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  • ddc:330  (46,155)
  • 2015-2019  (45,979)
  • 1945-1949  (176)
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  • 1
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    Stuttgart: Universität Hohenheim, Fakultät Wirtschafts- und Sozialwissenschaften
    Publication Date: 2018-06-19
    Description: This paper examines the role of the sociocultural background of students for choosing STEM fields in university. We combine rich survey data on university graduates in Switzerland with municipality level information from the census as well as nationwide elections and referenda to characterize a students home environment with respect to religious and political attitudes towards gender equality and science-related issues. Our empirical estimates are based on a structural Roy model which accounts for differences in costs (relative distance to the next technical university) and earnings across majors as well as for selection bias. Our findings suggest that male students from conservative municipalities are more likely to study a STEM field, whereas the sociocultural background plays little role for the major choice of females.
    Keywords: I20 ; C81 ; ddc:330 ; Choice of field of study ; Gender differences ; Selection bias ; Sociocultural environment ; STEM fields
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 2
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    Annandale-on-Hudson, NY: Levy Economics Institute of Bard College
    Publication Date: 2018-07-03
    Description: Emerging market economies are taking an ill-targeted and far too limited approach to addressing their ongoing problems with the international financial system, according to Senior Scholar Jan Kregel. In this policy brief, he explains why only a wholesale reform of the international financial architecture can adequately address these countries' concerns. As a blueprint for reform, Kregel recommends a radical proposal advanced in the 1940s, most notably by John Maynard Keynes. Keynes was among those who were developing proposals for shaping the international financial system in the immediate postwar period. His clearing union plan, itself inspired by Hjalmar Schacht's system of bilateral clearing agreements, would have effectively eliminated the need for an international reserve currency. Under Keynes's clearing union, trade and other international payments would be automatically facilitated through a global clearinghouse, using debits and credits denominated in a notional unit of account. The unit of account would have a fixed conversion rate to national currencies and could not be bought, sold, or traded - meaning no market for foreign currency would be required. Clearinghouse credits could only be used to offset debits by buying imports, and if not used within a specified period of time, the credits would be extinguished, giving export surplus countries an incentive to spend them. As Kregel points out, this would help support global demand and enable a shared adjustment burden. [...]
    Keywords: ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 3
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    Bonn: University of Bonn, Center for Development Research (ZEF)
    Publication Date: 2018-06-27
    Description: This paper deals with the role of regional trade in fostering the resilience of domestic food markets. Using country production and trade data from FAOSTAT database, a series of simple indicators are calculated that shed light on the potential for domestic markets stabilization through trade among African countries within Regional Economic Communities, including the Common Market for Eastern and Southern Africa (COMESA), the Economic Community of West African States (ECOWAS), and the Southern African Development Community (SADC). A regional, economy-wide multimarket model is then used to simulate changes in current productivity levels and trade costs. The findings reveal that it is possible to significantly boost the pace of regional trade expansion and thus its contribution to creating more resilient domestic food markets through modest reduction in the overall cost of trading, a similarly modest increase in crop yields, or the removal of barriers to trans-border trade.
    Keywords: F14 ; F17 ; Q17 ; Q18 ; ddc:330 ; production volatility ; cross-border trade ; domestic food market stabilization ; regional integration
    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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    Bonn: University of Bonn, Center for Development Research (ZEF)
    Publication Date: 2018-06-27
    Description: Ethiopia's energy sector faces critical challenges to meeting steadily increasing demand given limited infrastructure, heavy reliance on hydroelectric power, and underdevelopment of alternative energy resources. The main aim of this paper is to investigate an optimal least cost investment decisions for integrated energy source diversification. We seek to contribute to the relevant literature by paying particular attention to the role of public policy for promoting renewable energy investment and to better understand future energy security implication of various uncertainties. Dynamic linear programming model created using General Algebraic Modelling Systems (GAMS) software was used to explore the national energy security implications of uncertainties associated with technological and efficiency innovations, and climate change or drought scenarios. To cope with the impacts of drought on hydroelectric power production Ethiopia would need to invest in the development of alternative energy resources. This would improve sustainability and reliability, but these changes would also increase production costs. But greater technical and efficiency innovations found to improve electricity diversification, reduce production costs and shadow prices or resources scarcity; and are, thus, key for reducing the risks posed by drought and for enhancing energy security.
    Keywords: Q40 ; Q41 ; Q42 ; Q47 ; ddc:330 ; energy security ; energy sector model ; climate change ; renewable energy ; technological innovation ; energy efficiency ; Ethiopia
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 5
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    Regensburg: Institut für Ost- und Südosteuropaforschung (IOS)
    Publication Date: 2018-06-22
    Description: The paper studies financing constraints for R&D over the latest boom and bust episode in Central and Eastern Europe (CEE). Given that financial and venture capital markets in CEE are thin in comparison to those in high-income economies and that many of CEE countries experienced a credit crunch during the last recession, it is proposed that financing constraints have a significant adverse effect on R&D activity in these countries. The paper uses two complementary firm-level data-sources from ten CEE countries. The results suggest that the role of financing constraints for R&D expenditures in CEE countries is substantial, as the probability of credit constrained firms undertaking R&D activities is around 70% lower and firms' R&D expenditure cash flow sensitivity is very high. Despite the severity of the crisis, the adverse effect of financing constraints for R&D did not increase in the financial crisis. It is also confirmed that, conditional on credit constraints, firms' R&D activity is higher in a recession.
    Keywords: O16 ; O32 ; O52 ; E32 ; P23 ; ddc:330 ; R&D financing constraints ; credit constraints ; business cycle ; Central and Eastern Europe
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 6
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    Elmshorn: Nordakademie - Hochschule der Wirtschaft
    Publication Date: 2018-06-25
    Description: Controller scheinen sich untereinander oft mit der Frage zu beschäftigen, welche Rolle sie in Unternehmen spielen und welche Aufgaben von ihnen zu erledigen sind. Der vorliegende Beitrag beobachtet diese Diskussion zum einen vom Standpunkt eines Außenstehenden aus und zum anderen aus einer systemtheoretischen Perspektive. Ausgehend von der Frage, inwieweit Controlling angesichts von Komplexität, daraus folgender Selbstreferenz und operativer Geschlossenheit sozialer Systeme überhaupt möglich ist, werden systemische Interventionskonzepte vorgestellt, die schließlich auch zu einer Positionierung des Controllings in Organisationen beitragen können.
