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DIW Discussion Papers 1434 / 2014
Many developing countries around the world apply progressive water tariffs, often structured in the form of discretely increasing block tariffs (IBTs). These tariffs have been criticized in the welfare economic literature due to their perceived inefficiency: many of the prices charged under IBTs do not correspond to marginal costs and thus violate the principle of allocative efficiency. In this paper ...
2014| Georg Meran, Christian von Hirschhausen
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DIW Discussion Papers 1425 / 2014
Based on representative micro data for Germany, we compare the incomes of self-employed with those of wage workers. Our results show that the median self-employed entrepreneur with employees earns significantly more than the median salaried employee, while the median solo entrepreneur earns less. However, solo entrepreneurship pays for those with a university entrance degree but no further professional ...
2014| Alina Sorgner, Michael Fritsch, Alexander Kritikos
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DIW Discussion Papers 1411 / 2014
The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro area. Our results suggest that expansionary monetary policy in the source countries – as measured by the ...
2014| Franziska Bremus, Marcel Fratzscher
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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 1375 / 2014
This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural vector autoregressive (SVAR) model claiming to distinguish fundamental and non-fundamental shocks to real stock prices. TheSVAR model relies on an identification restriction in order to correctly label the shocks. We test this restriction by means of a Markov switching-SVAR (MS-SVAR) ...
2014| Anton Velinov, Wenjuan Chen
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DIW Discussion Papers 1372 / 2014
In this paper we investigate natural gas producer's reactions to changes in market prices. We estimate price elasticities of aggregated supply in the most competitive market for natural gas: the United States. Using monthly time series data form 1987 to 2012 our analysis is based on an Autoregressive Distributed Lag (ARDL) Bound Cointegration approach to obtain short and long-run elasticities of natural ...
2014| Micaela Ponce, Anne Neumann
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DIW Discussion Papers 1359 / 2014
This paper discusses the type of trajectory a country's public debt path follows. In particular, a Markov switching ADF model is used to assess the sustainability of public debt by testing whether a government's present value borrowing constraint holds. Building on the work of Raybaudi et al. (2004) and Chen (2011), the model in this paper generalizes their methodology. The number of lags and states ...
2014| Anton Velinov
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DIW Discussion Papers 1356 / 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional ...
2014| Helmut Lütkepohl, Anton Velinov
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DIW Discussion Papers 1354 / 2014
In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic distribution possibly constructed with bootstrap methods in the frequentist framework often individual confidence ...
2014| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
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DIW Discussion Papers 1352 / 2014
We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small. By contrast, there has been substantial ...
2014| Geert Bekaert, Michael Ehrmann, Marcel Fratzscher, Arnaud Mehl