Aktuelle Publikationen
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(2011): Labor turnover before plant closure : "Leaving the sinking ship" vs. "Captain throwing ballast overboard" Labour Economics. 2011, 18(1), pp. 93-101. ISSN 0927-5371. eISSN 0927-5371. Available under: doi: 10.1016/j.labeco.2010.08.003
Involuntary job loss in administrative data is commonly identified by exploiting the exogenous nature of mass layoffs or plant closures. However, prior knowledge can lead to selection in the labor turnover of distressed firms. This paper proposes a simple method to determine if and when selective turnover sets in. Based on a rich administrative data set for Austria, we show that separations up to two quarters before plant closure should be included in the treatment group. Moreover, we find that early leavers are associated with significantly lower costs of job loss due to plant closure.
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The empirical relationship between income and longevity has been addressed by a large number of studies, but most were confined to men. For the first time we analyze a large data set from the German public pension scheme on women who died between 1994 and 2005, employing both non-parametric and parametric methods. We find that the relationship between earnings and life expectancy is similar for women and men: Among women who contributed at least for 25 years, women at the 90th percentile of the income distribution can expect to live 3 years longer than women at the 10th percentile.
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We present a simple neoclassical model to explore how an aggregate bank-capital requirement can be used as a macroeconomic policy tool and how this additional tool interacts with monetary policy. Aggregate bank-capital requirements should be adjusted when the economy is hit by cost-push shocks but should not respond to demand shocks. Moreover, an optimal institutional structure is characterized as follows: First, monetary policy is delegated to an independent and conservative central banker. Second, setting aggregate bank-capital requirements is separated from monetary policy.
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Many contemporaneously aggregated variables have stochastic aggregation weights. We compare different forecasts for such variables including univariate forecasts of the aggregate, a multivariate forecast of the aggregate that uses information from the disaggregate components, a forecast which aggregates a multivariate forecast of the disaggregate components and the aggregation weights, and a forecast which aggregates univariate forecasts for individual disaggregate components and the aggregation weights. In empirical illustrations based on aggregate GDP and money growth rates, we find forecast efficiency gains from using the information in the stochastic aggregation weights. A Monte Carlo study confirms that using the Information on stochastic aggregation weights explicitly may result in forecast mean squared error reductions.
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All HARA-utility investors with the same exponent invest in a single risky fund and the risk-free asset. In a continuous time-model stock proportions are proportional to the inverse local relative risk aversion of the investor (1/gamma-rule). This paper analyses the conditions under which the optimal buy and holdportfolio of a HARA-investor can be approximated by the optimal portfolio of an investor with some low level of constant relative risk aversion using the 1/gamma-rule. It turns out that the approximation works very well in markets without approximate arbitrage opportunities. In markets with high equity premiums this approximation may be of low quality.
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(2011): Does government ideology influence budget composition? : Empirical evidence from OECD countries Economics of Governance. Springer. 2011, 12(2), pp. 101-134. ISSN 1435-6104. eISSN 1435-8131. Available under: doi: 10.1007/s10101-010-0092-9
This paper examines whether government ideology has influenced the allocation of public expenditures in OECD countries. I analyze two datasets that report different expenditure categories and cover the time periods 1970–1997 and 1990–2006, respectively. The results suggest that government ideology has had a rather weak influence on the composition of governments’ budgets. Leftist governments, however, increased spending on “Public Services” in the period 1970–1997 and on “Education” in the period 1990–2006. These findings imply, first, that government ideology hardly influenced budgetary affairs in the last decades, and thus, if ideology plays a role at all, it influences non-budgetary affairs. Second, education has become an important expenditure category for leftist parties to signal their political visions to voters belonging to all societal groups.
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This study empirically assesses the influence of globalization on the institutional root causes of gender equality as measured by the new OECD Social Institutions and Gender Index (SIGI). We capture the multifaceted concept of globalization with the KOF index and its three sub-indices which measure the economic, social and political dimensions of globalization. Observing the progress of globalization for a sample of almost one hundred countries at ten year intervals starting in 1970, we find that economic and social globalization exerted a decidedly positive influence on the social institutions which underlie gender equality.
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This paper investigates empirically the influence of government ideology on social policy using German data. Examining the funding and the benefits of social security and public healthcare policy, my results suggest that policies implemented by governments dominated by left- and rightwing parties were similar over the 1951-2007 period. Leftwing governments, however, spent more in the 1970s and rightwing governments did so after German Reunification in 1990. Since policy convergence encourages new parties to enter the political arena, and party platforms on social policy matters are likely to undergo further changes in light of demographic change, the observed pattern may thus be a transitory phenomenon.