    Keywords: 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
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    Regensburg: Institut für Ost- und Südosteuropaforschung (IOS)
    Publication Date: 2018-06-22
    Description: Using a stochastic frontier model and a comprehensive dataset, we study factors that affect corporate efficiency in Europe. We find that (i) larger firms are less efficient than smaller firms, (ii) greater leverage contributes to corporate efficiency, and (iii) high competition is less conductive to efficiency than moderate or low competition. In terms of ownership, we find that (iv) efficiency increases when a majority owner must deal with minority shareholders and that (v) domestic majority owners improve efficiency more than foreign majority owners when no minority shareholders are present, but (vi) the opposite is true when minority shareholders hold a substantial fraction of the firm´s equity. In the analysis, we distinguish between a pre-crisis period (2001-2008) and a post-crisis period (2009-2011), and find that our results are sensitive to the period of observation.
    Keywords: C33 ; D24 ; G32 ; L60 ; L80 ; M21 ; ddc:330 ; efficiency ; ownership structure ; firms ; panel data ; stochastic frontier ; Europe
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 8
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    Frankfurt a. M.: Deutsche Bundesbank
    Publication Date: 2018-07-03
    Description: The euro area crisis is often linked to the emergence of current account imbalances. As most of the deficit countries experienced pronounced credit booms at the same time that these imbalances were building up, this paper investigates the link between domestic credit developments and the current account balance, distinguishing between a credit pull and a credit push factor. The pull factor captures flows of bank loans to the domestic non-financial private sector. An increase in these flows is expected to lead to higher domestic demand and a deterioration of the current account. The push factor measures flows of claims of domestic banks on debtors in other euro-area countries, and an increase is expected to lead to higher external demand and an improvement in the current account. Using a panel error correction specification, the estimation results confirm that the pull factor is a significant determinant of the current account, whereas the results for the push factor are less clear-cut. The paper also shows that variations in the flows of bank loans to the non-financial private sector (i.e. the pull factor) - together with changes in competitiveness - constituted the most important factor driving the build-up of current account imbalances in the deficit countries. Accordingly, impeding an increase in private sector indebtedness seems to be a promising way to dampen the formation of unsustainable current account imbalances.
    Keywords: E5 ; F32 ; F45 ; ddc:330 ; banks ; credit growth ; current account imbalances ; euro area ; Bank ; Kreditgeschäft ; Leistungsbilanz ; Eurozone
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 9
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    Frankfurt a. M.: Deutsche Bundesbank
    Publication Date: 2018-07-03
    Description: Using German income distribution in 2009, this paper studies the redistributive and revenue effects of bracket creep under various inflation scenarios. We develop a tax micro-simulation model for the newly available Panel on Household Finance (PHF) data. The simulation yields an inverted U-shaped overall redistributive effect of the income tax and social insurance contribution system with respect to the inflation rate, which contrasts with Immervoll (2005) who finds that fiscal drag always enhances the equalising effect. The nominal income growth as well as the deterioration of tax progression at the middle and top of the income distribution between 1998 and 2009 can be the impetus for this change. This result implies that delaying adjustment might reduce redistribution. We also suggest that these results might not be restricted solely to Germany. Additionally, when we introduce the empirical evidence that capital income grows faster than non-capital income 􀝎 〉 􀝃, the dual tax system with a flat capital income tax implemented in 2009 further disequalises the after-tax income substantially. Allowing inflation compensation to lean towards the poor by boosting their share of capital income may not be favourable to redistribution.
    Keywords: C81 ; H24 ; D31 ; H23 ; ddc:330 ; Inflation ; Fiscal Drag ; Progressivity of Income Tax ; Income Distribution ; Microsimulation ; Capital income taxation
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 10
    Publication Date: 2018-06-26
    Keywords: 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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  • 11
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    Halle (Saale): Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
    Publication Date: 2018-06-21
    Description: We study the impact of the interaction between fiscal and monetary policy on the low-frequency relationship between the fiscal stance and inflation using cross-country data from 1965 to 1999. In a first step, we contrast the monetary-fiscal narrative for Germany, the U.S. and Italy with evidence obtained from simple regression models and a time-varying VAR. We find that the low-frequency relationship between the fiscal stance and inflation is low during periods of an independent central bank and responsible fiscal policy and more pronounced in times of high fiscal budget deficits and accommodative monetary authorities. In a second step, we use an estimated DSGE model to interpret the low-frequency measure structurally and to illustrate the mechanisms through which fiscal actions affect inflation in the long run. The findings from the DSGE model suggest that switches in the monetary-fiscal policy interaction and accompanying variations in the propagation of structural shocks can well account for changes in the low-frequency relationship between the fiscal stance and inflation.
    Keywords: E42 ; E58 ; E61 ; ddc:330 ; time-varying VAR ; inflation ; public deficits
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 12
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    London (Ontario): The University of Western Ontario, Department of Economics
    Publication Date: 2018-06-19
    Description: Osborne and Rubinstein (1994) specify each node in a game tree as a sequence of actions. It is well-known that such actions can be replaced by choices (i.e. agent-specific actions) without loss of generality. I find that this sequential formulation is redundant in the sense that nodes can be equivalently specified as sets of choices. The only cost of doing so is to rule out absent-mindedness. My analysis encompasses both ordered and unordered information sets and both finite and infinite horizons. (This specification of nodes as sets of choices differs from the literature's specification of nodes as sets of outcomes.)
    Keywords: ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 13
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    Essen: Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
    Publication Date: 2018-06-26
    Keywords: ddc:330 ; Klimapolitik ; Klimaschutz ; Regionalpolitik ; Nordrhein-Westfalen
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: German
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  • 14
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    Essen: Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
    Publication Date: 2018-06-26
    Keywords: ddc:330 ; Rehabilitation ; Gesetzliche Rentenversicherung ; Bewertung ; Deutschland
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: German
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  • 15
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    London (Ontario): The University of Western Ontario, Economic Policy Research Institute (EPRI)
    Publication Date: 2018-06-19
    Description: We construct a unique panel of retail food prices in 69 Canadian and 51 U.S. cities during the Interwar (1920-40) period. Surprisingly, we find that average relative price dispersion across cities within Canada and the U.S., and the role of distance in accounting for cross-city price differences, was very similar to estimates from the 1980s and 1990s. We also find large changes in the importance of the Canada- U.S. border during the Interwar period. While increased price differences between Canadian and U.S. cities coincide with the end of the gold-standard (and the move to floating nominal exchange rates), large relative and absolute price differences persist even after the Canada-U.S. nominal exchange rate returned to parity. The substantial "thickening" of the border in the 1930s appears to reflect dramatic changes in trade policy and the degree of market integration during this period.
    Keywords: E31 ; ddc:330 ; Law of One Price ; Relative Prices
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 16
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    Esbjerg: University of Southern Denmark, Department of Environmental and Business Economics (IME)
    Publication Date: 2018-06-28
    Description: This supporting material for An Indicator for Ecosystem Externalities in Fishing provides the estimations of the cost model parameters, establishes a price model, performs sensitivity analyses of the cost model parameters and analyzes sensitivity with respect to the control variable.
