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DIW Discussion Papers 1609 / 2016
The study aims to assess the distributional effects of taxing financial transactions including a focus on gender. It specifically investigates the impact of the low interest rate environment on tax revenues and distribution. The first part of the study is explorative, aiming to develop a concept for the assessment. This is because the role of low or even negative interest rates is not yet specifically ...
2016| Dorothea Schäfer
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DIW Discussion Papers 1606 / 2016
The analysis of monetary developments have always been a cornerstone of the ECB’s monetaryanalysis and, thus, of its overall monetary policy strategy. In this respect, money demandmodels provide a framework for explaining monetary developments and assessing price stabilityover the medium term. It is a well-documented fact in the literature that, when interestrates are at the zero lower bound, the analysis ...
2016| Christian Dreger, Dieter Gerdesmeier, Barbara Roffia
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DIW Discussion Papers 1605 / 2016
This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the proponents of a "leaning against the wind" (LATW) monetary policy. For this, we decompose stock prices into a fundamental component, a risk premium, and a mispricing component. We argue that mispricing can arise for two reasons: (i) from false subjective expectations of investors about future ...
2016| Benjamin Beckers, Kerstin Bernoth
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DIW Discussion Papers 1602 / 2016
This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We show in a consumption-based asset pricing model with simultaneously risky and ambiguous assets that a rise in the level of ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a structural VAR to achieve identification ...
2016| Christoph Große Steffen, Maximilian Podstawski
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DIW Discussion Papers 1598 / 2016
China’s government is promoting the shift towards a consumption-based economy since a few years. The explicit goal to significantly raise the percentage of wages in the national household income is integral part of the 12th Five-Year Plan (2011-15). The changes in the economic strategy are likely to affect the attractiveness of the country to foreign investors. In this paper, we raise the hypothesis ...
2016| Julian Donaubauer, Christian Dreger
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DIW Discussion Papers 1596 / 2016
We study the macroeconomic effects of unconventional monetary policy in the euro area using structural vector autoregressions, identified with an external instrument. The instrument is the common unexpected variation in euro area sovereign spreads for different maturities on policy announcement days. We first show that expansionary monetary surprises are effective at lowering public and private interest ...
2016| Michael Hachula, Michele Piffer, Malte Rieth
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DIW Discussion Papers 1594 / 2016
The financial crisis led to a deep recession in many industrial countries. While large emerging countries recovered relatively quickly from the financial crisis, their performance deteriorated in the last years, despite the modest recovery in advanced economies. The higher divergence of business cycles is closely linked to the Chinese transformation. During the crisis, the Chinese fiscal stimulus prevented ...
2016| Ansgar Belke, Christian Dreger, Irina Dubova
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DIW Discussion Papers 1584 / 2016
Rising rents in German cities have led to an intense debate about the need for tighter rent controls in housing markets. In April 2015, the so-called rental brake was introduced, which imposes upper bounds for rents in new contracts, in order to immediately slow down the increase of rents in tight housing markets. Since then, 11 federal states made use of this instrument. We take advantage of this ...
2016| Konstantin A. Kholodilin, Andreas Mense, Claus Michelsen
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DIW Discussion Papers 1569 / 2016
The conflict between Russia and Ukraine that started in March 2014 resulted in bilateral economic sanctions imposed by Russia and Western countries, including the members of the euro area (EA). The paper investigates the impact of sanctions on the real side of the economy of Russia and the EA. Using an index that measures intensity of sanctions the effects of sanctions shocks are analyzed by the means ...
2016| Konstantin A. Kholodilin, Aleksei Netsunajev
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DIW Discussion Papers 1563 / 2016
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a prior distribution that covers the parameter space both where the restrictions are satisfied and where they ...
2016| Michele Piffer