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(2011): Über welche ökonomischen Kompetenzen verfügen Maturandinnen und Maturanden? : Hintergrund, Fragestellungen, Design und Methode des Schweizer Forschungsprojekts OEKOMA im Überblick FASSHAUER, Uwe, ed. and others. Lehr-Lernforschung und Professionalisierung : Perspektiven der Berufsbildungsforschung. Opladen: Budrich, 2011, pp. 51-63. ISBN 978-3-86649-367-4
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dc.contributor.author: Oepke, Maren; Eberle, Franz
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We examine the capital structures of multinational companies. Multinational companies can exploit the tax advantage of debt more aggressively than national companies by shifting debt from affiliates in low-tax countries to affiliates in high-tax countries. Previous papers have omitted either internal debt or external debt from the analysis. We are the first to model the companies’ choice between internal and external debt shifting, and show that it is optimal to use both types of debt in order to save taxes. Using a large panel of German multinationals, we find strong empirical support for our model. The estimated coefficients suggest that internal and external debt shifting are of about equal relevance.
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(2011): Virtual advertising in sports events : does it really work? International Journal of Sports Marketing & Sponsorship. 2011, 12(3). Available under: doi: 10.1108/IJSMS-12-03-2011-B004
This paper examines the effects of virtual advertising in a sports broadcast setting. We analyse the conspicuousness of virtual advertising and match the results with explanatory variables like brand awareness, duration of exposure and frequency of exposure. Furthermore, we measure the role of attitudes towards advertising in general and its impact on attitudes towards virtual advertising of the respondents. Our results indicate that most respondents recognise virtual advertising as such. Advertising effectiveness is driven to a large degree by the frequency of exposure. A positive attitude towards advertising in general leads to a positive attitude towards virtual advertising of the participants.
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(2011): Health Care Spending Risk, Health Insurance, and Payment to Health Plans PAULY, Mark V., ed. and others. Handbook of Health Economics ; Vol. 2. 1. ed.. Amsterdam [u.a.]: North-Holland, Elsevier, 2011, pp. 691-762. Handbooks in economics. 17. ISBN 978-0-444-53592-4. Available under: doi: 10.1016/B978-0-444-53592-4.00011-6
This chapter will deal with the actual and efficient functioning of health insurance in settings where risk (expected value) of medical spending or insurance benefits varies across individuals at a given point in time or over time for a given individual. It will deal with equilibrium in insurance markets with risk variation and will also deal with various configurations of information, the impacts on such markets of regulation motivated by risk variation, and the actual and optimal impact of governmental policies to deal with risk variation in national insurance systems
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(2011): Leistungs- und Herkunftseffekte beim Hochschulzugang in der Schweiz : ein Vergleich zwischen Absolventinnen und Absolventen mit gymnasialer Maturität und mit Berufsmaturität Zeitschrift für Pädagogik. 2011, 57(2), pp. 246-268. ISSN 0044-3247
Welche Rolle spielen Leistungs- und Herkunftsmerkmale auf dem Weg zur gymnasialen Maturität bzw. zur Berufsmaturität und nachfolgend beim Hochschulzugang in der Schweiz? Auf der Basis der nationalen PISA 2000/TREE-Längsschnittdaten (N = 2.123) zeigt der Beitrag unter Bezugnahme auf Boudons Konzept primärer und sekundärer Herkunftseffekte, dass bei vergleichbarer Lesekompetenz Jugendliche aus niedrigeren sozialen Schichten häufiger eine Berufsmaturität anstelle einer gymnasialen Maturität erwerben. Im Anschluss an die Maturität bleiben aus beiden Absolventengruppen Jugendliche mit schlechteren Lesekompetenzen gehäuft der Hochschule fern. Bei kontrollierter Leseleistung zeigt sich zudem, dass Berufsmaturandinnen und Berufsmaturanden aus niedrigeren sozialen Schichten seltener ein Studium beginnen.