    Keywords: ddc:330 ; Production function ; Price model ; Sensitivity analyses
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 17
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    Frankfurt (Oder): European University Viadrina, Department of Business Administration and Economics
    Publication Date: 2018-06-26
    Description: We derive Taylor rates for those CEE-EU countries which are not part of the Eurozone. The degree of heterogeneity decreased tremendously over time (2005 - 2015). Nevertheless, the business cycles are still not fully synchronized. As a consequence, joining the Eurozone seems to be premature and should not be an option right now.
    Keywords: E52 ; E58 ; F15 ; ddc:330 ; CEE ; monetary policy ; currency union ; convergence ; Taylor rule
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 18
    Publication Date: 2018-07-03
    Description: We study the impact of the interaction between fiscal and monetary policy on the low-frequency relationship between the fiscal stance and inflation using crosscountry data from 1965 to 1999. In a first step, we contrast the monetary-fiscal narrative for Germany, the U.S. and Italy with evidence obtained from simple regression models and a time-varying VAR. We find that the low-frequency relationship between the fiscal stance and inflation is low during periods of an independent central bank and responsible fiscal policy and more pronounced in times of high fiscal budget deficits and accommodative monetary authorities. In a second step, we use an estimated DSGE model to interpret the low-frequency measure structurally and to illustrate the mechanisms through which fiscal actions affect inflation in the long run. The findings from the DSGE model suggest that switches in the monetary-fiscal policy interaction and accompanying variations in the propagation of structural shocks can well account for changes in the low-frequency relationship between the fiscal stance and inflation.
    Keywords: E42 ; E58 ; E61 ; ddc:330 ; Time-Varying VAR ; Inflation ; Public Deficits
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • 19
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    Frankfurt a. M.: Deutsche Bundesbank
    Publication Date: 2018-07-03
    Description: This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral quality among ABS with the same regulatory risk weight. This ABS selection allows banks to increase the return on the capital required for an ABS investment by a factor of four.
    Keywords: G01 ; G21 ; G24 ; G28 ; ddc:330 ; regulatory arbitrage ; asset-backed securities ; risk-taking ; credit ratings
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 20
    Publication Date: 2018-07-03
    Description: In this paper, we analyse the recording behaviour of German consumers in a one week diary on their point-of-sales expenditures. We are particularly interested in the effect of a behavioural experiment, eliciting respondents' risk preferences, on their recording behaviour. In the experiment, run shortly before the consumers start to fill in the diary, the consumers have the choice between receiving a sure payment of 10 euro and participating in a game. If they opt for playing the game they roll a die and either win 20 euro or nothing. We ask whether respondents' recording behaviour differs depending on whether individuals who do roll the die lose or win. We argue that winners may attach a more positive feeling to the survey than losers and therefore exhibit more commitment to the diary, e.g. by reporting better quality data. Beyond providing evidence on the effect of conducting up-front experiments in representative surveys our results also contribute to the literature on incentives. For participants who roll the die, the experiment can be seen as a tool to randomly assign an incentive to respondents. Our results indicate that the outcome of the game has an impact on the quantity of transactions recorded, but does not affect other aspects of data quality. It also has a negligible impact on substantive measures like the cash share.
    Keywords: C83 ; D12 ; E41 ; ddc:330 ; incentives ; risk experiments ; payment diary ; data quality
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 21
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    Berlin: Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft
    Publication Date: 2018-06-21
    Description: Using German panel data, we assess the causal effect of job loss, and thus of an extensive income shock, on risk attitude. In line with predictions of expected utility reasoning about absolute risk aversion, losing one´s job reduces the willingness to take risks. This effect strengthens in previous hourly wage, begins to manifest itself as soon as an employee perceives the threat of job loss and is of a transitory nature. The change in stated risk attitude matches observable job finding behaviour, confirming the behavioural validity of our results.
    Keywords: D81 ; J64 ; J65 ; ddc:330 ; absolute risk aversion ; income shock ; job loss ; plant closure ; general risk attitude
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 22
    Publication Date: 2018-06-27
    Description: The Agricultural and Food Policy Center (AFPC) at Texas A&M University develops and maintains data to simulate 91 representative crop, dairy, and livestock operations in major production areas in 28 states. The chief purpose of this analysis is to project the economic viability of those farms by region and commodity for 2015 through 2018. The data necessary to simulate the economic activity of these operations is developed through ongoing cooperation with panels of agricultural producers in selected states. The Food and Agricultural Policy Research Institute (FAPRI) provided projected prices, policy variables, and input inflation rates in their January 2015 Baseline. Under the January 2015 Baseline, 28 of the 63 crop farms are considered in good liquidity condition (less than a 25 percent chance of negative ending cash by 2018). Six crop farms have between a 25 percent and a 50 percent likelihood of negative ending cash, and the remaining 29 crop farms have greater than a 50 percent chance of negative ending cash. Additionally, 40 of the 63 crop farms are considered in good equity position (less than a 25 percent chance of decreasing real net worth during the study period). Six crop farms have between a 25 percent and 50 percent likelihood of losing real net worth, and 17 crop farms have greater than a 50 percent probability of decreasing real net worth. The following discussion provides an overall evaluation by commodity considering both liquidity and equity measures. [...]
    Keywords: ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 23
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    Berlin: Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft
    Publication Date: 2018-06-21
    Description: Nach der Einführung der Zinsschrankenregelung in 2008 ist ein EBITDA-Vortrag eingeführt worden, durch den das nicht genutzte Zinsabzugsvolumen in die folgenden fünf Wirtschaftsjahre vorgetragen wird. Durch diesen Vortrag soll die Wirkung der Zinsschranke gemildert oder vollständig vermieden werden. Der vorliegende Beitrag analysiert die Wirkung dieses Vortrags auf die Steuerbelastung der Unternehmen seit seiner Implementierung unter Ausnutzung der Panelstruktur handelsrechtlicher Jahresabschlussinformationen. Auf Basis einer Mikrosimulation wird untersucht, ob der EBITDA-Vortrag eine Entlastung darstellt und die "richtige" Unternehmen entlastet werden. Die Ergebnisse zeigen, dass aus fiskalischer Sicht der EBITDA-Vortrag eine Entlastung für die Unternehmen bietet. Auch aus unternehmensindividueller Sichtweise entlastet der EBITDA-Vortrag überwiegend zielgenau nach abgeleiteten Kriterien aus der Gesetzesbegründung. Unter Verwendung eines Maßstabs zur Berechnung der Steuerersparnis durch Zinsabzug wird allerdings deutlich, dass weitgehend die "falschen" Unternehmen von der aktuell geltenden Zinsschranke getroffen werden. Der EBITDA-Vortrag hingegen entlastet tendenziell die "Richtigen", kann jedoch entstandene Kollateralschäden nicht kompensieren.
