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DIW Discussion Papers 1732 / 2018
We analyze whether start-up rates in different industries systematically change with business cycle variables. Using a unique data set at the industry level, we mostly find correlations that are consistent with counter-cyclical influences of the business cycle on entries in both innovative and non-innovative industries. Entries into the largescale industries, including the innovative part of manufacturing, ...
2018| Alexander Konon, Michael Fritsch, Alexander S. Kritikos
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DIW Discussion Papers 1731 / 2018
This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that are more general than those based on the classical I(0) vs. I(1) dichotomy. Further, we carry out break tests to detect any shifts in the degree of persistence, ...
2018| Guglielmo Maria Caporale, Luis A. Gil-Alana, Tommaso Trani
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DIW Discussion Papers 1730 / 2018
Are there economies of scale to data in internet search? This paper is first to use real search engine query logs to empirically investigate how data drives the quality of internet search results. We find evidence that the quality of search results improve with more data on previous searches. Moreover, our results indicate that the type of data matters as well: personalized information is particularly ...
2018| Maximilian Schäfer, Geza Sapi, Szabolcs Lorincz
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DIW Discussion Papers 1729 / 2018
We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional) heteroskedasticity in the residuals for identification purposes. Heteroskedasticity is modelled by a Markov-switching ...
2018| Helmut Lütkepohl, Aleksei Netsunajev
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DIW Discussion Papers 1728 / 2018
This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying ...
2018| Febi Wulandari, Dorothea Schäfer, Andreas Stephan, Chen Sun
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DIW Discussion Papers 1727 / 2018
This paper introduces a new international longitudinal database of governmental housing policies. The regulations are measured using binary variables based on a thorough analysis of the real-time country-specific legislation. Three major restrictive policies are considered: rent control, protection from restriction, and housing rationing. The database covers 47 countries and states between 1910 and ...
2018| Konstantin A. Kholodilin
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DIW Discussion Papers 1726 / 2018
The transition towards low-carbon economies requires massive investments into renewable energies, which are commonly supported through regulatory frameworks. Yet, governments can have incentives - and the ability - to deviate from previously-announced support once those investments have been made, which can deter investments. We analyze a renewable energy regulation game, apply a model of time-inconsistency ...
2018| Nils May, Olga Chiappinelli
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DIW Discussion Papers 1725 / 2018
This paper analyzes how subjective expectations about wage opportunities influence the job search decision. We match data on subjective wage expectations with administrative employment records. The data reveal that unemployed individuals over-estimate their future net re-employment wage by 10% on average. In particular, the average individual does not anticipate that wage offers decline in value with ...
2018| Sascha Drahs, Luke Haywood, Amelie Schiprowski
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DIW Discussion Papers 1724 / 2018
The European debt crisis has revealed serious deficiencies and risks on a proper functioning of the monetary union. Against this backdrop, early warning systems are of crucial importance. In this study that focuses on euro area member states, the robustness of early warning systems to predict crises of government debt is evaluated. Robustness is captured via several dimensions, such as the chronology ...
2018| Christian Dreger, Konstantin A. Kholodilin
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DIW Discussion Papers 1723 / 2018
A common finding in the entrepreneurship literature is that business creation increases in recessions. This counter-cyclical pattern is examined by separating business creation into two components: “opportunity” and “necessity” entrepreneurship. Although there is general agreement in the previous literature on the conceptual distinction between these two factors driving entrepreneurship, there are ...
2018| Robert W. Fairlie, Frank M. Fossen
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DIW Discussion Papers 1722 / 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in the variability of their demand shocks. We find that the downward-sloping demand curve of intermediaries steepens ...
2018| Daniel Bierbaumer, Malte Rieth, Anton Velinov
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DIW Discussion Papers 1721 / 2018
We study the characteristics of inflation targeting as a shock absorber, using quarterly data for a large panel of countries. To overcome an endogeneity problem between monetary regimes and the likelihood of crises, we propose to study large natural disasters. We find that inflation targeting improves macroeconomic performance following such exogenous shocks. It lowers inflation, raises output growth, ...
2018| Marcel Fratzscher, Christoph Grosse Steffen, Malte Rieth
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DIW Discussion Papers 1720 / 2018
Despite considerable policy efforts, women continue to be underrepresented in positions of power and decision making. As an important aspect of women empowerment, we examine women’s participation in intrahousehold financial decision making and how this is affected by financial literacy. Using both OLS and IV regression analysis, we show that women with higher financial literacy are more involved in ...
2018| Antonia Grohmann, Annekathrin Schoofs
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DIW Discussion Papers 1719 / 2018
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX, namely the euro, the US dollar and the Japanese yen. We split the sample to compare ...
2018| Guglielmo Maria Caporale, Luis A. Gil-Alana, Tommaso Trani
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DIW Discussion Papers 1718 / 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns after overreactions: the next-day price changes in both directions are bigger than after “normal” days. A trading ...
2018| Guglielmo Maria Caporale, Alex Plastun
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DIW Discussion Papers 1717 / 2018
We analyze the top tail of the wealth distribution in Germany, France, and Spain based on the first and second wave of the Household Finance and Consumption Survey (HFCS). Since top wealth is likely to be underrepresented in household surveys, we integrate big fortunes from rich lists, estimate a Pareto distribution, and impute the missing rich. In addition to the Forbes list, we rely on national rich ...
2018| Stefan Bach, Andreas Thiemann, Aline Zucco
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DIW Discussion Papers 1716 / 2017
In this paper, we study how the tax-and-transfer system reduces the inequality of lifetime income by redistributing lifetime earnings between individuals with different skill endowments and by providing individuals with insurance against lifetime earnings risk. Based on a dynamic life-cycle model, we find that redistribution through the tax-and-transfer system offsets around half of the inequality ...
2017| Peter Haan, Daniel Kemptner, Victoria Prowse
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DIW Discussion Papers 1715 / 2017
The fixing of the Libor and Euribor benchmark rates has proven vulnerable to manipulation. Individual rate-setters may have incentives to fraudulently distort their submissions. For the contributing banks to collectively agree on the direction in which to rig the rate, however, their interests need to be sufficiently aligned. In this paper we develop cartel theory to show how an interbank lending rates ...
2017| Nuria Boot, Timo Klein, Maarten Pieter Schinkel
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DIW Discussion Papers 1714 / 2017
Low and uncertain carbon prices are often stated as a major obstacle for industrial sector investments in technologies to deliver deep emissions reductions. Project-based carbon contracts underwritten by national governments could addressregulatory risk, lower financing costs and strengthen incentives for emission reductions at investment and operation stage. In this paper design options for project-based ...
2017| Jörn Richstein
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DIW Discussion Papers 1713 / 2017
In advanced economies, state-owned enterprises play an important role in sectors of general interest such as energy and water supply. The conditions under which they operate have changed fundamentally since 1998, with new strategies required for firms to preserve market shares in the face of liberalisation and technological innovation. This paper investigates the productivity effect of three strategies ...
2017| Caroline Stiel