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DIW Discussion Papers 1409 / 2014
This paper provides new evidence on the contribution of local banking to local economic growth (i.e. at county level – the Italian “province”) in Italy. A comprehensive dataset is used, which includes control variables for social capital and human capital as well as indicators of the quality of local infrastructures and the production structure of the local economy. A linear within-estimator technique ...
2014| Guglielmo Maria Caporale, Stefano Di Colli, Roberto Di Salvo, Juan Sergio Lopez
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DIW Discussion Papers 1405 / 2014
We assess the contribution of macroeconomic uncertainty — approximated by the dispersion of the real GDP survey forecasts — to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods are determined and subjected to panel logit regressions conditioning on macroeconomic indicators and expectation ...
2014| Helmut Herwartz, Konstantin A. Kholodilin
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DIW Discussion Papers 1399 / 2014
This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as follows. Positive (negative) news have significant ...
2014| Guglielmo Maria Caporale, Fabio Spagnolo, Nicola Spagnolo
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DIW Discussion Papers 1398 / 2014
Concerns about global warming and growing scarcity of fossile fuels require substantial changes in energy consumption patterns and energy systems, as targeted by many countries around the world. One key element to achieve such transformation is to increase energy efficiency of the housing stock. In this context, it is frequently argued that private investments are too low in the light of the potential ...
2014| Konstantin A. Kholodilin, Claus Michelsen
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DIW Discussion Papers 1395 / 2014
This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is non-stationary and non-mean-reverting, the null hypotheses of I(0), I(1) and I(2) being rejected in favour of fractional ...
2014| Guglielmo Maria Caporale, Marinko Skare
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DIW Discussion Papers 1394 / 2014
This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, ...
2014| Guglielmo Maria Caporale, Faek Menla Ali, Nicola Spagnolo
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DIW Discussion Papers 1393 / 2014
Expectations form the basis of economic decisions of market participants in an uncertain world. Sentiment indicators reflect those expectations and thus have a proven track record for predicting economic variables. However, respondents of surveys perceive the world to a large extent with the help of media. So far, mainly very crude media information, such as word-count indices, has been used in the ...
2014| Konstantin A. Kholodilin, Tobias Thomas, Dirk Ulbricht
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DIW Discussion Papers 1391 / 2014
The World War I played a key role in shaping modern housing policy. While in the pre-War time virtually no housing policy existed, the beginning of hostilities led to an almost immediate and comprehensive state intervention in the housing market, particularly among those engaged in the war. Despite initially similar conditions and challenges induced by the war, housing policy was carried out in different ...
2014| Konstantin A. Kholodilin, Mark G. Meerovich
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DIW Discussion Papers 1390 / 2014
This paper studies the association between a country’s level of financial development and firms’ employment growth. We employ an incomplete contract model for evaluating this association. The model proposes that a high level of financial development affects the employment of firms with low managerial capital negatively, while firms with high managerial capital benefit from a more developed financial ...
2014| Dorothea Schäfer, Susan Steiner
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DIW Discussion Papers 1386 / 2014
This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by replicating the actions of traders; (ii) a fractional integration technique for the estimation of the (fractional) ...
2014| Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun, Inna Makarenko