    Keywords: 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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  • 24
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    Regensburg: Institut für Ost- und Südosteuropaforschung (IOS)
    Publication Date: 2018-06-22
    Description: We analyze the relationship between institutional quality and firm efficiency. Using rich data on firms in the European Union between 2005 and 2012, we show that high institutional quality lowers the share of persistently inefficiently used assets. The adverse effect of low institutional quality may be one of the narrow channels through which institutions affect income per capita in the long-run. Our approach combines institutional economics and Schumpeterian creative destruction. In addition, we observe similarities between inefficiently used assets in Europe and the phenomenon of zombie lending in Japan during the last decades.
    Keywords: O43 ; K23 ; C33 ; ddc:330 ; institutions ; unproductive assets ; European Union ; creative destruction
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 25
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    Santa Cruz, CA: University of California, Economics Department
    Publication Date: 2018-06-28
    Description: A complete set of transactions, more than 40 million within a 1.8 year span, allows us to track the evolution of the trader network and the goods network in an on-line trading community. The computer platform was designed to make barter exchange as attractive as possible; money was not part of the design and all players were created equal. Yet, within weeks, several specific goods began to emerge as media of exchange, and not long after that various sorts of specialized traders began to appear. We track their progress using network-theoretic metrics such as node strength, assortativity, betweenness and closeness. By the end of our sample, virtually all trade was money-mediated and market makers played a major role.
    Keywords: ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 26
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    Santa Cruz, CA: University of California, Economics Department
    Publication Date: 2018-06-28
    Description: This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news events, trade-time returns of the near-month E-mini S&P 500 futures contract are well characterized by a Gaussian distribution at very fine time scales. Second, we develop a structured and parsimonious model of clock-time returns using a time-changed Brownian motion composed with a general, non-Lévy directing process. Particular cases of this model allow for leptokurtosis and volatility clustering in clock-time returns, even when trade- time returns are Gaussian. Finally, we highlight conditions on the directing process which are required in order to generate proper volatility dynamics while simultaneously matching the unconditional distribution of returns. In-sample fitting and out-of-sample realized volatility forecasting demonstrate the strength of our model relative to leading candidates.
    Keywords: C22 ; C41 ; C58 ; G12 ; G14 ; G17 ; ddc:330 ; High-frequency trading ; US Equities ; News arrival
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 27
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    Kiel: Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
    Publication Date: 2018-06-26
    Description: We developed a multi country agent based simulation model with endogenous incremental technological change. Macroeconomic dynamics derive from simple behavioral and interacting rules defining the actions of adaptive firms, banks and households (Delli Gatti et al., 2008; Riccetti et al., 2014; Caiani et al., 2015). Countries join a currency union with a perfectly integrated good market, while labor and capital are not ex- changed across countries. We observe that credit dynamics are strictly associated to business cycle: phases of credit growth are associated with increasing leverage and connectivity that creates the conditions for crisis. Moreover, we tested the effects of different fiscal regimes on output dynamics, showing that in a common currency area restrictive fiscal regimes may increase country inequality and systemic vulnerability. Inequality between countries derives from differences in technological progress patterns which open competitiveness gaps. Conversely, in fiscal regimes where public deficits are excessively high the public debt burden tends to increase transferring risk from the private sector to the public one.
    Keywords: ddc:330
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  • 28
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    Santa Cruz, CA: University of California, Economics Department
    Publication Date: 2018-06-28
    Description: Foreign portfolio flows in and out of India are relevant for policymakers, and are often portrayed in the media as having a destabilizing effect on the domestic market. We use an event study approach to examine whether extreme global shocks trigger abnormal responses in foreign equity flows in and out of India, or abnormal responses in the Indian stock market. We do not find strong evidence of abnormal responses, even for the case of the global crisis of 2008.
    Keywords: ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 29
    Publication Date: 2018-06-21
    Description: Der Beitrag stellt ein Konzept zur Etablierung eines Nachhaltigkeitszertifikats für die Spielzeugindustrie vor. In diesem Zusammenhang werden zunächst die Möglichkeiten der Nutzung von etablierten Labels und Zertifikaten für Unternehmen dargestellt, die genutzt werden um Produkte und Dienstleistungen als nachhaltig, grün oder umweltfreundlich darzustellen und verifizieren zu lassen. In diesem aktuellen Zustand wird allerdings Unternehmen die Möglichkeit geboten, eine nachhaltige Verhaltensweise vorzutäuschen. Derzeit gibt es über 400 nutzbare Labels, die verschiedene Nachhaltigkeitsaspekte betonen. Außerdem haben einige Unternehmen eine eigene Nachhaltigkeitsmarke entworfen, wodurch eine notwendige Transparenz für den Verbraucher bzw. Konsument nicht mehr ausreichend gegeben zu sein scheint. Dadurch wird zunehmend Unternehmen, die nur scheinbar den Anforderungen der Labels gerecht werden, eine Verfälschung der Nachhaltigkeitseigenschaften ihrer Produkte ermöglicht, um sich somit den Labeltitel zu erschleichen - man gibt nur noch vor, nachhaltig zu wirtschaften, das ist das sogenannte Greenwashing. Bei der Konsumgüterindustrieanalyse ist auffällig, dass es momentan für Spielwaren kein Label/Zertifikat zur Überprüfung und Verifizierung nachhaltigen Spielzeugs gibt. Zwar existieren verschiedene Siegel, die beispielsweise die Sicherheit oder die Inhaltsstoffe der Spielzeuge thematisieren und belegen. Allerdings weist der Markt keine allgemeingültige und komplette Zertifizierung bezüglich der umwelttechnischen und sozialen Aspekte auf, auf denen die Nachhaltigkeit fußt. Deshalb fokussiert die vorliegende Ausarbeitung die Konzipierung eines Nachhaltigkeitssiegels für die Spielzeugindustrie um somit Greenwashing in dieser Industrie entgegenzuwirken bzw. dessen Entstehung zu erschweren und einzugrenzen.
    Keywords: Q56 ; M14 ; ddc:330 ; Greenwashing ; Labels ; Zertifikate ; Siegel ; Nachhaltigkeit ; Spielzeugindustrie
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: German
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  • 30
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    Kiel: Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
    Publication Date: 2018-06-26
    Description: The behavioural agent-based framework of De Grauwe and Gerba (2015) is extended to allow for a counterfactual exercise on the role of banks for monetary transmissions. A bank-based corporate financing friction is introduced and the relative contribution of that friction to the effectiveness of monetary policy is evaluated. We find convincing evidence that the monetary transmission channel is stronger in the bank-based system compared to the market-based. Impulse responses to a monetary expansion are around the double of those in the market-based framework. The (asymmetric) effectiveness of monetary policy in counteracting busts is, on the other hand, relatively higher in the market-based model. The statistical fit of the bank-based behavioural model is also improved compared to the benchmark model. Lastly, we find that a market-based (bankbased) financing friction in a general equilibrium produces highly asymmetric (symmetric) distributions and more (less) pronounced business cycles.
