the same range like empirical data. Theoretical analysis, however, excludes the possibility of ’true’ scaling behavior because of the Markovian nature of the underlying process and the finite set of possible realized returns. The model, therefore, only mimics power law behavior. Similarly as with the phenomenological volatility models analyzed in LeBaron [25], the usual statistical tests are not able to distinguish between true or pseudo-scaling laws in the dynamics of our artificial market.
    Keywords: G12 ; C61 ; ddc:330 ; Speculative Dynamics ; Fat Tails ; Volatility Clustering ; Herd Behavior ; Kapitalertrag ; Börsenkurs ; Finanzmarkt ; Noise Trading ; Devisenspekulation ; Mikrostrukturanalyse ; Anlageverhalten ; Zeitreihenanalyse ; Theorie
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 2
    Publication Date: 2017-08-04
    Description: The paper uses a unique dataset comprising a population of new ventures that enter the UK market in 1998. The data comprises services as well as manufacturing industries. The central hypothesis is that new ventures are differently affected by industry competition and growth in dynamic compared to static markets. Estimation of a hazard function supports this hypothesis. In dynamic markets the survival of new ventures is increasing in industry concentration and decreasing in growth. The same is not true for static markets. The results shed new insights into the dynamics of entrants and highlight some important effects for competition policy.
    Keywords: L11 ; M13 ; ddc:330 ; Start-ups ; Survival ; Tubulence ; Dynamic markets ; New firms ; Unternehmensgründung ; Unternehmensentwicklung ; Industrieökonomik ; Schätzung ; Großbritannien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 3
    Publication Date: 2017-10-05
    Description: We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions of up to 100 days ahead. In most respects, the long memory models (ARFIMA, FIGARCH and the recently introduced multifractal model) dominate over GARCH and ARMA models. However, while FIGARCH and ARFIMA also have quite a number of cases with dramatic failures of their forecasts, the multifractal model does not suffer from this shortcoming and its performance practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also find that, for FIGARCH and ARFIMA models, pooled estimates (i.e. averages of parameter estimates from a sample of time series) give much better results than individually estimated models.
    Keywords: C53 ; G12 ; C22 ; ddc:330 ; Long memory models ; Volume ; Volatility ; Forecasting ; Börsenkurs ; Volatilität ; Börsenumsatz ; Prognoseverfahren ; Zeitreihenanalyse ; Schätzung ; Aktienmarkt ; Japan
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 4
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    Kiel: Kiel University, Department of Economics
    Publication Date: 2017-10-05
    Description: Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power law characterizing the distribution of large returns. A similarly robust feature is long-range dependence in volatility (i.e., hyperbolic decline of its autocorrelation function). The recent literature adds temporal scaling of trading volume and multi-scaling of higher moments of returns. Increasing awareness of these properties has recently spurred attempts at theoretical explanations of the emergence of these key characteristics form the market process. In principle, different types of dynamic processes could be responsible for these power-laws. Examples to be found in the economics literature include multiplicative stochastic processes as well as dynamic processes with multiple equilibria. Though both types of dynamics are characterized by intermittent behavior which occasionally generates large bursts of activity, they can be based on fundamentally different perceptions of the trading process. The present chapter reviews both the analytical background of the power laws emerging from the above data generating mechanism as well as pertinent models proposed in the economics literature.
    Keywords: ddc:330 ; Finanzmarkt ; Börsenkurs ; Kapitalertrag ; Theorie ; Zeitreihenanalyse ; Welt
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 5
    Publication Date: 2017-10-05
    Description: This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510 – 541) we investigate a dynamic version of the model in which agents? decision rules are updated using genetic algorithms. Our main interest is in whether the equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates (unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated data indicates that for particular parameterizations, the characteristics of the exchange rate dynamics are, in fact, very similar to those of empirical data. The similarity appears to be quite insensitive with respect to some of the ingredients of the GA algorithm (i.e. utility-based versus rank-based or tournament selection, binary or real coding). However, appearance or not of realistic time series characteristics depends crucially on the mutation probability (which should be low) and the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses its realistic appearance and instead exhibits regular periodic oscillations of the agents? choice variables.
    Keywords: D83 ; F31 ; D84 ; ddc:330 ; learning ; genetic algorithms ; exchange rate dynamics ; Wechselkurs ; Volatilität ; Monetäre Wechselkurstheorie ; Overlapping Generations ; Zwei-Länder-Modell ; Lernprozess ; Heuristisches Verfahren ; Zeitreihenanalyse ; Theorie
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 6
    Publication Date: 2017-08-28
    Description: Die Arbeit untersucht mittels IAB-Beschäftigtenstichprobe, Sozioökonomischem Panel und Informationen über tödliche Arbeitsunfälle die Existenz kompensatorischer Lohndifferentiale zur Bestimmung desWertes eines statistischen Lebens (WSL) in Deutschland. Querschnittsregressionen auf Basis aller Erwerbstätigen ergeben mit 7,4 (IABS) bzw. 3,5 (SOEP) Mio. – WSL-Schätzungen in der Grö?enordnung von querschnittsbasierten US-Studien. Zur Berücksichtigung individueller Heterogenität werden Panelregressionen durchgeführt, die zu einem geringeren WSL (3,0 bzw. 2,3 Mio. ?) führen und damit auf eine Verzerrung der Querschnittsschätzungen (national und international) hinweisen. Zusätzliche (Differenzen-)Schätzungen auf Basis von Berufswechslern bestätigen die Panelergebnisse. Die ermittelten WSL können in Kosten-Nutzen-Analysen von staatlichen Projekten zur Reduktion von Todesrisiken in Gesundheits-, Verbraucherschutz-, Umwelt-, Verkehrs- und Kriminalpolitik eingesetzt werden.
