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Forecasting the Risk of Speculative Assets by Means of Copula Distributions

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the predictive content of uncorrelated, yet dependent model innovations. The adjustment is motivated by non-Gaussian ...

Spillover Effects of Maternal Education on Child's Health and Health Behavior

This study investigates the effects of maternal education on child's health and health behavior. We draw on a rich German panel data set containing information about three generations. This allows instrumenting maternal education by the number of her siblings while conditioning on grandparental characteristics. The instrumental variables approach has not yet been used in the intergenerational context ...

Business Cycles, Unemployment and Entrepreneurial Entry: First Evidence from Germany

We investigate whether people become more willingly self-employed during boom periods or in recessions and to what extent it is the business cycle or the employment status influencing entry rates into entrepreneurship. Our analysis for Germany reveals that start-up activities are positively influenced by unemployment rates and that the cyclical component of real GDP has a negative effect. This implies ...

Extracting location values from transaction data

Distributional Effects of Energy Transition: Impacts of Renewable Electricity Support in Germany

The discussion of the support for renewable energy must consider the distributional impact of cost allocation. The public is sensitive to social imbalances caused by rising power prices that might jeopardize the acceptance of energy transformation. By the end of 2012 about 19 percent of German power is produced with renewables other than hydropower. As a result, German consumers will pay for global ...

Bank’s trading activity, the lending channel and real investment - Evidence from individual firm-bank relationships in Germany

What began as a financial crisis in 2007/2008 quickly became a massive crisis of the real economy. We investigate the importance of the bank lending and firm borrowing channel in the transmission of asset price shocks to real investment. For the analysis we match individual firm and bank financial statements in Germany for the period of 2004-2010. The data include a large number of medium sized...

Consolidating the Evidence on Income Mobility in the Western States of Germany and the U.S. from 1984-2006

The cross-national intragenerational income mobility literature assumes within-country mobility is invariant over the period measured. We argue that a great social transformation "German reunification"abruptly and permanently altered economic mobility. Using standard measures of mobility (with panel data for the western states of Germany and the U.S.) over the entire period 1984-2006, we find the ...

Estimating Alternative Technology Sets in Nonparametric Efficiency Analysis: Restriction Tests for Panel and Clustered Data

Nonparametric efficiency analysis has become a widely applied technique to support industrial benchmarking as well as a variety of incentive- based regulation policies. In practice such exercises are often plagued by incomplete knowledge about the correct specifications of inputs and outputs. Simar and Wilson (2001) and Schubert and Simar (2011) propose restriction tests to support such specification ...

A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly increased again in the late 1990.s. Estimates of the new Keynesian Phillips curve indicate that current inflation ...

SHARELIFE - One Century of Life Histories in Europe

Welfare state interventions shape our life courses in almost all of their multiply linked domains. In this introduction, we sketch how cross-nationally comparative retrospective data can be fruitfully employed to better understand these links and the long-run effects of the welfare state at the same time. We briefly introduce SHARE, the Survey of Health, Ageing and Retirement in Europe, and SHARELIFE, ...