    Keywords: E52 ; E44 ; E03 ; G21 ; G32 ; ddc:330 ; monetary policy in the EA ; monetary transmissions ; banks ; financial frictions ; market based finance
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  • 31
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    Kiel: Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
    Publication Date: 2018-06-26
    Description: The great depression of 1929 and the great financial crisis of 2008 have been the two big events of the last 75 years. Not only have they produced serious economic consequences but they also changed our view of economics and policymaking. The aim of this work is to compare these two great crises and highlight similarities as well as differences. Monetary policy, the exchange rate system and the role of the banks are our fields of investigation. Our findings are that two big events have more similarities than dissimilarities.
    Keywords: E5 ; E31 ; E42 ; G21 ; ddc:330 ; Great Depression ; Great Financial Crisis ; gold standard ; Eurozone ; money multiplier ; shadow banking
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  • 32
    Publication Date: 2018-07-03
    Description: Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due to a failure of the interbank market per se but rather to bankspecific shocks affecting banks' capital, liquidity and credit quality as well as revised banklevel risk perceptions. Relationship banking is not capable of containing these frictions, as hard information seems to dominate soft information. In detail, we explore determinants of the formation and resilience of interbank lending relationships by analyzing an extensive dataset comprising over 1.9 million interbank relationships of more than 3,500 German banks between 2000 and 2012.
    Keywords: E50 ; G01 ; G10 ; G21 ; ddc:330 ; financial stability ; interbank market ; aggregate and idiosyncratic shocks ; relationship banking ; risk perception ; market discipline
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  • 33
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    Copenhagen: University of Copenhagen, Economic Policy Research Unit (EPRU)
    Publication Date: 2018-06-28
    Description: The essay discusses some key features of the wawe of public sector reforms that has swept through the OECD area during the last three decades under the heading of New Public Management. I review what economic theory and the empirical evidence can say about the effects of introducing pay for performance, performance measurement and various forms of competition in the public sector. I also review some evidence on the growing bureaucratization of the public sector and discuss the drivers behind this trend. The final part of the essay draws some implications for the design of public sector reforms.
    Keywords: ddc:330
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  • 34
    Publication Date: 2018-07-03
    Description: We address the question of whether various types of speculative investor correctly anticipate future USD/EUR currency movements or whether they tend rather to react to past exchange rate movements. Throughout the analysis, we differentiate between large and small traders, and an upper bound of total speculation. To account for the large number of testable hypotheses, we contrast results obtained from predictive regressions based on individual significance tests with those based on either controlling the false discovery rate (FDR) or the family-wide error rate (FER). While the statistical evidence in favor of a causal relationship from speculative positions to exchange rate movements, and therefore an inefficient Euro futures market, largely collapses if we account for multiple testing, such a pattern does not emerge in the other direction. In addition, findings based on a contemporaneous analysis point to some notable differences between small and large speculators, and a non-linear relationship between USD/EUR movements and changes in the open interest position of large speculators.
    Keywords: C32 ; F31 ; G15 ; ddc:330 ; speculative positions ; currency futures ; exchange rates ; predictive regressions ; multiple testing
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 35
    Publication Date: 2018-06-26
    Description: This paper proposes a test for the existence and degree of contagious presenteeism and negative externalities in sickness insurance schemes. First, we theoretically decompose moral hazard into shirking and contagious presenteeism behavior and derive testable conditions. Then, we implement the test exploiting German sick pay reforms and administrative industry-level data on certified sick leave by diagnoses. The labor supply adjustment for contagious diseases is significantly smaller than for non-contagious diseases. Lastly, using Google Flu data and the staggered implementation of US sick leave reforms, we show that flu rates decrease after employees gain access to paid sick leave
    Keywords: I12 ; I13 ; I18 ; J22 ; J28 ; J32 ; ddc:330 ; Sickness Insurance ; Paid Sick Leave ; Presenteeism ; Contagious Diseases ; Infections ; Negative Externalities ; Shirking ; US ; Germany
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 36
    Publication Date: 2018-06-26
    Description: We study the impact of the interaction between fiscal and monetary policy on the low-frequency relationship between the fiscal stance and inflation using cross-country data from 1965 to 1999. In a first step, we contrast the monetary-fiscal narrative for Germany, the U.S. and Italy with evidence obtained from simple regression models and a time-varying VAR. We find that the low-frequency relationship between the fiscal stance and inflation is low during periods of an independent central bank and responsible fiscal policy and more pronounced in times of high fiscal budget deficits and accommodative monetary authorities. In a second step, we use an estimated DSGE model to interpret the low-frequency measure structurally and to illustrate the mechanisms through which fiscal actions affect inflation in the long run. The findings from the DSGE model suggest that switches in the monetary-fiscal policy interaction and accompanying variations in the propagation of structural shocks can well account for changes in the low-frequency relationship between the fiscal stance and inflation.
    Keywords: E42 ; E58 ; E61 ; ddc:330 ; Time-Varying VAR ; Inflation ; Public Deficits
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  • 37
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    Zurich: ETH Zurich, KOF Swiss Economic Institute
    Publication Date: 2018-06-26
    Description: In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our approach is based on combination of the Cumulated Sum of Squared Forecast Error Differential (CSSFED) suggested earlier in Welch and Goyal (2008) and the Bayesian change point analysis based on Barry and Hartigan (1993). The latter methodology provides the formal statistical analysis of the CSSFED time series which turned out to be a powerful graphical tool for tracking how the relative forecasting performance of competing models evolves over time. We illustrate the suggested approach by using forecasts of the GDP growth rate in Switzerland.
    Keywords: C22 ; C53 ; ddc:330 ; Forecasting ; Forecast Evaluation ; Change Point Detection ; Bayesian Estimation
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  • 38
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Keywords: ddc:330 ; Zins ; Wechselkurs ; Geldpolitik ; Wechselkurspolitik ; DSGE-Modell
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 39
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Keywords: C23 ; D31 ; D33 ; E44 ; F32 ; F41 ; ddc:330 ; Einkommensverteilung ; Leistungsbilanz ; Finanzsystem ; Finanzkrise ; Schwellenländer ; Industrieländer ; Welt
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 40
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: From 2004 to 2012, the German social health insurance levied a co-payment for the first doctor visit in a calendar quarter. We develop a new model for estimating the effect of such a co-payment on the individual number of visits per quarter. The model allows for a one time increase in the otherwise constant hazard rate determining the timing of doctor visits, and uses a difference-in-differences strategy to identify the reform effect. The model can be adapted to a situation where the reporting period and the calendar quarter differ. Using data from the German Socio-Economic Panel, we do not find an effect of the co-payment on demand for doctor visits.
