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DIW Discussion Papers 1289 / 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated producing evidence of unidirectional spillovers from stock returns to exchange rate changes in the US and the UK, ...
2013| Guglielmo Maria Caporale, John Hunter, Faek Menla Ali
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DIW Discussion Papers 1288 / 2013
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, ...
2013| Guglielmo Maria Caporale, Luis A. Gil-Alana, Yuliya Lovcha
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DIW Discussion Papers 1281 / 2013
We investigate whether people become more willingly self-employed during boom periods or in recessions and to what extent it is the business cycle or the employment status influencing entry rates into entrepreneurship. Our analysis for Germany reveals that start-up activities are positively influenced by unemployment rates and that the cyclical component of real GDP has a negative effect. This implies ...
2013| Michael Fritsch, Alexander S. Kritikos, Katharina Pijnenburg
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DIW Discussion Papers 1279 / 2013
This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long memory and thus are predictable using historical data. Moreover, their volatility, measured as the absolute ...
2013| Guglielmo Maria Caporale, Luis A. Gil-Alana
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DIW Discussion Papers 1278 / 2013
We investigate whether the willingness to take investment risk is a sex-linked trait and link the results to the country's gender equality regime. Our empirical analysis involves household data on financial asset holdings as well as on self-reported risk tolerance for Austria, Italy, the Netherlands and Spain. Of those countries, Italy is by far the country with the greatest degree of gender inequality ...
2013| Nataliya Barasinska, Dorothea Schäfer
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DIW Discussion Papers 1277 / 2013
Using annual bilateral data over the period 1988-2011 for a panel of 24 industrialised and emerging economies, we analyse in a time-varying framework the determinants of output synchronisation in EMU (European Monetary Union) distinguishing between core and peripheral member states. The results support the specialisation paradigm rather than the endogeneity hypothesis. Evidence is found in the euro ...
2013| Guglielmo Maria Caporale, Roberta De Santis, Alessandro Girardi
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DIW Discussion Papers 1274 / 2013
In this paper, we develop a market screening model to detect inconstancies in price changes. Although there is a long history of industrial organization research of collusion, price setting behavior, and conduct - a robust model to detect structural changes in market structure was missing so far. Our non-parametric approach closes this gap and can be used as a tentative warning system for emerging ...
2013| Korbinian von Blanckenburg, Marc Hanfeld, Konstantin A. Kholodilin
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DIW Discussion Papers 1272 / 2013
The self-employment rate includes entrepreneurs out of opportunity and entrepreneurs out of necessity. While the effect of opportunity entrepreneurs on economic development should be positive, there should be no or a negative effect of necessity entrepreneurship. We use a geographically weighted regression (GWR) approach to analyze whether the effect of self-employment on economic development is heterogeneous ...
2013| Katharina Pijnenburg
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DIW Discussion Papers 1270 / 2013
Spatial heterogeneity and spatial dependence are two well established aspects of house price developments. However, the analysis of differences in spatial dependence across time and space has not gained much attention yet. In this paper we jointly analyze these three aspects of spatial data. We apply a panel smooth transition regression model that allows for heterogeneity across time and space in spatial ...
2013| Katharina Pijnenburg
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DIW Discussion Papers 1264 / 2013
Despite high economic growth during the last decades, China is still vulnerable to shocks arising from industrial states. The advanced economies determine Chinese export performance, with subsequent effects on output growth. Using a production function approach, this paper examines to which extent regional GDP growth in China is export driven. In a panel of 28 Chinese provinces, series are splitted ...
2013| Christian Dreger, Yanqun Zhang