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DIW Discussion Papers 1459 / 2015
This paper uses data from a panel of more than 400 Italian banks for the period 2001 – 2012 to examine the main determinants of loan loss provision (LLP), which are classified as either discretionary (income smoothing, capital management,signalling) or non-discretionary (related to the business cycle). The results suggest that LLP in Italian banks is driven mainly by non-discretionary components, especially ...
2015| Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli, Juan Sergio Lopez
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DIW Discussion Papers 1458 / 2015
This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for the presence of this anomaly, and then a trading simulation approach to establish whether it can be exploited ...
2015| Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun
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DIW Discussion Papers 1457 / 2015
We develop a dispatch and investment model to study the role of power storage and other flexibility options in a greenfield setting with high shares of renewables. The model captures multiple system values of power storage related to arbitrage, dispatchable capacity, and reserves. In a baseline scenario, we find that power storage requirements remain moderate up to a renewable share of around 80%, ...
2015| Alexander Zerrahn, Wolf-Peter Schill
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DIW Discussion Papers 1456 / 2015
We revisit key elements of European power market design with respect to both short term operation and longer-term investment and re-investment choices. For short term markets, the European policy debate focuses on the definition of common interfaces, like for example gate closure time. We argue that that this is insufficient if the market design is to accommodate for the different needs of renewable ...
2015| Karsten Neuhoff, Sophia Rüster, Sebastian Schwenen
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DIW Discussion Papers 1455 / 2015
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample properties are investigated via ...
2015| Helmut Lütkepohl, George Milunovich
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DIW Discussion Papers 1454 / 2015
Academic data sharing is a way for researchers to collaborate and thereby meet the needs of an increasingly complex research landscape. It enables researchers to verify results and to pursuit new research questions with “old” data. It is therefore not surprising that data sharing is advocated by funding agencies, journals, and researchers alike. We surveyed 2661 individual academic researchers across ...
2015| Benedikt Fecher, Sascha Friesike, Marcel Hebing, Stephanie Linek, Armin Sauermann
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DIW Discussion Papers 1453 / 2015
Using annual data for the period 1992-2012, this paper examines trade flows between China and its main trade partners in Asia, North America and Europe, and whether increasing trade has led to industrial structural adjustment and changes in China’s trade patterns. The analysis is based on both economic indicators and the estimation of a gravity model, and applies recently developed panel data methods ...
2015| Guglielmo Maria Caporale, Anamaria Sova, Robert Sova
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DIW Discussion Papers 1452 / 2015
The German support for renewable energies in the electricity sector is based on the feed-in tariff for investors that grants guaranteed revenues for their renewable energy supply. Corresponding to differences of granted tariffs and respective market values, a surcharge on consumption covers differential costs. While granted tariffs are bound to fall with advances in renewable energy technologies, the ...
2015| Thure Traber, Claudia Kemfert
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DIW Discussion Papers 1451 / 2015
We discuss the implications of two price zones, i.e. one northern and southern bidding area, on the German electricity market. In the northern zone, continuous capacity additions with low variable costs cause large regional supply surpluses in the market dispatch while conventional capacity decreases in the southern zone. As the spatial imbalance of supply and load is increasing, the current single ...
2015| Jonas Egerer, Jens Weibezahn, Hauke Hermann
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DIW Discussion Papers 1450 / 2015
Policy-makers face a trade-off between the provision of higher levels of schooling and earlier labour market entries. A fundamental education reform in Germany tackles this trade-off by reducing high school by one year while leaving the total instructional time unchanged. Employing administrative data on all high school graduates in 2002-2013 in Germany, we exploit both temporal and regional variation ...
2015| Mathias Huebener, Jan Marcus
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DIW Discussion Papers 1449 / 2015
Das Papier zeigt, dass die seit Jahrzehnten andauernde Klagen wissenschaftlich tätiger Ökonomen,dass Öffentlichkeit und Politik nicht genug auf Ergebnisse der ökonomischen Forschung hören,zumindest für Deutschland im Quervergleich zu anderen Wissenschaften in Bezug auf das medialeInteressen an ökonomischen Erkenntnissen nicht gerechtfertigt sind. Es wird in bemerkenswerterWeise von der Resonanz kontrastiert, ...
2015| Justus Haucap, Tobias Thomas, Gert G. Wagner
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DIW Discussion Papers 1448 / 2015
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard ...
2015| Marcel Fratzscher, Malte Rieth
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DIW Discussion Papers 1447 / 2015
Germany experienced a unique rise in the level of self-employment in the first two decades following unification. Applying the non-linear Blinder-Oaxaca decomposition technique, we find that the main factors driving these changes in the overall level of self-employment are demographic developments, the shift towards service sector employment, and a larger share of population holding a tertiary degree. ...
2015| Michael Fritsch, Alexander S. Kritikos, Alina Sorgner
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DIW Discussion Papers 1446 / 2015
We estimate the impact of a differential treatment of paid employees versus self-employed workers in a public health insurance system on the entry rate into entrepreneurship. In Germany, the public health insurance system is mandatory for most paid employees, but not for the self-employed, who usually buy private health insurance. Private health insurance contributions are relatively low for the young ...
2015| Frank M. Fossen, Johannes König
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DIW Discussion Papers 1445 / 2015
This paper analyzes optimal grading in a world that focuses on top grades. Students choose an effort level, their performance is graded, and their grade correlates with their future income. Ex-ante, the policy maker chooses the optimal coarseness of the grading scale to maximize student welfare. When choosing their effort, students overweight outstanding { or salient { grades. I show that this behavior ...
2015| Lilo Wagner
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DIW Discussion Papers 1444 / 2015
This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called “inertia anomaly”. Both weekly ...
2015| Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun
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DIW Discussion Papers 1443 / 2015
Excessive alcohol consumption among young people is a major public health concern. On March 1, 2010, the German state of Baden-Württemberg banned the sale of alcoholic beverages between 10pm and 5am at off-premise outlets (e.g., gas stations, kiosks, supermarkets). We use rich monthly administrative data from a 70 percent random sample of all hospitalizations during the years 2007-2011 in Germany in ...
2015| Jan Marcus, Thomas Siedler
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DIW Discussion Papers 1442 / 2015
We analyze future scenarios of integrating electric vehicles (EV) into the German power system, drawing on different assumptions on the charging mode. We use a numerical dispatch model with a unit-commitment formulation which minimizes dispatch costs over a full year. While the overall energy demand of the EV fleets is rather low in all scenarios, the impact on the system’s load duration curve differs ...
2015| Wolf-Peter Schill, Clemens Gerbaulet
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DIW Discussion Papers 1441 / 2015
The financing of infrastructures is a major topic in recent energy policy debates. Project finance, as a specialized form of debt finance, thereby has become a well-established financing tool. This paper contributes a qualitative and quantitative analysis of the determinants of the debt ratio in project finance, using data on 26 liquefied natural gas (LNG) export and import projects. We argue that ...
2015| Sophia Rüster
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DIW Discussion Papers 1440 / 2014
A manufacturer contracting secretly with several downstream competitors faces an opportunism problem, preventing it from exerting its market power. In an infinitely repeated game, the opportunism problem can be relaxed. We show that the upstream firm's market power can be restored even further if the upstream firm chooses a mixed distribution system in which it makes use of an intermediary to distribute ...
2014| Isabel Teichmann, Vanessa von Schlippenbach