    Keywords: I10 ; C25 ; ddc:330 ; count data ; Poisson process ; co-payment ; hurdle model
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  • 41
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: Are competitive mechanisms perceived as just sources of economic inequality? Perceptions of fairness violations can have severe economic consequences, as they may cause counterproductive behavior such as rulebook slowdowns or quality shading. To analyze fairness perceptions associated with competitive mechanisms, we run laboratory experiments where a single powerful buyer can trade with one of several sellers - an environment that can lead to pronounced inequality among the interacting parties. Once the terms of trade are determined, sellers can engage in counterproductive behavior. We robustly find that low procurement prices, which allocate most of the surplus from trade to the buyer, trigger significantly less counterproductive behavior if the buyer uses a competitive auction to determine the terms of trade than if he uses his price setting power to dictate the same terms directly. Our data demonstrate that competitive mechanisms, in addition to their capability to produce efficient allocations, can reduce conflict and inefficient reactions by increasing justification for economic inequality.
    Keywords: C91 ; D31 ; D63 ; P10 ; ddc:330 ; fairness ; competition ; markets ; efficiency ; inequality
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  • 42
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: We use experimental methods to investigate whether pledges of commitment can improve cooperation in endogenously formed partnerships facing a social dilemma. Treatments vary in terms of the individual's (a) opportunity to commit to their partner, (b) the cost of dissolving committed partnerships, and (c) the distribution of these dissolution costs between partners. Our findings show that pledges of commitment alone can increase cooperation and welfare in committed partnerships. The introduction of relatively large and equally split costs yields similar gains. In contrast, when costs to dissolve committed partnerships fall solely on the individual choosing to break up, pledges of commitment fail to improve cooperation and welfare.
    Keywords: C92 ; D03 ; D83 ; H41 ; ddc:330 ; Commitment ; Cooperation ; Endogenous Group Formation ; Experiment
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  • 43
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: We study whether employment history can provide information about a worker's noncognitive skills - in particular about "work attitude", or the ability to work well and cooperatively with others. Our hypothesis is that, holding all else equal, a worker's frequent job changes can indicate poorer work attitude, and that this information is transmitted in labor markets through employment histories. We provide support for this hypothesis across three studies that employ complementary lab, field, and survey experiments. First, using a laboratory labor market in which the only valuable characteristic of workers is their reliability in complying with an employer's effort requests, we demonstrate that prior employment information allows employers to screen for such reliability and allows high-reliability workers to obtain better employment outcomes. Second, we conduct a field experiment in which we vary the frequency of job changes in fictitious job applicants' resumes. Those applicants with fewer job changes receive more callbacks from prospective employers. A third survey experiment with human resource professionals confirms that the resume manipulations in the field study create different perceptions of work attitude and that these account for the callback differences. Our work highlights the potential importance of job history as a signal of worker characteristics, and points to a cost for workers of frequent job changes.
    Keywords: C90 ; C93 ; J01 ; E24 ; ddc:330 ; Employability ; Work Attitude ; Job Mobility
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  • 44
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: Optimal rank-order tournaments have traditionally been studied using a first-order approach. The present analysis relies instead on the construction of an "upper envelope" over all incentive compatibility conditions. It turns out that the first-order approach is not innocuous. For example, in contrast to the traditional understanding, tournaments may be dominated by piece rates even if workers are risk-neutral. The paper also offers a strikingly simple characterization of the optimal tournament for quadratic costs and CARA utility, as well as an extension to large tournaments.
    Keywords: C62 ; D86 ; L23 ; ddc:330 ; rank-order tournaments ; first-order approach ; envelope theorem
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  • 45
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    Weiden i.d.OPf.: Ostbayerische Technische Hochschule Amberg-Weiden (OTH)
    Publication Date: 2018-06-22
    Description: Dieser Aufsatz beschäftigt sich mit der fairen Bewertung einer von der Deutschen Bank AG emittierten Aktienanleihe mit Barriere, die als 'Easy-Aktienanleihe' (ISIN: DE000XM6XYZ2) am Markt angeboten wird. Da Aktienanleihen mit Barriere strukturierte Produkte sind, zerlegen wir diese hierfür in einen Straight Bond und eine Short-Position in einem europäischen Put mit identischer Barriere. Bei der Bewertung des Puts liegt der Schwerpunkt vor allem auf der Schätzung der Volatilität der unterliegenden Aktie. Wir verwenden vier verschiedene Zeiträume, um die Volatilität der dem Put zugrundeliegenden Aktie der Allianz SE jeweils mit einem einfachen gewichteten Durchschnitt, exponentiell gewichteten Durchschnitt, GARCH- und T-GARCH-Modell zu schätzen. Wir kommen zu dem Ergebnis, dass die plausibelsten Schätzungen der Volatilität zwischen 20 % und 25 % liegen und sich der Aufschlagsfaktor auf den Nennwert der Easy-Aktienanleihe zwischen -0,2 % und 2,3 % bewegt. Dieses Ergebnis liegt unterhalb bisheriger empirischer Schätzungen für den Aufschlagsfaktor von Aktienanleihen und wird nur unwesentlich von geänderten Annahmen bezüglich des risikolosen Zinssatzes oder der erwarteten Dividende beeinflusst. Möglicherweise ist dies auf die steigende Popularität von Aktienanleihen, der erhöhten Markttransparenz und dem daraus resultierenden Wettbewerbsdruck zurückzuführen.
    Description: This paper estimates the fair value of a barrier reverse convertible bond on Allianz SE marketed as 'Easy-Aktienanleihe' (ISIN: DE000XM6XYZ2), issued by Deutsche Bank AG. As barrier reverse convertible bonds are structured products, we decompose it for its valuation into a straight bond and a short position in a European put with a similar barrier. In the pricing of the put option, special attention is devoted to the estimation of the volatility for the underlying stock. We analyze observed daily yields for four different timeframes to estimate the resulting volatility of the stock for Allianz SE using estimation through a simple moving average, an exponentially weighted average, a GARCH-, and a T-GARCH-Model. We find that the most plausible estimates for this volatility lie between 20 % and 25 %, implying a mark-up on the fair value of the 'Easy-Aktienanleihe' ranging between -0.2 % and 2,3 %. This result lies below previous empirical findings on the mark-up for reverse convertible bonds and is robust to small changes in the presumed risk free interest rate or dividend paid by the underlying stock. It is conceivable that this is due to the increasing popularity of reverse convertible bonds and the therefore resulting increase in market competition.
