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DIW Discussion Papers 1399 / 2014
This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as follows. Positive (negative) news have significant ...
2014| Guglielmo Maria Caporale, Fabio Spagnolo, Nicola Spagnolo
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DIW Discussion Papers 1398 / 2014
Concerns about global warming and growing scarcity of fossile fuels require substantial changes in energy consumption patterns and energy systems, as targeted by many countries around the world. One key element to achieve such transformation is to increase energy efficiency of the housing stock. In this context, it is frequently argued that private investments are too low in the light of the potential ...
2014| Konstantin A. Kholodilin, Claus Michelsen
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DIW Discussion Papers 1397 / 2014
Is it possible to combat global climate change through North-to-South technology transfer even without a global climate treaty? Or do carbon leakage and the rebound effect imply that it is possible to take advantage of technological improvements under the umbrella of a global arrangement only? For answering these questions two possible states of the world are discussed: one, where more energy efficient ...
2014| Gunter Stephan, Georg Müller-Fürstenberger
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DIW Discussion Papers 1396 / 2014
We apply a structural model of mothers’ labor supply and child care choices to evaluate the effects of two childcare reforms in Germany that were introduced simultaneously in August 2013. First, a legal claim to subsidized child care became effective for all children aged one year or older. Second, a new benefit called ‘Betreuungsgeld’ came into effect that is granted to families who do not use public ...
2014| Kai-Uwe Müller, Katharina Wrohlich
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DIW Discussion Papers 1395 / 2014
This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is non-stationary and non-mean-reverting, the null hypotheses of I(0), I(1) and I(2) being rejected in favour of fractional ...
2014| Guglielmo Maria Caporale, Marinko Skare
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DIW Discussion Papers 1394 / 2014
This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, ...
2014| Guglielmo Maria Caporale, Faek Menla Ali, Nicola Spagnolo
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DIW Discussion Papers 1393 / 2014
Expectations form the basis of economic decisions of market participants in an uncertain world. Sentiment indicators reflect those expectations and thus have a proven track record for predicting economic variables. However, respondents of surveys perceive the world to a large extent with the help of media. So far, mainly very crude media information, such as word-count indices, has been used in the ...
2014| Konstantin A. Kholodilin, Tobias Thomas, Dirk Ulbricht
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DIW Discussion Papers 1392 / 2014
Motivated by the lack of literature linking actual to perceived relative deprivation, this paper assesses the role of visibility in the deprivation of goods and assets vis-à-vis income behind perceptions of relative deprivation. We rely on household survey data that includes unique information on reported perceived deprivation with a pre-specified reference group, namely others in the town or village. ...
2014| Veronika Bertram-Hümmer, Ghassan Baliki
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DIW Discussion Papers 1391 / 2014
The World War I played a key role in shaping modern housing policy. While in the pre-War time virtually no housing policy existed, the beginning of hostilities led to an almost immediate and comprehensive state intervention in the housing market, particularly among those engaged in the war. Despite initially similar conditions and challenges induced by the war, housing policy was carried out in different ...
2014| Konstantin A. Kholodilin, Mark G. Meerovich
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DIW Discussion Papers 1390 / 2014
This paper studies the association between a country’s level of financial development and firms’ employment growth. We employ an incomplete contract model for evaluating this association. The model proposes that a high level of financial development affects the employment of firms with low managerial capital negatively, while firms with high managerial capital benefit from a more developed financial ...
2014| Dorothea Schäfer, Susan Steiner
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DIW Discussion Papers 1389 / 2014
To counteract the financial pressure emerging in aging societies, statutory pay‐as‐you‐go pension schemes are undergoing fundamental reforms in many Western countries. Starting with cohort 1937, Germany introduced permanent pension deductions for early retirement. This paper examines the evolution of the profitability of pension contributions against the background of this reform for cohorts 1935‐1945. ...
2014| Holger Lüthen
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DIW Discussion Papers 1388 / 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often unrealistic while more exible models based on GARCH or Markov switching residuals are difficult to handle from ...
2014| Helmut Lütkepohl, Aleksei Netsunajev
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DIW Discussion Papers 1387 / 2014
The 2014 reform of the German Renewable Energy Act introduces a mandatory shift from a fixed feed-in tariff to a floating premium system. This is envisaged to create additional incentives for project developers, but also impacts revenues and costs for new investments in wind generation. Thus uncertainties for example about balancing costs and the impact of the location specific generation profile on ...
2014| Matthew Tisdale, Thilo Grau, Karsten Neuhoff
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DIW Discussion Papers 1386 / 2014
This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by replicating the actions of traders; (ii) a fractional integration technique for the estimation of the (fractional) ...
2014| Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun, Inna Makarenko
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DIW Discussion Papers 1385 / 2014
The reduced attractiveness of investments in reliable power plants under conditions of liberalized markets and the transition towards renewable energies has brought a discussion on capacity policies to Europe. We use a partial equilibrium model to compare important effects of three basic policies. A strategic reserve policy and a capacity market policy with administratively set capacity targets, and ...
2014| Thure Traber
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DIW Discussion Papers 1384 / 2014
We report results of a survey of a representative sample of the German population in which respondents were asked for their willingness-to-pay (WTP) for either an extension of their life or an improvement in their health corresponding to a gain of one quality-adjusted life year (QALY). While one version of the survey exactly copied the questionnaire used in the EuroVaQ project (Pennington et al. 2014), ...
2014| Marlies Ahlert, Friedrich Breyer, Lars Schwettmann
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DIW Discussion Papers 1383 / 2014
The Russian-Ukrainian crisis has revitalized the European concerns of supply disruptions of natural gas as experienced in 2006 and 2009. However, the European supply situation, regulation and infrastructure have changed since: imports aremore diversified, EU member states better connected and a common regulation on the security of supply has been introduced. Nevertheless, several East European countries ...
2014| Philipp M. Richter, Franziska Holz
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DIW Discussion Papers 1382 / 2014
This paper investigates the usefulness of the money demand relationship in times of unconventional monetary policies by cointegration methods. In contrast to the bulk of the literature, evidence in favour of a stable long run money demand function is presented both for the US and the euro area. Results are based on standard monetary aggregates, i.e. MZM for the US and M3 in case of the euro area. The ...
2014| Christian Dreger, Jürgen Wolters
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DIW Discussion Papers 1381 / 2014
Political instability of several countries in the Middle East is overshadowing one of the biggest challenges of the upcoming century: Water - a natural resource that is easily taken for granted, but whose scarcity might lead to serious conflicts. This paper investigates an optimal Water Allocation of the Tigris and Euphrates Rivershed by introducing the WATER-Model. A series of scenarios are analyzed ...
2014| Pao-Yu Oei, Markus Siehlow
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DIW Discussion Papers 1380 / 2014
Lack of transmission capacity hampers the integration of the European electricity market, and thereby precludes reaping the full benefits of competition. We investigate the extent to which transmission grid expansion promotes competition, efficiency and welfare. This work proposes a three-stage model for grid investment: a benevolent planner decides on network upgrades, considering welfare benefits ...
2014| Alexander Zerrahn, Daniel Huppmann