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Refereed essays Web of Science
This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, ...
In:
Finance Research Letters
27 (2018), S. 53-59
| Febi Wulandari, Dorothea Schäfer, Andreas Stephan, Chen Sun
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Refereed essays Web of Science
The performance of information criteria and tests for residual heteroscedasticity for choosing between different models for time‐varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the selection criteria, using them is recommended because they can reduce the mean squared error of impulse ...
In:
Oxford Bulletin of Economics and Statistics
80 (2018), 4, S. 715-735
| Helmut Lütkepohl, Thore Schlaak
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Refereed essays Web of Science
Early warning systems (EWSs) are widely used to assess a country’s vulnerability to fiscal distress. A fiscal distress episode is identified as a period when government experiences extreme funding difficulties. Most EWSs employ a specific set of only fiscal leading indicators predetermined by the researchers, which casts doubt on their robustness. We revisit this issue using extreme bounds analysis, ...
In:
Journal of Applied Economics
50 (2018), 13, S. 1454-1478
| Martin Bruns, Tigran Poghosyan
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Personnel news
Martin Kroh, former Division Head of Survey Methodology and Management at the SOEP, has been appointed Professor of Methods of Empirical Social Research with a focus on quantitative methods at the University of Bielefeld starting January 1, 2018.
He will continue to support the SOEP in the area of survey methodology during a transitional period and also work on joint ongoing research projects.
28.02.2018
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Weekly Report
Despite the booming German labor market, wage inequality is still a relevant issue. In the present study, the authors report on the changes in wages and their distribution between 1992 and 2016. In addition to real contractual gross hourly wages, we closely examined gross monthly and annual wages. Based on Socio-Economic Panel (SOEP) data, the results show that wage inequality rose significantly between ...
28.02.2018| Markus M. Grabka, Carsten Schröder
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DIW Weekly Report 9 / 2018
Despite the booming German labor market, wage inequality is still a relevant issue. In the present study, the authors report on the changes in wages and their distribution between 1992 and 2016. In addition to real contractual gross hourly wages, we closely examined gross monthly and annual wages. Based on Socio-Economic Panel (SOEP) data, the results show that wage inequality rose significantly between ...
2018| Markus M. Grabka, Carsten Schröder
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DIW Discussion Papers 1725 / 2018
This paper analyzes how subjective expectations about wage opportunities influence the job search decision. We match data on subjective wage expectations with administrative employment records. The data reveal that unemployed individuals over-estimate their future net re-employment wage by 10% on average. In particular, the average individual does not anticipate that wage offers decline in value with ...
2018| Sascha Drahs, Luke Haywood, Amelie Schiprowski
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Berlin Seminar
Damit die EU ihre Klima- und Energieziele für 2030 erfüllt, hat die Europäische Kommission einen neuen Weg eingeschlagen: Alle Mitgliedstaaten sollen im Jahr 2018 umfassende Energie- und Klimapläne für die Dekade 2020 bis 2030 erarbeiten. Zu einem späteren Zeitpunkt sollen außerdem langfristige Dekarbonisierungsstrategien entwickelt werden. Die Gesetzesgrundlage...
05.03.2018| Andreas Löschel, Eva Gerhards, Dieter Kunhenn, Niels Anger
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DIW Europe Lecture
The DIW Europe Lecture is a lecture series by leading policy-makers and academics on the future of Europe. The series aims at fostering and informing the debate on key European policy issues, and at bringing this debate to the heart of Germany's policy-making in Berlin.
Following an outstanding private sector career in which she had served as the first Chairwoman of the international law...
26.03.2018| Christine Lagarde
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DIW Discussion Papers 1726 / 2018
The transition towards low-carbon economies requires massive investments into renewable energies, which are commonly supported through regulatory frameworks. Yet, governments can have incentives - and the ability - to deviate from previously-announced support once those investments have been made, which can deter investments. We analyze a renewable energy regulation game, apply a model of time-inconsistency ...
2018| Nils May, Olga Chiappinelli