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DIW Discussion Papers 1292 / 2013
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are compared ...
2013| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
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DIW Discussion Papers 1290 / 2013
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange ...
2013| Marcel Fratzscher, Lucio Sarno, Gabriele Zinna
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DIW Discussion Papers 1282 / 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the predictive content of uncorrelated, yet dependent model innovations. The adjustment is motivated by non-Gaussian ...
2013| Benjamin Beckers, Helmut Herwartz, Moritz Seidel
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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 1280 / 2013
This paper studies the long-term impact of societal socialization on values using the example of doping behavior in sports. We apply the German Reunification Approach to the microcosm of Berlin and exploit its 40-year long division into a capitalist and a communist sector. We deliberately chose attitudes toward doping to test the impact of ideology on values since (i) post-1989 disappointed economic ...
2013| Nicolas R. Ziebarth, Gert G. Wagner
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DIW Discussion Papers 1269 / 2013
Die Bedeutung regionaler Unterschiede des Preisniveaus wird in den Wirtschaftswissenschaften unterschätzt. Lediglich in Form von "Mietspiegeln" werden regionale Preisniveauunterschiede lebensweltlich berücksichtigt. Wie experimentelle Berechnungen des Bundesinstituts für Bau-, Stadt- und Raumforschung (BBSR) zeigen, gibt es in Deutschland gegenwärtig nennenswerte Preisniveauunterschiede auf der Ebene ...
2013| Heinz Vortmann, Jan Goebel, Peter Krause, Gert G. Wagner
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DIW Discussion Papers 1259 / 2012
Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study focusses ...
2012| Helmut Lütkepohl
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DIW Discussion Papers 1238 / 2012
Multiplicative growth processes that are subject to random shocks often have a skewed distribution of outcomes. A simple laboratory experiment shows that participants either strongly underestimate skewness or ignore it completely. The participants' choices reveal bounds on their subjective medians of a financial asset's price that is subject to stochastic growth. The observed bias in expectations is ...
2012| Ludwig Ensthaler, Olga Nottmeyer, Georg Weizsäcker
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DIW Discussion Papers 1235 / 2012
It is emphasized that the shocks in structural vector autoregressions are only identified up to sign and it is pointed out that this feature can result in very misleading confidence intervals for impulse responses if simulation methods such as Bayesian or bootstrap methods are used. The confidence intervals heavily depend on which variable is used for fixing the sign of the initial responses. In particular, ...
2012| Helmut Lütkepohl
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DIW Discussion Papers 1230 / 2012
Economic agents using information that is not incorporated in the econometric model is seen as a possible reason for why nonfundamental shocks are important in econometric models. Allowing for nonfundamental shocks in structural vector autoregressive (SVAR) analysis by considering moving average (MA) representations with roots in the complex unit circle is a possible response to the problem. A case ...
2012| Helmut Lütkepohl