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Long Memory and Data Frequency in Financial Markets

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes. The results indicate that persistence ...

Central Bank Policy Rates: Are They Cointegrated?

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is estimated to be above 1, ranging from ...

Associations between Neighborhood Characteristics, Well-Being and Health Vary over the Life Course

Background: Neighborhood characteristics are important determinants of individual health and well-being. For example, characteristics such as noise and pollution affect health directly, while other characteristics affect health and well-being by either providing resources (e.g. social capital in the neighborhood), which individuals can use to cope with health problems, or limiting the use thereof (e.g. ...

Macroeconomic Effects of Rental Housing Regulations: The Case of Germany in 1950-2015

Despite rather skeptical attitude of the economists toward the state intervention in the housing markets, the policy makers and general public typically are supporting it. As a result, in many European countries, since World War I the rent and eviction controls as well as social housing policies remain an important element of the government economic policies. Nevertheless, the macroeconomic effects ...

A Head-to-Head Comparison of Augmented Wealth in Germany and the United States

We provide levels of, compositions of, and inequalities in household augmented wealth – defined as the sum of net worth and pension wealth – for two countries: the United States and Germany. Pension wealth makes up a considerable portion of household wealth: about 48% in the United States and 61% in Germany. The higher share in Germany narrows the wealth gap between the two countries: While average ...

Maternal Employment Effects of Paid Parental Leave

We study the short, medium, and longer run employment effects of a substantial change in the parental leave benefit program in Germany. In 2007, a means-tested parental leave transfer program that had paid benefits for up to two years was replaced by an earnings related transfer which paid benefits for up to one year. The reform generated winners and losers with heterogeneous response incentives. We ...

Germany's Misunderstood Trade Surplus

Essays in Electricity Economics: Empirical, Numerical and Theoretical Perspectives on Renewable Energy and Cross-Border Integration

Zwei Entwicklungen auf europäischen Elektrizitätsmärkten sind von besonderer Bedeutung: Der großflächige Ausbau erneuerbarer Energien und eine immer engere Verflechtung über Grenzen hinweg. Beide Entwicklungen bergen große Wohlfahrtspotenziale, ziehen aber auch Herausforderungen für Fragen der Integration nach sich. Diese Dissertation leistet einen Beitrag zum ökonomischen Verständnis dieser doppelten ...

Structural Vector Autoregressions with Heteroskedasticity: A Review of Different Volatility Models

Changes in residual volatility are often used for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. The different volatility models are reviewed and their advantages and drawbacks are indicated. An application investigating the interaction ...

Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility

This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators’ positions. The results suggest that idiosyncratic net long demand shocks of both index investors and hedge ...