-
DIW Discussion Papers 877 / 2009
We estimate a dynamic structural life-cycle model of employment, non-employment and retirement that includes endogenous accumulation of human capital and intertemporal non- separabilities in preferences. Additionally, the model accounts for the effect of the tax and transfer system on work incentives. The structural parameter estimates are used to evaluate the effects of a tax reform targeted at low ...
2009| Peter Haan, Victoria Prowse
-
DIW Discussion Papers 876 / 2009
The determinants of export behaviour at firm level have been widely investigated for manufacturing companies. By contrast, what has remained largely neglected is a detailed investigation in the service sector. As aggregate statistics show, international trade in services has grown significantly over the last few years. However, it is unclear why some companies export and others do not. This paper presents ...
2009| Alexander Eickelpasch, Alexander Vogel
-
DIW Discussion Papers 875 / 2009
This paper analyses trade specialisation dynamics in two Eastern European countries (Romania and Bulgaria - EEC-2) vis-à-vis the core EU member states (EU-15) over the period 1990-2006. Specifically, we focus on whether there is a shift towards intra-industry trade leading to economic convergence and technological catch-up. We use recently developed static (FEM, REM and FEVD) and dynamic (GMM) panel ...
2009| Guglielmo Maria Caporale, Christophe Rault, Robert Sova, Anamaria Sova
-
DIW Discussion Papers 874 / 2009
This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and conditional portfolio performance evaluation. In both cases the evidence suggests that the better performance ...
2009| Antonios Antypas, Guglielmo Maria Caporale, Nikolaos Kourogenis, Nikitas Pittis
-
DIW Discussion Papers 873 / 2009
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest ...
2009| John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas, Nicola Spagnolo
-
DIW Discussion Papers 872 / 2009
We explore the long and short run relationship between private consumption, disposable income and housing and financial wealth approximated by price indices for a panel of industrialized countries. Consumption, income and wealth are cointegrated in their common, but not in their idiosyncratic components. This stresses the relevance of inter-national spillovers to explain aggregate consumption behaviour. ...
2009| Christian Dreger, Hans-Eggert Reimers
-
DIW Discussion Papers 871 / 2009
We use newly available data from Germany to study the relationship between parental income and child health. We find a strong gradient between parental income and subjective child health as has been documented earlier in the US, Canada and the UK. The relationship in Germany is about as strong in the US and stronger than in theUK. However, in contrast to US results, we do not find that the disadvantages ...
2009| Steffen Reinhold, Hendrik Jürges
-
DIW Discussion Papers 870 / 2009
We propose a duopoly model of competition between internet search engines endowed with different technologies and study the effects of an agreement where the more advanced firm shares its technology with the inferior one. We show that the superior firm enters the agreement only if it results in a large enough increase in demand for advertising space at the competing .rm and a relatively small improvement ...
2009| Geza Sapi, Irina Suleymanova
-
DIW Discussion Papers 869 / 2009
This paper proposes a partial equilibrium model to describe the global crude oil market. Pricing on the global crude oil market is strongly influenced by price indices such as WTI (USA) and Brent (Northwest Europe). Adapting an approach for pool-based electricity markets, the model captures the particularities of these benchmark price indices and their influence on the market of physical oil. This ...
2009| Daniel Huppmann, Franziska Holz
-
DIW Discussion Papers 868 / 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are underpinned by fundamental quantitative financial analyses. Also, there is strong evidence of a country effect. ...
2009| Guglielmo Maria Caporale, Roman Matousek, Chris Stewart
-
DIW Discussion Papers 867 / 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model). The models include nominal exchange rates, the common factor of exchange rates in the CIS countries, and global ...
2009| Christian Dreger, Jarko Fidrmuc
-
DIW Discussion Papers 866 / 2009
To measure income inequality with right censored (topcoded) data, we propose multiple imputation for censored observations using draws from Generalized Beta of the Second Kind distributions to provide partially synthetic datasets analyzed using complete data methods. Estimation and inference uses Reiter's (Survey Methodology 2003) formulae. Using Current Population Survey (CPS) internal data, we find ...
2009| Stephen P. Jenkins, Richard V. Burkhauser, Shuaizhang Feng, Jeff Larrimore
-
DIW Discussion Papers 865 / 2009
This paper uses a quasi-experimental framework provided by recent changes in Russian corporate law to study the effect of investor protection on the value of shares. The legal change analyzed involves the empowerment of preferred (non-voting) shareholders to veto unfavorable changes in their class rights. Based on a novel hand-collected dataset of dual class stock companies in Russia and using the ...
2009| Alexander Muravyev
-
DIW Discussion Papers 864 / 2009
The European Union made a number of steps not least of them the introduction of a common currency to foster the integration of the European financial markets. A number of papers have tried to gauge the degree of integration for various financial markets looking at the convergence of interest rates. A common finding is that government bond markets are quite well integrated. In this paper stochastic ...
2009| Sebastian Weber
-
DIW Discussion Papers 863 / 2009
We estimate firms' cash flow sensitivity of cash to empirically test how the financial system's structure and activity level influence their financial constraints. For this purpose we merge Almeida, Campello and Weisbach (2004), a pathbreaking new design for evaluating a firm's financial constraints, with Levine (2002), who paved the way for comparative analysis of financial systems around the world. ...
2009| Christopher F. Baum, Dorothea Schäfer, Oleksandr Talavera
-
DIW Discussion Papers 862 / 2009
This paper outlines the importance of labor mobility for the improvement in allocating and distributing economic resources. We are faced with an increasing lack of skilled workers and a growing tendency of unemployment amongst the low-skilled. A central political objective for the future will not only be education policy but also the recruitment of high-skilled workers from international and European ...
2009| Klaus F. Zimmermann
-
DIW Discussion Papers 861 / 2009
This paper investigates the income convergence among Russian regions in the period 1998-2006. It makes two major contributions to rather extensive literature on the regional convergence in Russia. First, it identifies spatial regimes using the exploratory spatial data analysis. Second, it examines the impact of spatial effects on the convergence process. Our results show that the overall speed of regional ...
2009| Konstantin A. Kholodilin, Aleksey Oshchepkov, Boriss Siliverstovs
-
DIW Discussion Papers 860 / 2009
The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the inclusion of asset prices in the monetary policy rule can eventually limit speculative runs and negative effects ...
2009| Christian Dreger, Jürgen Wolters
-
DIW Discussion Papers 859 / 2009
We examine real business cycle convergence for 41 euro area regions and 48 US states. Results obtained by a panel model with spatial correlation indicate that the relevance of common business cycle factors is rather stable over the past two decades in the euro area and the US. Ongoing business cycle convergence often detected in a country data is not confirmed at the regional level. The degree of synchronization ...
2009| Michael Artis, Christian Dreger, Konstantin A. Kholodilin
-
DIW Discussion Papers 858 / 2009
The paper evaluates the quality of the German national accounting data (GDP and its use-side components) as measured by the magnitude and dispersion of the forecast/ revision errors. It is demonstrated that government consumption series are the least reliable, whereas real GDP and real private consumption data are the most reliable. In addition, early forecasts of GDP, private consumption, and investment ...
2009| Konstantin A. Kholodilin, Boriss Siliverstovs