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DIW Discussion Papers 1719 / 2018
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX, namely the euro, the US dollar and the Japanese yen. We split the sample to compare ...
2018| Guglielmo Maria Caporale, Luis A. Gil-Alana, Tommaso Trani
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DIW Discussion Papers 1718 / 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns after overreactions: the next-day price changes in both directions are bigger than after “normal” days. A trading ...
2018| Guglielmo Maria Caporale, Alex Plastun
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DIW Discussion Papers 1717 / 2018
We analyze the top tail of the wealth distribution in Germany, France, and Spain based on the first and second wave of the Household Finance and Consumption Survey (HFCS). Since top wealth is likely to be underrepresented in household surveys, we integrate big fortunes from rich lists, estimate a Pareto distribution, and impute the missing rich. In addition to the Forbes list, we rely on national rich ...
2018| Stefan Bach, Andreas Thiemann, Aline Zucco
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DIW Discussion Papers 1716 / 2017
In this paper, we study how the tax-and-transfer system reduces the inequality of lifetime income by redistributing lifetime earnings between individuals with different skill endowments and by providing individuals with insurance against lifetime earnings risk. Based on a dynamic life-cycle model, we find that redistribution through the tax-and-transfer system offsets around half of the inequality ...
2017| Peter Haan, Daniel Kemptner, Victoria Prowse
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DIW Discussion Papers 1715 / 2017
The fixing of the Libor and Euribor benchmark rates has proven vulnerable to manipulation. Individual rate-setters may have incentives to fraudulently distort their submissions. For the contributing banks to collectively agree on the direction in which to rig the rate, however, their interests need to be sufficiently aligned. In this paper we develop cartel theory to show how an interbank lending rates ...
2017| Nuria Boot, Timo Klein, Maarten Pieter Schinkel
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DIW Discussion Papers 1714 / 2017
Low and uncertain carbon prices are often stated as a major obstacle for industrial sector investments in technologies to deliver deep emissions reductions. Project-based carbon contracts underwritten by national governments could addressregulatory risk, lower financing costs and strengthen incentives for emission reductions at investment and operation stage. In this paper design options for project-based ...
2017| Jörn Richstein
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DIW Discussion Papers 1713 / 2017
In advanced economies, state-owned enterprises play an important role in sectors of general interest such as energy and water supply. The conditions under which they operate have changed fundamentally since 1998, with new strategies required for firms to preserve market shares in the face of liberalisation and technological innovation. This paper investigates the productivity effect of three strategies ...
2017| Caroline Stiel
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DIW Discussion Papers 1712 / 2017
Greenhouse gas emission benchmarks are widely implemented as a policy tool, as more countries move to implement carbon pricing mechanisms for industrial emissions. In particular, benchmarks are used to determine the level of free allowance allocation in emission trading schemes, which are distributed as a measure to prevent carbon leakage. This paper analyses how benchmark designs impact firms’ production ...
2017| Vera Zipperer, Misato Sato, Karsten Neuhoff
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DIW Discussion Papers 1711 / 2017
Recent efforts to reduce international tax evasion focus on information exchange with tax havens. Using bilateral bank data for 1,397 country pairs in a balanced quarterly panel from 2003:I – 2017:IV, we first show that information-on-request treaties with tax havens reduce bank deposits in tax havens by 27.5%. Second, also deposits from tax havens in high tax countries decline after such treaties ...
2017| Lukas Menkhoff, Jakob Miethe
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DIW Discussion Papers 1710 / 2017
In this paper we show that carbon pricing is subject to time-inconsistency and we investigate solutions to improve on the problem and restore the incentive for the private sector to invest in low-carbon innovation. We show that a superior price- investment equilibrium can be sustained in the long-term, if the policy-maker is enough forward looking and allowed to build reputation. In the short-term, ...
2017| Olga Chiappinelli, Karsten Neuhoff
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DIW Discussion Papers 1709 / 2017
This paper estimates the causal effects of parental education on their children's risky health behaviours and health status. I study the intergenerational effects of a compulsory schooling reform in Germany after World War II. Implemented across federal states at different points in time, the reform increased the minimum number of school years from eight to nine. Instrumental variable estimates and ...
2017| Mathias Huebener
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DIW Discussion Papers 1708 / 2017
In a laboratory experiment subjects are matched in pairs and interact in an Ultimatum Game. In the Entitlement treatment, the right to be the proposer is allocated to the personin the pair who performed better in a previously conducted math task. Compared to behavior in the control treatment, where the roles are randomly allocated, the proposers increase their strategic demands and offer a smaller ...
2017| Elif E. Demiral, Johanna Mollerstrom
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DIW Discussion Papers 1707 / 2017
In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with statistical methods which limits the statistical validation of many just-identified SVAR models. In this study, ...
2017| Helmut Lütkepohl, Tomasz Woźniak
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DIW Discussion Papers 1706 / 2017
Haushalte mit unteren und mittleren Einkommen profitieren kaum von Senkungen des Einkommensteuertarifs oder vom Abbau des Solidaritätszuschlags. Zugleich führen schon moderate Entlastungen im Eingangsbereich des Steuertarifs oder beim „Mittelstandsbauch“ zu beträchtlichen Steuerausfällen und entlasten auch hohe Einkommen, soweit die Spitzensteuersätze nicht angehoben werden. Wenn die Steuerpolitik ...
2017| Stefan Bach, Michelle Harnisch
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DIW Discussion Papers 1705 / 2017
Many people around the world live in patrilocal societies. Patrilocality prescribes that women move in with their husbands’ parents, relieve their in-laws from housework, and care for them in old age. This arrangement is likely to have labour market consequences, in particular for the women. We study the effect of co-residence on female labour supply in Kyrgyzstan, a strongly patrilocal setting. We ...
2017| Andreas Landmann, Helke Seitz, Susan Steiner
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DIW Discussion Papers 1704 / 2017
We exploit a new dataset based on EU procurement award notices to investigate the relationship between the degree of centralization of public procurement and its performance. We focus on the case of Italy, where all levels of government, along with a number of other public institutions, are involved in procurement and are subject to the same EU regulation. We find that i) municipalities and utilities, ...
2017| Olga Chiappinelli
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DIW Discussion Papers 1703 / 2017
This paper examines persistence in the cryptocurrency market. Two different longmemory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), ...
2017| Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun
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DIW Discussion Papers 1702 / 2017
This paper analyses financial literacy and financial behavior of middle class people living in an urban Asian economy. Other than most papers on financial literacy that focus on people in developed countries, we surveyed people living Bangkok. Using standard financial literacy questions, we find that financial literacy levels are largely comparable to industrialized countries, but understanding of ...
2017| Antonia Grohmann
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DIW Discussion Papers 1701 / 2017
This study investigates the international spillover effects of contractionary US monetary policy and its transmission channels on members of the euro area (EA) before and after the implementation of the euro. I find the multilateral spillover effects on individual EA economies' real activity and inflation to be asymmetric, i.e. the responses are mainly expansionary but not exclusively so. While the ...
2017| Max Hanisch
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DIW Discussion Papers 1700 / 2017
Nuclear power was one of the most important discoveries of the twentieth century, and it continues to play an important role in twenty-first century discussions about the future energy mix, climate change, innovation, proliferation, geopolitics, and many other crucial policy topics. This paper addresses some key issues around the emergence of nuclear power in the twentieth century and perspectives ...
2017| Christian von Hirschhausen