    Keywords: K00 ; I10 ; J28 ; J31 ; J17 ; ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: German
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  • 7
    Publication Date: 2017-08-04
    Description: The increased importance of knowledge as a source of competitiveness for modern economies suggests that the organization of industries most conducive to innovative activity and unrestrained competition will be linked to higher growth rates. Entrepreneurial activity is generally assumed to be an important aspect of this organization. In the present paper we investigate whether a new and promising concept, Total Entrepreneurial Activity, influences GDP growth for 36 countries in a recent period. We will also test whether this influence depends upon the level of economic development measured as GDP per capita. With this test we aim to investigate to what extent the role of entrepreneurship has changed in the last decades of the 20th century. Although the limited number of observations does not allow for many competing explanatory variables, we will examine the role of the so-called Growth Competitiveness Index. This variable captures a range of alternative explanations for achieving sustained economic growth. In addition, we incorporate the initial level of economic development to correct for convergence. We find that entrepreneurial activity indeed affects economic growth, but that this effect depends upon the level of per capita income. This suggests that entrepreneurship plays a different role in countries in different stages of economic development.
    Keywords: M13 ; L16 ; ddc:330 ; Entrepreneurship ; economic growth ; economic development ; Unternehmer ; Wirtschaftswachstum ; Vergleich ; Welt
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 8
    Publication Date: 2017-08-04
    Description: This paper examines the relationship between business dynamics (entry and exit of firms) and employment growth at the country-industry level. We use a cross-country data set with harmonized data on numbers of entries and exits for a selection of fast-growing and innovative industries in six developed economies. In our regression analysis we allow for separate effects of both the extent of business dynamics (volatility of firms) and the composition of business dynamics (net-entry of firms). We also test for the existence of an 'optimal' level of business volatility, possibly indicating that entry and exit levels are too high in certain industries. We find positive employment effects of net-entry rates, both for manufacturing industries and for services industries. Regarding volatility, we find a positive effect for manufacturing but no significant effect for services. This implies that different government policies may be required to achieve growth in these sectors. We find no evidence for an 'optimal' level of business volatility.
    Keywords: M13 ; L10 ; O57 ; J23 ; ddc:330 ; business dynamics ; employment growth ; enterpreneurship ; Markteintritt ; Marktaustritt ; Beschäftigungseffekt ; Verarbeitendes Gewerbe ; Unternehmensdienstleistung ; Belgien ; Dänemark ; Deutschland ; Japan ; Niederlande ; USA
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 9
    Publication Date: 2017-08-04
    Description: In our analysis of the impact of new business formation on regional employment change we identified considerable time lags. We investigated the structure and extent of these time lags by applying the Almon lag model and found that new firms can have both a positive and a negative effect on regional employment. The results indicate that the indirect effects of new business formation (crowding-out of competitors, improvement of supply conditions and improved competitiveness) are of greater magnitude than the direct effect, i.e. the jobs that are created in the new entities. The peak of the positive impact of new businesses on regional development is reached about eight years after entry.
    Keywords: R11 ; O18 ; O1 ; M13 ; ddc:330 ; Regional growth ; new businesses ; entrepreneuship ; time lags ; Unternehmensgründung ; Unternehmer ; Regionale Entwicklung ; Lag-Modell ; Schätzung ; Deutschland
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 10
    Publication Date: 2017-08-04
    Description: This paper examines how Sweden and the United States have been impacted by philanthropic activities, commercialization of university-based knowledge and international entrepreneurship. The analysis comprises a detailed case study of Swedish and U.S. universities, as well as a statistical analysis of the impact of philanthropy on economic growth. The results show that the United States has prompted a university system based on competition and variety, with an emphasis on philanthropy, promoting knowledge creation. International entrepreneurship has been an important mechanism by which this knowledge is globalized leading to increased economic growth. Conversely, Swedish universities were characterized by less commercialized R&D and weak links to the commercial sector, rooted traditionally in dependence on tax -financed and homogenous university structure. The Swedish model has begun to change with important implications for development in smaller domestic markets. The analysis has important implications for knowledge creation as a source of economic growth through international entrepreneurship taking advantage of globalization, especially for smaller countries.
    Keywords: ddc:330 ; Unternehmer ; Multinationales Unternehmen ; Hochschulfinanzierung ; Sponsoring ; Wohltätigkeit ; Forschungskooperation ; Wirtschaftswachstum
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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