Publications

In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes which is able to pick up the complex nonlinear dynamics of multivariate financial time series at high frequencies. We use the model to estimate the conditional bivariate density of the high frequency changes of the EUR/GBP and the EUR/USD exchange rates.

In this paper we ague that any meaningful bibliometric evaluation of researchers needs to take into account that research productivity follows distinct life cycles. Using an encompassing data set portraying the research behavior of German academic economists, we first show that research productivity crucially depends on career age and vintage. Based on the identified effects, we develop a simple formula that shows how a researcher s performance compares to that of his or her peers. This kind of information may serve as an input for performance-related remuneration and track-record based allocation of research grants. We then go on to investigate the persistence of individual productivity. The Persistence issue is of special importance in the academic labor market because of the irrevocable nature of tenure. Finally, we show how life cycle considerations can be used in evaluations of university departments in order to render the resulting rankings insensitive to the age structure of the evaluated faculties.

Wage and productivity effects of training are compared to study how the training rent is shared between employers and employees. Using panel data from 1996-2002, I analyse the impact of continuing training on wages and productivity in a Cobb-Douglas production framework. Using system GMM techniques allows me to account for endogeneity and time invariant unobserved factors. Results suggest that the training rent is shared between employer and employee due to a positive e®ect of continuing training on both wages and productivity. The effect on productivity is about three times higher than the one on wages. High skilled workers capture a larger share of the rent than low skilled workers.

Empirical work on the wage impact of training has noted that unobserved heterogeneity of training participants should play a role. The expected return to training, which partly depends on unobservable characteristics, is likely to be a crucial criterion in the decision to take part in training or not. We try to account for this fact by using recent advances in estimating returns to schooling, which allow for selection on unobservables, and apply it to estimating the impact of training on earnings. Allowing heterogeneity to be unobserved by the econometrician, but assuming that individuals may act upon this heterogeneity, completely changes the interpretation and properties of commonly used estimators. Our results based on local instrumental variables suggest that traditional estimates of the wage impact of training overestimate this effect.

We examine equilibria in the sense of Rothschild and Stiglitz (1976) in competitive insurance markets when individuals take unobservable labor supply decisions. Precautionary labor motives introduce countervailing incentives in the insurance market, and imperfect type separation can occur in the standard case in which individuals differ only in risk. We then extend the model to allow for both unobservable risks and labor productivities. Under these circumstances, both imperfect risk separation and genuine pooling of different risk-productivity types can arise. We show that such equilibria, with endogenous income heterogeneity, generally differ from those under exogenous income heterogeneity analyzed by Smart (2000) and Wambach (2000). We provide necessary and sufficient equilibrium existence conditions.