    Keywords: G13 ; C58 ; G14 ; ddc:330 ; Aktienanleihe ; Barriere Option ; Down-and-In Put ; GARCH ; Volatilität ; Aufschlagsfaktor ; Reverse Convertible ; Barrier Option ; Volatility ; Overpricing
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: German
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  • 46
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    Karlsruhe: Karlsruher Institut für Technologie (KIT)
    Publication Date: 2018-06-21
    Description: The pure model of replicator dynamics though providing important insights in the evolution of markets has not found much of empirical support. This paper extends the model to the case of firms vertically integrated in value chains. We show that i) by taking value chains into account, the replicator dynamics may revert its effect. In these regressive developments of market selection, firms with low fitness expand because of being integrated with highly fit partners, and the other way around; ii) allowing partner's switching within a value chain illustrates that periods of instability in the early stage of industry life-cycle may be the result of an 'optimization' of partners within a value chain providing a novel and simple explanation to the evidence discussed by Mazzucato (1998); iii) there are distinct differences in the contribution to market selection between the layers of a value chain, causing strategic advantages to firms in partnering.
    Keywords: C63 ; D24 ; L14 ; O32 ; ddc:330 ; innovation ; replicator dynamics ; returns to scale ; value chain
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 47
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: This study analyzes the effect of all-day (AD) primary school programs on maternal labor supply. To account for AD school selectivity and selection into AD primary school programs I estimate bivariate probit models. To identify these models I exploit variation in the allocation of investments to AD primary schools across time and counties. This variation results from the public investment program "Future Education and Care" (IZBB) which was introduced by the German federal government in 2003. My results indicate for mothers with primary school-aged children in Germany (excluding Bavaria) a significantly positive effect of AD primary school programs on labor supply at the extensive margin. On average, mothers who make use of AD primary school programs are 26 ppts more likely to be employed than mothers who do not make use of these programs. This large effect is robust to alternative specifications and estimation methods and mainly concentrated in states with AD primary school student shares of up to 20%. On the contrary, there is no evidence for an impact of these programs on maternal labor supply at the intensive margin (full-time vs. part-time).
    Keywords: J13 ; J21 ; J22 ; ddc:330 ; all-day school programs ; after-school care ; maternal labor supply
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  • 48
    Publication Date: 2018-06-28
    Description: We measure the welfare consequences of endogenous quality choice in imperfectly competitive markets. We introduce the concept of a "quality markup" and measure the relative welfare consequences of market power over price and quality. For U.S. paid-television markets during 1997-2006, we find that not only are cable monopolists' prices 33% to 74% higher than marginal costs, but qualities are also 23% to 55% higher than socially optimal and the welfare costs of each are similar in magnitude. Such evidence for "quality inflation" by monopolists is at odds with classic results in the literature.
    Keywords: L15 ; L13 ; L82 ; L96 ; C51 ; ddc:330 ; industrial organization ; endogenous quality ; imperfect competition ; monopoly ; cable television ; pay television ; welfare ; quality markup
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 49
    Publication Date: 2018-06-28
    Description: The probability triangle (also called the Marschak-Machina triangle) allows for compact and intuitive depictions of risk preferences. Here, we develop an analogous tool for choice under uncertainty - the ambiguity triangle - and show that indifference curves in this triangle capture preferences for unknown probabilities. In particular, the ambiguity triangle allows us to examine whether subjects adhere to the generalized axiom of revealed preference (GARP) and satisfy a non-parametric test for constant ambiguity attitudes. We find that more than 95% of subjects adhere to GARP and that about 60% satisfy our test for a constant ambiguity attitude. Yet, among these 60% of subjects there is substantial preference heterogeneity. We characterize this heterogeneity with finite-mixture estimates of a one-parameter extension of Expected Utility Theory wherein 48% of subjects are ambiguity averse, 22% are ambiguity seeking, and 30% are close to ambiguity neutral. The ambiguity triangle also highlights how variable ambiguity attitudes arise mainly because indifference curves are 'fanning-in' across the triangle. This fanning-in property implies that aversion to ambiguity increases as the likelihood of receiving a good outcome increases. We capture this behavior with a simple parametric model that also allows for finite mixture characterizations of preference heterogeneity for these subjects. We show that for a substantial share of these subjects (43%) their fanning-in is so strong that, although they are initially ambiguity seeking, they become strongly ambiguity averse as the likelihood of receiving a good outcome increases.
    Keywords: D81 ; C91 ; ddc:330 ; behavior under uncertainty ; ambiguity preferences ; heterogeneity ; probability triangle ; ambiguity triangle
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  • 50
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: This paper analyzes the design of innovation contests when the quality of an innovation depends on the research approach of the supplier, but the best approach is unknown. Diversity of approaches is desirable because it generates an option value. In our main model with two suppliers, the buyer optimally uses a bonus tournament, where suppliers can choose between a low bid and a high bid. This allows the buyer to implement any level of diversity with the lowest revenue for the suppliers. We also compare other common contests, in particular, fixed-prize tournaments and auctions. Like bonus tournaments, auctions implement the socially optimal diversity, but usually with higher rents for the suppliers. Fixed-prize tournaments implement insufficient diversity, but may nevertheless be preferred by the buyer to auctions because of lower supplier rents.
    Keywords: L14 ; L22 ; L23 ; ddc:330 ; contests ; tournaments ; auctions ; diversity ; procurement
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  • 51
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    Kiel: Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
    Publication Date: 2018-06-26
    Description: A large literature attributes failure of uncovered interest rate parity (UIP) to the existence of a timevarying risk premium. This paper presents a mechanism in a simple two-country two-good endowment economy with incomplete markets that generates sizeable deviations from UIP. In a parameterization where international wealth effects are important, liquidity constraints on an internationally traded bond and agents' strong resulting precautionary motives successfully generates a time-varying risk premium: countries that have accumulated large outstanding external positions have, being closer to the constraints, stronger precautionary motives and their asset carries a risk premium.
    Keywords: F31 ; F41 ; G12 ; G15 ; ddc:330 ; Uncovered Interest Rate Parity ; Incomplete Markets Precautionary Savings ; Time-Varying Risk Premium
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 52
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    Kiel: Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
    Publication Date: 2018-06-26
    Description: We examine the role of government spending in the dynamics of the term structure of interest rates. Is the quantity of risk related government spending important for the price of risk? How does it depend on monetary policy conduct? Can fiscal policy immunize its impact on the term structure of interest rates? To answer this questions, we explore asset pricing implications of fiscal policy in what become paradigm in dynamic general equilibrium macro-finance literature. We break down the transmission of the government spending to macroeconomic attributes driving the dynamic response of the yield curve, both analytically and numerically. The novelty of our approach lies in the way we quantify the decomposition of pricing kernel. We find that rise in fiscal uncertainty amplifies the hedging property of bonds against real and nominal risks. Depending on the size of uncertainty monetary policy drives up the price of nominal risk. Spending reversals break the link between quantity and price of fiscal risk.
