Search

Brexit and Uncertainty in Financial Markets

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 ...

Price Overreactions in the Cryptocurrency Market

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 ...

ECB has to strike delicate balance

Marcel Fratzscher, president of the German Institute for Economic Research (DIW Berlin), comments the latest ECB council meeting as follows:

Moral Hazard: Experimental Evidence from Tenancy Contracts

BAMS is a joint seminar by the DIW Berlin, the Hertie School of Governance, the HU Berlin and the WZB.

Simulating Climate and Energy Policy with Agent-Based Modelling: the Energy Modelling Laboratory (Emlab)

We present an approach to simulate climate and energy policy for the EU, using a flexible and modular agent-based modelling approach and a toolbox, called the Energy Modelling Laboratory (EMLab). The paper shortly reviews core challenges and approaches for modelling climate and energy policy in light of the energy transition. Afterwards, we present an agent-based model of investment in power generation ...

Klimaziel 2020 verfehlt: Zeit für eine Neuausrichtung der Klimapolitik?

R&D Investments and Corporate Cash Holdings

This paper presents evidence about how research and development (R&D) expenditures affect corporate cash holdings in European country groups that differ in their innovation capacity. In theory, one can expect intangible investments such as R&D to result in higher cash stocks than fixed investments, particularly because intangible capital is less suitable as collateral for obtaining external funds. ...

Looking for the Missing Rich: Tracing the Top Tail of the Wealth Distribution

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 ...

Low Interest Rate Environment Amplifies Negative Effects of Austerity Policy

Large-scale fiscal consolidations and the implementation of structural reforms should help southern European countries resolve the crisis. But recent studies indicate that in conjunction with the low interest rate in the euro area, the austerity measures that has been imposed could have the opposite effect, leading to an increase in sovereign debt and economic slowdown. For this reason, a more balanced ...

Cracks in the German Economic Miracle