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(2011): Pro und Contra zur Aufhebung der Berufsschulbezirke in Nordrhein-Westfalen : Bilanz einer Dokumenten- und Interviewanalyse Kölner Zeitschrift für Wirtschaft und Pädagogik. 2011, 26(51), pp. 3-30
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(2011): Combining survey forecasts and time series models : the case of the Euribor Journal of Economics and Statistic. 2011, 231(1), pp. 63-81
This paper reinterprets Maganelli's (2009) idea of "Forecasting with Judgment" to obtain a dynamic algorithm for combining survey expectations data and time series models for macroeconomic forecasting. Existing combination approaches typically obtain combined forecasts by linearly weighting individual forecasts. The approach presented here instead uses survey forecasts in the estimation stage of a time series model. Thus an estimate of the model parameters is obtained that reflects two sources of information: a history of realizations of the variables that are involved in the time series model and survey expectations on the future course of the variable that is to be forecast. The idea at the estimation stage is to shrink parameter estimates towards values that are compatible (in an appropriate sense) with the survey forecasts that have been observed. It is exemplified how this approach can be applied to different autoregressive time series models. In an empirical application, the approach is used to forecast the three-month Euribor at a six-month horizon.
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(2011): Managerial responses to incentives : control of firm risk, derivative pricing implications, and outside wealth management Journal of Banking & Finance. 2011, 35(6), pp. 1507-1518. ISSN 0378-4266. eISSN 1872-6372. Available under: doi: 10.1016/j.jbankfin.2010.10.032
We model a firm’s value process controlled by a manager maximizing expected utility from restricted shares and employee stock options. The manager also controls allocation of his outside wealth, which allows partially hedging of his exposure to firm risk. Managerial control increases the expected time to exercise for his employee stock options. It also reduces the gap between his certainty equivalent and the firm’s Fair Value for his compensation, but that gap remains substantial. Managerial control also causes traded options to exhibit an implied volatility smile. With costly control the same basic patterns remain, but the manager’s risk-taking is dampened.
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Das Levine Modell geht davon aus, dass der Nutzen einer Person linear von ihrer eigenen Auszahlung und der Auszahlung anderer abhängt. Wie die Auszahlung eines Gegenspielers gewichtet wird, ist private Information, und abhängig von Vermutungen über den Altruismuskoeffizienten des Gegenspielers. Die Annahme einer linearen Nutzenfunktion stellt gleichzeitig eine wesentliche Schwäche der von Levine entwickelten Theorie dar. Da die Grenzrate der Substitution zwischen eigener Auszahlung und der Auszahlung eines Gegenspielers unabhängig vom relativen Verhältnis der beiden Auszahlungen ist, werden die sozialen Präferenzen einer Person nicht von der Einkommensverteilung in einer Population beeinflusst. Dadurch kommt es zu verschiedenen Diskrepanzen zwischen der von Levine entwickelten Theorie und experimentellen Beobachtungen. Ziel der Arbeit ist es, anhand von Verhaltensexperimenten empirisch belegte Verhaltensaspekte herauszuarbeiten, die durch das Levine Modell nicht erklärt werden können. Im Vergleich mit anderen Modellen sozialer Präferenzen werden dann Weiterentwicklungen des Levine Modells erarbeitet, welche es ermöglichen, diese Verhaltensaspekte zu erfassen. Abschließend werden generelle Problem des Levine Modells diskutiert.
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(2011): Nonlinear interest rate reaction functions for the UK Economic Modelling. 2011, 28(3), pp. 1174-1185. ISSN 0264-9993. Available under: doi: 10.1016/j.econmod.2010.12.005
We empirically analyze Taylor-type equations for short-term interest rates in the United Kingdom using quarterly data from 1970Q1 to 2006Q2. Starting from strong evidence against a simple linear Taylor rule, we model nonlinearities using logistic smooth transition regression (LSTR) models. The LSTR models with time-varying parameters consistently track actual interest rate movements better than a linear model with constant parameters.Our preferred LSTR model uses lagged interest rates as a transition variable and suggests that in times of recessions the Bank of England puts more weight on the output gap and less so on inflation. A reverse pattern is observed in non-recession periods. Parameters of the model change less frequently after 1992, when an inflation target rangewas announced. We conclude that for the analysis of historical monetary policy, the LSTR approach is a viable alternative to linear reaction functions.
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This dissertation comprises three stand-alone research papers dealing with labor market phenomena. They can be divided into two main areas of research: intergenerational wage mobility in chapter 1 and joint search in chapters 2 and 3. Chapter 1 analyzes the impact of the progressivity of the income tax system on intergenerational mobility, assuming that consumption aspirations of children are linked to disposable income of the parents. Chapters 2 and 3 deal with joint search theory. They address a model in which couples have a joint utility function and are searching for a job in a stochastic environment. Chapter 2 describes the structural estimation of a partial search model for couples while Chapter 3 develops an equilibrium model for couples with random search and wage posting firms.