    Keywords: ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 53
    Publication Date: 2018-06-21
    Description: Recognizing the need to formulate policy strategies for the changes it faces, Myanmar started a multifaceted reform process in 2011. But speeding up development requires a multipronged but more coherent strategy targeted at strong and resilient growth, employment generation and, ultimately, rapid reduction of poverty. The government needs to carefully prioritize and sequence reforms, and identify and address the constraints to allow acceleration of economic growth by expanding the large domestic market and developing a vibrant manufacturing export sector that can generate substantial employment. This paper briefly reviews Myanmar's history and its legacy, examines the economy and some of the main policy reforms undertaken since 2011, assesses development potential, and outlines medium- and long-term growth strategy based on the country's specific context and international best experiences and practices.
    Keywords: E02 ; E61 ; O14 ; O25 ; ddc:330 ; economic diversification ; macroeconomic stability ; Myanmar ; natural resource-based sectors ; regionally balanced development ; social inclusion
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 54
    Publication Date: 2018-07-03
    Description: In the last decade, stress tests have become indispensable in bank risk management which has led to significantly increased requirements for stress tests for banks and regulators. Although the complexity of stress testing frameworks has been enhanced considerably over the course of the last few years, the majority of credit risk models (e.g. Merton (1974), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply that the use of a Gaussian copula in credit risk stress testing should not by default be dismissed in favor of a heavy-tailed copula which is widely recommended in the finance literature. Gaussian copula would be the appropriate choice for estimating high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the case of less severe scenarios. Furthermore, the paper provides clear advice for designing a credit risk stress test.
    Keywords: G21 ; G33 ; C13 ; C15 ; ddc:330 ; credit risk ; top-down stress tests ; copulas ; macroeconomic scenario
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 55
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    Frankfurt a. M.: Deutsche Bundesbank
    Publication Date: 2018-07-03
    Description: This paper studies the great collapse in value added trade using a structural decomposition analysis. We show that changes in vertical specialisation accounted for almost half of the great trade collapse, while the previous literature on gross trade has mainly focused on final expenditure, inventory adjustment and adverse credit supply conditions. The decline in international production sharing during the crisis may partially account for the observed decrease in global trade elasticities in recent years. Second, we find that the drop in the overall level of demand accounted for roughly a quarter of the decline in value added exports while just under one third was due to compositional changes in final demand. Finally, we demonstrate that the dichotomy between services and manufacturing sectors observed in gross exports during the great trade collapse is not apparent in value added trade data.
    Keywords: F1 ; F2 ; C67 ; R15 ; ddc:330 ; Great trade collapse ; Vertical specialisation ; Trade in value added ; Input-output tables ; Structural decomposition analysis
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 56
    Publication Date: 2018-06-21
    Description: This paper compares the career effects of overseas and domestic PhD training for scientists working in an emerging economy, South Africa. Variations in scientific achievements of South African academics may arise be- cause those who attend "better" PhD programmes receive better training, but it may also be because good students select into good universities. We examine selection and training effects for four tiers of South African and two tiers of foreign universities. Those who received PhDs from universities in industrialized countries tend to be more productive than those whose PhDs were locally granted, but universities from industrialized countries do not necessarily provide better training than local universities. Pure selection effects contribute to career outcomes nearly as much as training effects. When looking at training in isolation, PhDs from top South African universities produce a similar quantity and quality research output to those from leading universities in the developed world.
    Keywords: F63 ; H52 ; I2 ; O15 ; O20 ; O30 ; ddc:330 ; Scientific mobility ; Doctoral studies ; University evaluation ; Developing country ; South Africa ; Technological upgrading
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 57
    Publication Date: 2018-06-28
    Description: Relative performance evaluation (RPE) is, at least on paper, enjoying widespread popularity in determining the level of executive compensation. Yet existing empirical evidence of RPE is decidedly mixed. Two principal explanations are held responsible for this discord. A constructional challenge arises from intricacies of identifying the correct peers. And on a simpler note, corporate commitments to RPE could be mere exercises in empty rhetoric. We address both issues and test the use of RPE in a new sample of large international non-U.S. banks. Taken as a whole, the banks in our sample show moderate evidence consistent with RPE. We report stronger evidence once we investigate the subsample of banks that disclose the use of peers in their compensation schemes. This finding lends support to the credibility and thus informational value of RPE commitments. Digging deeper, we conclude that RPE usage is driven by firm size and growth options.
    Keywords: J33 ; D86 ; G3 ; G21 ; ddc:330 ; Relative Performance Evaluation ; Executive Compensation ; Peers ; Banks ; Disclosure
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 58
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: We study the impact of research collaborations in coauthorship networks on total research output. Through the links in the collaboration network researchers create spillovers not only to their direct coauthors but also to researchers indirectly linked to them. We characterize the interior equilibrium when multiple agents spend effort in multiple, possibly overlapping projects, and there are interaction effects in the cost of effort.
    Keywords: C72 ; D85 ; D43 ; L14 ; Z13 ; ddc:330 ; coauthor networks ; economics of science
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: We study the external validity of a standard laboratory measure of cheating. The results show that cheating in the lab significantly predicts classroom misbehavior in middle and high school students.
    Keywords: C93 ; K42 ; ddc:330 ; Cheating ; Honesty ; Experiment ; External Validity ; Misbehavior
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 60
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    Zurich: University of Zurich, Department of Economics
    Publication Date: 2018-06-28
    Description: This study investigates how well weekly Google search volumes track and predict bank failures in the United States between 2007 and 2012, contributing to the expanding literature that exploits internet data for the prediction of events. Different duration models with time-varying covariates are estimated. Higher Google search volumes go hand in hand with higher failure rates, and the coefficients for the Google volume growth index are highly significant. However, Google's predictive power quickly dissipates for future failure rates.
    Keywords: G17 ; G18 ; G19 ; G21 ; G28 ; ddc:330 ; bank failures ; internet ; financial crisis ; Google ; survival analysis
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 61
    Publication Date: 2018-06-28
    Description: Path forecasts, defined as sequences of individual forecasts, generated by vector autoregressions are widely used in applied work. It has been recognized that a profound econometric analysis often requires, besides the path forecast, a joint prediction region that contains the whole future path with a prespecified coverage probability. The forecasting literature offers several different methods for computing joint prediction regions, where the existing methods are either bootstrap based or rely on asymptotic results. The aim of this paper is to investigate the finite-sample performance of three methods for constructing joint prediction regions in various scenarios via Monte Carlo simulations.
    Keywords: C15 ; C32 ; C53 ; ddc:330 ; Path Forecast ; Joint Prediction Region ; Monte Carlo Simulation
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
    Type: doc-type:workingPaper